# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001410368-26-008116
**Filing Date:** 2026-1
**Character Count:** 376762
**Document Hash:** 325a21cdf7a5b99c00f7f5d7b95f046f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-008116.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0001410368-26-008116

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** COLUMBIA FUNDS SERIES TRUST I
- **CENTRAL INDEX KEY:** 0000773757

**ORGANIZATION NAME:**
- **EIN:** 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:** 26569522

**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           |
| 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:** 02210

  - **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:** 2026-05-31

- **b. Date as of which information is reported:** 2025-11-30

**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:** $653465121.40

**Total Liabilities:** $140201644.61

**Net Assets:** $513263476.79

**Amount of Assets Invested in Other Investment Companies:** $55487480.73

**Delayed Delivery Securities:** $103888470.50

**Cash Not Reported:** $5631729.65

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 43066.96000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 238.28000000 | **30-Year:** 23802.58000000

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

- **3-Month:** -1382.01000000 | **1-Year:** -58867.27000000 | **5-Year:** 3727.84000000 | **10-Year:** 163177.53000000 | **30-Year:** 23513.11000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000151801 | 1.12%                | 0.00%                | -1.85%               |
| Class ID C000151802 | 1.04%                | -0.04%               | -1.91%               |
| Class ID C000151809 | 1.11%                | 0.07%                | -1.83%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4088963.80              | $-1594114.43                               |
| Month 2  | $612829.64               | $566728.19                                 |
| Month 3  | $-263574.73              | $764093.15                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D MTG TR ADMT_24-NQM1                                          | A&D MTG TR ADMT_24-NQM1                                          | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $405443.28    | 0.08%             | 2069-02-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                               | A&D Mortgage Trust 2025-NQM4                                     | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |      456466 | PA      | $457543.00    | 0.09%             | 2070-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2024-X2                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4624 | PA      | $112614.75    | 0.02%             | 2029-12-17      | Variable      | 100.00%               | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-C                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152428 | PA      | $153404.08    | 0.03%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                  | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465000 | PA      | $291965.04    | 0.06%             | 2060-12-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9000000 | PA      | $8323611.75   | 1.62%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23000000 | PA      | $21903720.87  | 4.27%             | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28000000 | PA      | $27407791.04  | 5.34%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13000000 | PA      | $12972386.70  | 2.53%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21000000 | PA      | $21500832.15  | 4.19%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2021-5                                  | CUSIP: 03465HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252525 | PA      | $223494.43    | 0.04%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                            | Arroyo Mortgage Trust 2020-1                                     | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1870000 | PA      | $1764070.86   | 0.34%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.19%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| BXP TRUST BXP_21-601L                                            | BXP TRUST BXP_21-601L                                            | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $276846.47    | 0.05%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      259099 | PA      | $259343.48    | 0.05%             | 2051-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                              | BHMS Commercial Mortgage Trust 2025-ATLS                         | CUSIP: 088928AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $200125.68    | 0.04%             | 2042-08-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | CUSIP: 10568VAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      430000 | PA      | $407606.85    | 0.08%             | 2072-09-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO Residential Funding Trust 2020-NQM1                        | CUSIP: 105699AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $300925.74    | 0.06%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      430000 | PA      | $433175.16    | 0.08%             | 2060-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $188008.86    | 0.04%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $269608.80    | 0.05%             | 2060-03-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      473000 | PA      | $472233.65    | 0.09%             | 2058-03-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $298921.77    | 0.06%             | 2058-03-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                             | CHNGE Mortgage Trust 2022-NQM1                                   | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $249148.15    | 0.05%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2014-USA OA LLC                                             | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $116907.72    | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CUSIP: 169926AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $201768.32    | 0.04%             | 2058-06-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $806251.04    | 0.16%             | 2058-07-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301363.41    | 0.06%             | 2058-07-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $304532.73    | 0.06%             | 2067-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                                                       | CUSIP: 17030JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      650000 | PA      | $571463.36    | 0.11%             | 2067-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $420274.40    | 0.08%             | 2067-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CITIGROUP MORTGAGE LOAN TRUST IN                                 | CUSIP: 17323TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      998443 | PA      | $763485.58    | 0.15%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CUSIP: 17327DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $511240.17    | 0.10%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-4                               | COLT MORTGAGE LOAN TRUST COLT_22-4                               | CUSIP: 19685GAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $373907.68    | 0.07%             | 2067-03-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      406916 | PA      | $355539.28    | 0.07%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $146924.48    | 0.03%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                               | COLT MORTGAGE LOAN TRUST COLT_21-4                               | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $321496.76    | 0.06%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_23-1                               | COLT MORTGAGE LOAN TRUST COLT_23-1                               | CUSIP: 19688NAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $299351.82    | 0.06%             | 2068-04-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                    | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   284930386 | NS      | $284844906.87 | 55.50%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      550000 | PA      | $570251.44    | 0.11%             | 2041-12-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      800000 | PA      | $831669.04    | 0.16%             | 2041-11-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $937292.22    | 0.18%             | 2041-12-25      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11000000 | PA      | $10757011.65  | 2.10%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $199953.04    | 0.04%             | 2055-10-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $149956.26    | 0.03%             | 2055-10-25      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-1NN Issuer Trust                                      | CUSIP: 280579103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $426255.45    | 0.08%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX ISSUER TRUST EDGEX_25-1                                    | CUSIP: 280579AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      399988 | PA      | $402666.23    | 0.08%             | 2031-01-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| EDGEX_25-2NN                                                     | EDGEX_25-2NN                                                     | CUSIP: 28057AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387000 | PA      | $387323.42    | 0.08%             | 2032-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-2NN Issuer Trust                                      | CUSIP: 28057AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      597000 | PA      | $599777.78    | 0.12%             | 2032-01-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                                             | Elmwood CLO VIII Ltd                                             | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $245108.25    | 0.05%             | 2037-04-20      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-HE1                                             | CUSIP: 30191LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $158466.77    | 0.03%             | 2055-01-25      | Variable      | 8.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1602634 | PA      | $1538271.69   | 0.30%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1626141 | PA      | $1670315.96   | 0.33%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                | FANNIE MAE FNMA_13-101                                           | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      543881 | PA      | $74220.58     | 0.01%             | 2043-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_17-81                                            | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1539746 | PA      | $208290.02    | 0.04%             | 2047-10-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-64                                            | FANNIE MAE FNMA_18-64                                            | CUSIP: 3136B23K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1474374 | PA      | $198686.49    | 0.04%             | 2048-09-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_19-5                                             | CUSIP: 3136B3L40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1095219 | PA      | $124424.98    | 0.02%             | 2049-03-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-22                                            | FANNIE MAE FNMA_20-22                                            | CUSIP: 3136B9HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2447588 | PA      | $371209.29    | 0.07%             | 2050-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FANNIE MAE FNMA_20-38                                            | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2554046 | PA      | $223986.04    | 0.04%             | 2050-06-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | CUSIP: 3136BAHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2477170 | PA      | $349327.55    | 0.07%             | 2050-06-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-54                                            | FANNIE MAE FNMA_20-54                                            | CUSIP: 3136BBGH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1616316 | PA      | $208646.09    | 0.04%             | 2050-08-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | CUSIP: 3136BPRP8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2722837 | PA      | $339542.45    | 0.07%             | 2050-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BU5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      631577 | PA      | $645265.49    | 0.13%             | 2055-01-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1063114 | PA      | $1097606.08   | 0.21%             | 2055-03-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                           | FREDDIE MAC FHLMC_4606                                           | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2675050 | PA      | $295649.73    | 0.06%             | 2044-12-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1085200 | PA      | $168709.21    | 0.03%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137FTYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1399591 | PA      | $177785.41    | 0.03%             | 2050-06-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FREDDIE MAC FHLMC_4993                                           | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1625489 | PA      | $257377.07    | 0.05%             | 2050-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| STARC_19-CS02                                                    | STARC_19-CS02                                                    | CUSIP: 3137G0VZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       84336 | PA      | $83175.22     | 0.02%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $144894.56    | 0.03%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14423366 | PA      | $92958.59     | 0.02%             | 2029-02-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      413162 | PA      | $388383.41    | 0.08%             | 2032-10-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    35430031 | PA      | $260166.26    | 0.05%             | 2029-10-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $829892.90    | 0.16%             | 2033-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STARC_20-CS01                                                    | STARC_20-CS01                                                    | CUSIP: 3137G0WN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   112567381 | PA      | $263711.60    | 0.05%             | 2030-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   112567381 | PA      | $412052.90    | 0.08%             | 2030-04-25      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $297831.03    | 0.06%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26282842 | PA      | $92531.37     | 0.02%             | 2030-06-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26282842 | PA      | $72414.49     | 0.01%             | 2030-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2372734 | PA      | $388201.27    | 0.08%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | CUSIP: 3137H2LM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1845653 | PA      | $231088.65    | 0.05%             | 2047-09-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      672630 | PA      | $695918.89    | 0.14%             | 2054-06-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      682571 | PA      | $698806.28    | 0.14%             | 2055-05-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1096011 | PA      | $1100846.64   | 0.21%             | 2055-06-25      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FEDERAL HOME LOAN MORTGAGE CORPORATION                           | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     1228886 | PA      | $166577.61    | 0.03%             | 2055-06-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLW24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1919383 | PA      | $114690.44    | 0.02%             | 2055-06-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140BHJJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1981978 | PA      | $2008682.21   | 0.39%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1679623 | PA      | $1699675.64   | 0.33%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                  | CUSIP: 3140XRUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      973038 | PA      | $957092.10    | 0.19%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE5                                      | CUSIP: 31684FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $253837.35    | 0.05%             | 2054-10-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE5                                             | CUSIP: 31684FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200000 | PA      | $209177.72    | 0.04%             | 2054-10-25      | Variable      | 8.63%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $157467.44    | 0.03%             | 2054-07-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $160092.30    | 0.03%             | 2054-07-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGURE LENDING FIGRE_24-HE1                                      | CUSIP: 31684HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $160244.57    | 0.03%             | 2054-03-25      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE1                                             | CUSIP: 31684HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250000 | PA      | $270962.10    | 0.05%             | 2054-03-25      | Variable      | 10.03%                | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE TRUST FIGRE_25-HE3                                         | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $106994.25    | 0.02%             | 2055-05-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-HE3                                         | FIGRE TRUST FIGRE_25-HE3                                         | CUSIP: 31684LAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $107240.89    | 0.02%             | 2055-05-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE2                                             | CUSIP: 316927AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $431115.00    | 0.08%             | 2054-05-25      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                          | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |     1050000 | PA      | $1164756.18   | 0.23%             | 2051-01-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                          | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |      550000 | PA      | $576795.62    | 0.11%             | 2041-10-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2019-NQM3 Trust                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $555501.24    | 0.11%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                       | GITSIT Mortgage Loan Trust 2025-NPL1                             | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      175513 | PA      | $175908.61    | 0.03%             | 2055-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38375AN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1238555 | PA      | $149720.50    | 0.03%             | 2040-01-16      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1559128 | PA      | $71054.29     | 0.01%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1275134 | PA      | $59790.02     | 0.01%             | 2060-03-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2559400 | PA      | $147106.11    | 0.03%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | CUSIP: 38381B6Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1877363 | PA      | $240573.71    | 0.05%             | 2046-10-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2007328 | PA      | $261416.98    | 0.05%             | 2049-07-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1641662 | PA      | $242251.58    | 0.05%             | 2049-08-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | CUSIP: 38381YSZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    15740766 | PA      | $214179.89    | 0.04%             | 2049-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1874539 | PA      | $69167.87     | 0.01%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | CUSIP: 38382DG94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1625417 | PA      | $235358.69    | 0.05%             | 2050-03-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78              | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1818059 | PA      | $242550.74    | 0.05%             | 2050-06-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1042501 | PA      | $137433.99    | 0.03%             | 2050-07-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3783588 | PA      | $544911.56    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1650702 | PA      | $281083.80    | 0.05%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2636975 | PA      | $388797.69    | 0.08%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1583290 | PA      | $366683.33    | 0.07%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1749190 | PA      | $391782.15    | 0.08%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1602063 | PA      | $263321.07    | 0.05%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2148556 | PA      | $291854.91    | 0.06%             | 2051-03-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2886029 | PA      | $440061.41    | 0.09%             | 2050-11-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | CUSIP: 38382UM24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2621404 | PA      | $395847.70    | 0.08%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2804536 | PA      | $49530.35     | 0.01%             | 2051-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2716725 | PA      | $385465.20    | 0.08%             | 2051-06-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2946716 | PA      | $427137.72    | 0.08%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     5897419 | PA      | $29857.45     | 0.01%             | 2051-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1824310 | PA      | $263619.92    | 0.05%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2037924 | PA      | $324536.38    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2760192 | PA      | $408612.27    | 0.08%             | 2051-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2908925 | PA      | $406384.64    | 0.08%             | 2051-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     4875325 | PA      | $27735.72     | 0.01%             | 2051-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38383AZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4146217 | PA      | $568653.70    | 0.11%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    16780246 | PA      | $45358.68     | 0.01%             | 2051-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | CUSIP: 38383PRL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2406883 | PA      | $41058.29     | 0.01%             | 2052-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | CUSIP: 38383RH83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2491226 | PA      | $286566.00    | 0.06%             | 2050-01-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1612122 | PA      | $131679.11    | 0.03%             | 2053-03-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | CUSIP: 38383YZB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3853144 | PA      | $388432.01    | 0.08%             | 2052-09-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384AQY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     4251849 | PA      | $211930.43    | 0.04%             | 2053-05-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384ARD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1635619 | PA      | $156371.58    | 0.03%             | 2053-05-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | CUSIP: 38384CL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3202470 | PA      | $202988.27    | 0.04%             | 2053-08-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1269354 | PA      | $87074.61     | 0.02%             | 2053-08-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2382885 | PA      | $300759.61    | 0.06%             | 2049-12-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | CUSIP: 38384GBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     4869594 | PA      | $350699.39    | 0.07%             | 2053-11-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-51              | CUSIP: 38384KWT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2713752 | PA      | $134374.68    | 0.03%             | 2054-03-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3194154 | PA      | $172917.43    | 0.03%             | 2054-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1516307 | PA      | $228109.80    | 0.04%             | 2054-05-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1897301 | PA      | $274157.21    | 0.05%             | 2054-06-20      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      570300 | PA      | $589196.05    | 0.11%             | 2055-03-20      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2024-2                                         | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      626476 | PA      | $627145.69    | 0.12%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_24-2                                             | HTAP TRUST HTAP_24-2                                             | CUSIP: 40444WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $296631.63    | 0.06%             | 2042-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP 2024-1                                                      | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489511 | PA      | $493001.94    | 0.10%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2025-1                                         | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280840 | PA      | $281348.12    | 0.05%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | Hilton USA Trust 2016-SFP                                        | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $34183.94     | 0.01%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                   | HOME PARTNERS OF AMERICA TRUST HPA_19-2                          | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327875 | PA      | $318022.71    | 0.06%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                              | Homeward Opportunities Fund I Trust 2020-2                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $251000.63    | 0.05%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $414802.40    | 0.08%             | 2056-11-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | CUSIP: 45276KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $291417.32    | 0.06%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                | Imperial Fund Mortgage Trust 2022-NQM5                           | CUSIP: 45276QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183000 | PA      | $182263.63    | 0.04%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2025-VIS3                               | CUSIP: 46594EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602437 | PA      | $603698.09    | 0.12%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                        | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960000 | PA      | $971169.60    | 0.19%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $402740.36    | 0.08%             | 2029-01-25      | Variable      | 9.17%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301847.34    | 0.06%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_23-RTL3                               | LHOME MORTGAGE TRUST LHOME_23-RTL3                               | CUSIP: 50205TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $602673.06    | 0.12%             | 2028-08-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL5                               | LHOME MORTGAGE TRUST LHOME_24-RTL5                               | CUSIP: 50205WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301576.14    | 0.06%             | 2039-09-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                             | LHOME MORTGAGE TRUST LHOME_25-RTL3                               | CUSIP: 50205YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $201616.06    | 0.04%             | 2040-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                      | Legacy Mortgage Asset Trust 2021-GS1                             | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      301915 | PA      | $302071.58    | 0.06%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| LENDING CLUB RECEIVABLES TRUST LCRT_20-2                         | LENDING CLUB RECEIVABLES TRUST LCRT_20-2                         | CUSIP: 52605L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85000 | PA      | $0.09         | 0.00%             | 2046-02-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | CUSIP: 58550DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $464049.80    | 0.09%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MPOWR_25-1                                                       | MPOWR_25-1                                                       | CUSIP: 62477DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100000.00    | 0.02%             | 2042-12-22      | Fixed         | 8.18%                 | No            |                  3 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust Series 2024-BPL1                                 | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $500795.60    | 0.10%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT 2024-RR1 Trust                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895604 | PA      | $903983.27    | 0.18%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust 2025-INV2                                        | CUSIP: 62957JAC5<br>LEI: 254900EYRFLK2LMLVT67 | Long             | ABS-MBS          | CORP              | US        |      414390 | PA      | $415059.19    | 0.08%             | 2060-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NetCredit Combined Receivables 2023 LLC                          | NetCredit Combined Receivables 2023 LLC                          | CUSIP: 64110XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       82940 | PA      | $83052.30     | 0.02%             | 2027-12-20      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2019-RPL3                    | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $581006.18    | 0.11%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2022-NQM2                    | CUSIP: 64831MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2570000 | PA      | $2115158.06   | 0.41%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $150158.14    | 0.03%             | 2062-03-27      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                         | OBX 2021-NQM2 Trust                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395380 | PA      | $330958.85    | 0.06%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $327882.80    | 0.06%             | 2068-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $114690.26    | 0.02%             | 2068-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust Series 2025-R1                                   | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152933 | PA      | $153163.92    | 0.03%             | 2030-02-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                                   | Oaktown Re VI Ltd                                                | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      500000 | PA      | $504736.40    | 0.10%             | 2033-10-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                      | PRKCM_21-AFC1 TRUST                                              | CUSIP: 69357TAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1449841.20   | 0.28%             | 2056-08-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $144221.34    | 0.03%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750000 | PA      | $699584.78    | 0.14%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM TRUST PRKCM_22-AFC1                                        | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      420943 | PA      | $403490.58    | 0.08%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM LLC PRPM_22-NQM1                                            | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $345727.20    | 0.07%             | 2067-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2023-NQM3 Trust                                             | CUSIP: 69380TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150005.34    | 0.03%             | 2068-11-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | CUSIP: 69381AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $664557.46    | 0.13%             | 2053-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | Pret 2024-NPL6 LLC                                               | CUSIP: 69381QAB2<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $700734.02    | 0.14%             | 2054-10-25      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-2 LLC                                                  | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $351566.74    | 0.07%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM1                                            | PRPM LLC PRPM_23-NQM1                                            | CUSIP: 693965AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $298611.06    | 0.06%             | 2068-01-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RCF2 LLC                                               | CUSIP: 693987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $190492.58    | 0.04%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM LLC PRPM_24-RCF2                                            | CUSIP: 693987AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      850000 | PA      | $782733.55    | 0.15%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Trust 2024-2                                      | CUSIP: 694961AC7<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |      159401 | PA      | $161575.24    | 0.03%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | CUSIP: 69544MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280692 | PA      | $283122.61    | 0.06%             | 2032-06-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust 2021-2                            | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1886 | PA      | $1883.68      | 0.00%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $13847.83     | 0.00%             | 2027-05-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      865000 | PA      | $23308.96     | 0.00%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust 2021-1                            | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      696200 | PA      | $0.01         | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | CUSIP: 69548AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165959 | PA      | $168103.41    | 0.03%             | 2031-07-15      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109900 | PA      | $111433.23    | 0.02%             | 2031-07-15      | Fixed         | 8.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      388199 | PA      | $403914.55    | 0.08%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Grantor Trust 2025-R3                             | CUSIP: 69549EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      660000 | PA      | $660398.38    | 0.13%             | 2033-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2024-NPL7 LLC                                               | CUSIP: 74136TAB4<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |      650000 | PA      | $650785.14    | 0.13%             | 2054-10-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2024-NPL9 LLC                                               | CUSIP: 74143TAB5<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $600581.16    | 0.12%             | 2054-12-25      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $142380.18    | 0.03%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $227944.78    | 0.04%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RPL1 LLC                                               | CUSIP: 74390WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      494000 | PA      | $439838.68    | 0.09%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RCF4 LLC                                               | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165000 | PA      | $155377.08    | 0.03%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM_24-RCF4                                                     | CUSIP: 74448JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      135000 | PA      | $124017.47    | 0.02%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297163 | PA      | $297259.64    | 0.06%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $400392.04    | 0.08%             | 2029-12-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RPL4 LLC                                               | CUSIP: 74448MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $283547.16    | 0.06%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRP ADVISORS LLC PRPM_24-RPL4                                    | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $270687.66    | 0.05%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO 2025-Pr1 Trust                                               | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      731271 | PA      | $727745.91    | 0.14%             | 2055-03-02      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR LTD RRAM_21-16A                                               | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      266667 | PA      | $263766.46    | 0.05%             | 2036-07-15      | Variable      | 10.42%                | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO X Mortgage LLC 2025-1                                        | CUSIP: 75523XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $500984.05    | 0.10%             | 2030-01-25      | Variable      | 8.35%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                       | Research-Driven Pagaya Motor Asset Trust IV                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      167921 | PA      | $166615.53    | 0.03%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                       | Research-Driven Pagaya Motor Trust 2025-6                        | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      420000 | PA      | $420109.41    | 0.08%             | 2034-08-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| SAIF SECURITIZATION TRUST SAIF_25-CES1                           | SAIF SECURITIZATION TRUST SAIF_25-CES1                           | CUSIP: 78438CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      142780 | PA      | $143132.31    | 0.03%             | 2065-06-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2024-CES1                | CUSIP: 79581VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      690000 | PA      | $711058.18    | 0.14%             | 2054-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2023-FIG3                | CUSIP: 79582AAD9<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |      470607 | PA      | $715225.07    | 0.14%             | 2053-08-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $342221.28    | 0.07%             | 2067-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $329417.88    | 0.06%             | 2067-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| SPLITERO TRUST SPLTO_25-1                                        | SPLITERO TRUST SPLTO_25-1                                        | CUSIP: 848948AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $488392.80    | 0.10%             | 2055-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | Starwood Mortgage Residential Trust 2021-3                       | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211155 | PA      | $187570.68    | 0.04%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | STAR_20-3                                                        | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $238141.10    | 0.05%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2025-RRTL1                                 | CUSIP: 89053JAH0<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $202871.28    | 0.04%             | 2040-02-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2024-RRTL1                                 | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      524000 | PA      | $528036.53    | 0.10%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | Triangle Re 2021-2 Ltd                                           | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |      650000 | PA      | $669557.92    | 0.13%             | 2033-10-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3                | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      309141 | PA      | $309563.73    | 0.06%             | 2034-02-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | Triangle Re 2021-3 Ltd                                           | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      500000 | PA      | $510867.15    | 0.10%             | 2034-02-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                            | US Auto Funding 2021-1                                           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1125000 | PA      | $9331.76      | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bills                                              | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    37750000 | PA      | $37705782.29  | 7.35%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bills                                              | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    44000000 | PA      | $43584468.58  | 8.49%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UATSP_25-1GS                                                     | UATSP_25-1GS                                                     | CUSIP: 91684D103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1000 | PA      | $261500.10    | 0.05%             | 2030-02-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPSTART SECURITIZATION TRUST UPST_24-1                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $832784.55    | 0.16%             | 2034-11-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                     | Upstart Securitization Trust 2025-1                              | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1045828.70   | 0.20%             | 2035-04-20      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                   | VCAT 2025 NPL2 LLC                                               | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      478310 | PA      | $484249.90    | 0.09%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | VERUS SECURITIZATION TRUST VERUS_21-R2                           | CUSIP: 92538DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $467588.65    | 0.09%             | 2064-02-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2021-5                                | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $223171.02    | 0.04%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS SECURITIZATION TRUST VERUS_21-5                            | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $196175.95    | 0.04%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-2                            | VERUS SECURITIZATION TRUST VERUS_22-2                            | CUSIP: 92538XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $240525.72    | 0.05%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-1                                | CUSIP: 92539BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1743681.10   | 0.34%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-INV1                             | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $798900.88    | 0.16%             | 2068-02-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-INV1                             | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $449128.04    | 0.09%             | 2068-02-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $196363.82    | 0.04%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98498.88     | 0.02%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $303017.97    | 0.06%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $205523.76    | 0.04%             | 2055-01-25      | Variable      | 9.49%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $254337.35    | 0.05%             | 2055-04-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $154433.12    | 0.03%             | 2055-04-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | CUSIP: 92842UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $506317.15    | 0.10%             | 2055-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT XCV LLC                                                     | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       63282 | PA      | $63288.00     | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2017-SMP                   | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $933733.20    | 0.18%             | 2034-12-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Borsa Istanbul                                                   | BIST 30 FUTURES DEC 25                                           | CUSIP: 000000000<br>LEI: 7890005BROHWAPA36140 | N/A              | DE               |  | TR        |         681 | NC      | $36931.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Johannesburg Stock Exchange                                      | FTSE/JSE TOP 40 DEC 25                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |          33 | NC      | $-38619.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Johannesburg Stock Exchange                                      | FTSE/JSE TOP 40 DEC 25                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |        -121 | NC      | $-146380.99   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     -499930 | OU      | $-16334.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |    -1999719 | OU      | $-138642.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |    -1199831 | OU      | $-2095.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    -1000000 | OU      | $-46149.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    -3000000 | OU      | $22214.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     -500000 | OU      | $12681.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     -500000 | OU      | $17505.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 3.940000 05-MAY-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    28900000 | OU      | $103208.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    10000000 | NC      | $235836.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    15000000 | NC      | $1.50         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 2.000000 15-DEC-2027 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    27000000 | OU      | $-7163.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.000000 18-DEC-2030 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   240000000 | OU      | $16788.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 15-DEC-2027 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    38000000 | OU      | $21209.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 18-DEC-2030 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     6000000 | OU      | $3575.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 18-DEC-2030 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      100000 | OU      | $-408.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 15-DEC-2027 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      200000 | OU      | $89.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 15-DEC-2027 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    25200000 | OU      | $-20156.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.000000 15-DEC-2027 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        | 15339800000 | OU      | $165867.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.500000 13-DEC-2035 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      800000 | OU      | $-17282.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.500000 19-DEC-2035 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      900000 | OU      | $791.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.500000 19-DEC-2035 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      100000 | OU      | $-604.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 19-DEC-2035 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2000000 | OU      | $-2938.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     4785000 | NC      | $65579.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    10000000 | NC      | $790.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    10000000 | NC      | $6258.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 4.007500 03-JUL-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    18500000 | OU      | $229551.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |     6000000 | NC      | $88422.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 15-DEC-2027 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    25200000 | OU      | $-89162.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    27500000 | NC      | $277697.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 4.000000 12-DEC-2035 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      500000 | OU      | $991.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.500000 19-DEC-2035 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   270000000 | OU      | $-23190.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 4.000000 12-MAR-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1200000 | OU      | $6746.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: SEK 2.705000 04-SEP-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   334000000 | OU      | $-391712.17   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 3.950000 04-SEP-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     6000000 | OU      | $22399.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.000000 19-MAR-2031 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   100000000 | OU      | $3681.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.000000 15-MAR-2028 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        | 41115900000 | OU      | $448789.42    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 1.500000 19-MAR-2036 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  7081900000 | OU      | $-860993.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 15-MAR-2028 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      600000 | OU      | $51.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 15-MAR-2028 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   120400000 | OU      | $-55644.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.500000 19-MAR-2036 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2600000 | OU      | $6063.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.500000 19-MAR-2036 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     9800000 | OU      | $-28999.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWP: EUR 2.5 19-MAR-2036 EUR                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    24900000 | OU      | $170149.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 2.000000 15-MAR-2028 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   227000000 | OU      | $-18325.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2 15-MAR-2028 EUR                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    32900000 | OU      | $6190.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2 15-MAR-2028 EUR                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    32000000 | OU      | $-18413.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.000000 19-MAR-2031 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1500000 | OU      | $-6213.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 15-MAR-2028 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   468800000 | OU      | $199254.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 15-MAR-2028 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    59600000 | OU      | $-4555.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 3.000000 15-MAR-2056 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      900000 | OU      | $-17496.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.500000 15-MAR-2056 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1900000 | OU      | $48707.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2.500000 19-MAR-2031 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2600000 | OU      | $3481.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2.500000 19-MAR-2031 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      100000 | OU      | $-69.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 15-MAR-2028 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      600000 | OU      | $113.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 15-MAR-2028 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   181400000 | OU      | $-34146.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 3.000000 19-DEC-2035 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      900000 | OU      | $1402.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 15-MAR-2028 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    25900000 | OU      | $4388.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 15-MAR-2028 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   143200000 | OU      | $-387752.94   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 15-DEC-2027 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     3900000 | OU      | $14085.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 3.000000 19-MAR-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    71500000 | OU      | $52364.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 19-MAR-2036 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    19900000 | OU      | $-21681.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 19-MAR-2031 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      100000 | OU      | $393.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 19-MAR-2031 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2400000 | OU      | $-6784.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.000000 15-MAR-2056 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1500000 | OU      | $30768.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 3.500000 12/09/2027 AUD                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    24600000 | OU      | $-119008.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    18867722 | OU      | $14560.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 09/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -234749 | OU      | $726.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 09/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3229152 | OU      | $5858.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI AUSTRALIA 12/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      689861 | OU      | $-5940.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 12/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      438642 | OU      | $795.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     6500000 | NC      | $42490.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI JAPAN 12/17/2025                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -115931 | OU      | $28.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MS_ZANZAR INDEX 12/17/25                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3588935 | OU      | $2751.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI AUSTRALIA 12/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      360375 | OU      | $-3103.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 19-MAR-2036 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | GB        |    37500000 | OU      | $86067.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 19-MAR-2036 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | GB        |    17000000 | OU      | $-31156.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 15-MAR-2028 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | GB        |    52600000 | OU      | $26512.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 15-MAR-2028 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | GB        |   142700000 | OU      | $-156116.03   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI AUSTRALIA 12/17/25                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      576600 | OU      | $-4965.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    15000000 | NC      | $100078.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 19-MAR-2031 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      600000 | OU      | $-1916.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 19-MAR-2036 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      300000 | OU      | $145.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 19-MAR-2036 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    41000000 | OU      | $-45657.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    10000000 | NC      | $84621.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: SEK 2.696000 03-OCT-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   210500000 | OU      | $-275884.97   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 3.695000 03-OCT-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    44500000 | OU      | $-412612.85   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 19-MAR-2031 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      500000 | OU      | $-1256.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |       -4273 | OU      | $13.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 12/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      186656 | OU      | $338.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 12/17/2025                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      354647 | OU      | $643.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |       -3704 | OU      | $11.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |       -4273 | OU      | $13.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |        -855 | OU      | $2.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.000000 19-MAR-2036 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    40700000 | OU      | $207982.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.000000 19-MAR-2036 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     3500000 | OU      | $-4288.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 3.000000 12-MAR-2031 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      700000 | OU      | $-8888.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 2.500000 15-DEC-2027 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    21400000 | OU      | $-95196.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 2.500000 15-MAR-2028 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   178800000 | OU      | $-804297.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 3.000000 11-DEC-2030 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | GB        |      600000 | OU      | $-7290.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |   -15000000 | NC      | $-1.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     2613000 | NC      | $51680.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP:MSCI ITALY INDEX 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      287292 | OU      | $-8033.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -256046 | OU      | $6130.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: :MSCI ITALY INDEX 12/17/20                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      213263 | OU      | $-5963.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -3956279 | OU      | $10509.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -312812 | OU      | $7489.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -3021158 | OU      | $8025.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -396573 | OU      | $9494.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -3021158 | OU      | $8025.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -2949226 | OU      | $7834.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -2517632 | OU      | $6688.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |        -570 | OU      | $1.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    26000000 | NC      | $111287.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -6114249 | OU      | $16242.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |        -285 | OU      | $0.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -5322993 | OU      | $14140.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     1790338 | OU      | $1381.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     6209395 | OU      | $4791.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 12/20/2023                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -2805361 | OU      | $7452.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 2.500000 19-MAR-2031 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     3000000 | OU      | $443.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 2.500000 19-MAR-2031 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1000000 | OU      | $-52.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 3.500000 09-MAR-2028 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    46100000 | OU      | $-79903.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP:MSCI SWITZERLAND 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      546316 | OU      | $-16262.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.500000 13-MAR-2036 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     8700000 | OU      | $42348.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI POLAND 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |       -3134 | OU      | $9.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP:MSCI SWITZERLAND 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      308073 | OU      | $-9170.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   -30000000 | NC      | $-28719.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/24/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3351463 | OU      | $2582.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SPAIN INDEX 12/17/25                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -167744 | OU      | $4013.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3346419 | OU      | $1784.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI NETHERLAND 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     1173120 | OU      | $-5572.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI MEXICO 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -9500966 | OU      | $11272.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SPAIN INDEX 12/17/25                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -222835 | OU      | $8677.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI NETHERLAND 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      358339 | OU      | $-16882.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3250968 | OU      | $-4107.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI MEXICO 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -3769471 | OU      | $4873.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 12/17/25                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3036542 | OU      | $-3082.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI NETHERLAND 12/17/2025                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     1196979 | OU      | $-46186.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -679343 | OU      | $10944.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI CANADA 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -778457 | OU      | $8429.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI MEXICO 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -6248795 | OU      | $4757.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SPAIN INDEX 12/17/25                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -226262 | OU      | $4751.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI MEXICO 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -3249217 | OU      | $1417.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI BRAZIL 12/17/2025                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -8832615 | OU      | $12540.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | NO        |           1 | NC      | $-279896.59   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | NO        |           1 | NC      | $41516.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Thailand Futures Exchange                                        | SET50 FUTURES DEC 25                                             | CUSIP: 000000000<br>LEI: 5493006G4X6OUMF0CE07 | N/A              | DE               |  | TH        |        -573 | NC      | $-8721.79     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | 10YR MINI JGB DEC 25                                             | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DIR              |  | SG        |         -19 | NC      | $17159.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL JAN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |           9 | NC      | $1540.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL JAN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -304 | NC      | $-232766.26   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL JAN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -135 | NC      | $-48421.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |           8 | NC      | $1857.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          48 | NC      | $-31752.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAY 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          56 | NC      | $31274.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL JUL 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         111 | NC      | $84469.52     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         111 | NC      | $-5958.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          86 | NC      | $-961.90      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -506 | NC      | $20721.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -129 | NC      | $-6470.05     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         133 | NC      | $25648.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN JUL 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         210 | NC      | $68207.77     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN JUL 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          53 | NC      | $-1523.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA MAR 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          47 | NC      | $-193679.38   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA MAR 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -4 | NC      | $-11958.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Euronext NV                                                      | CAC40 10 EURO DEC 25                                             | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |         145 | NC      | $38266.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Euronext NV                                                      | CAC40 10 EURO DEC 25                                             | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |        -100 | NC      | $-136322.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JAN 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           8 | NC      | $6777.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JAN 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          37 | NC      | $-57049.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JAN 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         -50 | NC      | $40180.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JAN 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -163 | NC      | $-254830.12   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          39 | NC      | $-170348.11   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          39 | NC      | $-124377.09   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          78 | NC      | $-118937.94   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | CAN 10YR BOND MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         433 | NC      | $216651.97    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | CAN 10YR BOND MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          46 | NC      | $-759.95      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | CAN 10YR BOND MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -398 | NC      | $-42903.34    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) FEB 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           7 | NC      | $-8171.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) MAR 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         -95 | NC      | $38790.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) MAY 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          43 | NC      | $-107899.02   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) JUL 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          86 | NC      | $-219057.30   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) SEP 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          43 | NC      | $-67529.61    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAR 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         123 | NC      | $-87491.13    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAR 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -22 | NC      | $17774.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAR 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -108 | NC      | $10424.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAY 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          26 | NC      | $-31267.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 JUL 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          51 | NC      | $-12551.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $22307.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-76755.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-45657.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $140.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $-377490.28   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $-19157.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $178355.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $-9647.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $-15254.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $232847.77    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-7003.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-63021.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $-77386.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $3.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $-88921.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $-1059.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $1857.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-124552.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $24291.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $-27828.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $-7334.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $140331.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-55112.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-8662.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $243208.77    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $-24832.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $-21763.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-95783.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-1973.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $1436.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-2849.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-723.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $1196.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $-172106.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $-8308.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $148189.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $11993.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $262156.34    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-54240.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $141227.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-16667.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $43.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-1019.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-705872.16   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-26794.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $84216.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-42887.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-19876.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $75551.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $-62035.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $-29022.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $-1813.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $18186.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-10689.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-2088.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $25769.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-41094.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-23641.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $45808.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-213495.44   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-19629.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $348606.03    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-23123.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-117244.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $11045.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-18735.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-24769.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $27442.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-376.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $78029.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-26939.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $230699.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $-8804.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $4582.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $47539.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $-16497.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $5681.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $67463.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-19419.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $300600.28    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $14407.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $115308.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $37882.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $408142.68    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-1576.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $37351.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-1906.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $38292.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $-9694.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $6189.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $43259.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-281735.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $33268.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $261497.66    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $-61221.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $205122.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $34939.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $1422.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-6563.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $1582.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $120239.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $-352.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $8.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $-141225.58   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $-5671.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-1974614.88  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $38603.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-9937.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $2486.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-877449.86   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $24901.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-2089.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $165414.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $40418.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-36496.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $35529.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $29712.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $-65998.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $4800.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $32608.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $1832.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $3485.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-64452.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $8314.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $35384.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-4255.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $345.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $51649.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-55736.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $39117.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $110132.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-29974.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $37410.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-21586.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-619792.80   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-50308.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $374503.74    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-623.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $23450.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-240011.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-9300.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | DJIA MINI e-CBOT DEC 25                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               |  | US        |           3 | NC      | $10338.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-SCHATZ DEC 25                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         465 | NC      | $-63116.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI DEC 25                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          33 | NC      | $352636.44    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI DEC 25                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          69 | NC      | $603101.05    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI DEC 25                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -7 | NC      | $-13787.55    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P MID 400 EMINI DEC 25                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -1 | NC      | $-15782.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | CATTLE FEEDER JAN 26                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          51 | NC      | $-553247.74   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         955 | NC      | $199420.48    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT MAR 26                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          19 | NC      | $18360.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT MAR 26                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          77 | NC      | $68839.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT MAR 26                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -78 | NC      | $-87613.38    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | GOLD 100 OZ FEB 26                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           3 | NC      | $43907.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | GOLD 100 OZ FEB 26                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           2 | NC      | $29845.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |           1 | NC      | $-541876.99   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |           1 | NC      | $-129822.28   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |           1 | NC      | $114651.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           1 | NC      | $-10700.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           2 | NC      | $-2360.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          -8 | NC      | $-62095.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAR 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           8 | NC      | $38195.43     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAR 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -144 | NC      | $-459764.36   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAR 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -25 | NC      | $-133548.75   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          28 | NC      | $296521.49    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER JUL 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          56 | NC      | $220149.90    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JAN 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          17 | NC      | $-105376.37   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JAN 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          13 | NC      | $76014.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JAN 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          25 | NC      | $-75539.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JAN 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          17 | NC      | $-171219.89   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) MAR 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           2 | NC      | $712.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) MAR 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           8 | NC      | $-2852.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) MAY 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          10 | NC      | $-9270.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JUL 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          21 | NC      | $-43357.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Securities USA, Inc.                                        | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              |  | GB        |           1 | NC      | $-8345.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                        | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-181628.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                        | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              |  | AU        |           1 | NC      | $9485.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                        | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              |  | XX        |           1 | NC      | $71092.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                       | IBEX 35 INDEX DEC 25                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |          47 | NC      | $148806.92    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Meff Financial Derivatives                                       | IBEX 35 INDEX DEC 25                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |          18 | NC      | $90552.51     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BTP (ITALY GOVT) DEC 25                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          26 | NC      | $693.24       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bursa Malaysia                                                   | KL COMPOSITE INDX DEC 25                                         | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DE               |  | MY        |          12 | NC      | $-319.85      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Mercado Mexicano De Derivados                                    | MEXICAN BOLSA INDEX FUTURE DEC 25                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |           1 | NC      | $234.59       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercado Mexicano De Derivados                                    | MEXICAN BOLSA INDEX FUTURE DEC 25                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |        -233 | NC      | $-137300.93   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10YR BOND (OSE) DEC 25                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -154 | NC      | $1818231.15   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10YR BOND (OSE) DEC 25                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -17 | NC      | $72986.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| National Stock Exchange Of India                                 | IFSC NIFTY 50 DEC 25                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IN        |          77 | NC      | $-4907.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| National Stock Exchange Of India                                 | IFSC NIFTY 50 DEC 25                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IN        |         -54 | NC      | $-13635.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $22314.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-76734.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-45650.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $140.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $-377477.93   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $-19153.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $178380.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-9644.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-15251.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $232889.88    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-6999.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-62990.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $-77396.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $3.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $-88884.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $-1059.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $1859.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-124587.40   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $24296.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $-27818.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $-7331.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $140364.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-55087.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-8659.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $243236.86    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-24829.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-21757.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-95772.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-1972.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $1436.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-2947.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-723.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $1198.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $-172090.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $-8304.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $149364.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $12068.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $262181.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-54224.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $140802.85    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-17938.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $23.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-1007.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-705825.28   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-26784.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $84229.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-42879.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-19873.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $75562.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-62025.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-29017.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $-1812.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $18474.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-11162.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-2060.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $25776.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-41074.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-23633.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $45820.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-46708.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-19626.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $348662.86    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-23112.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-117208.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $11050.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-18723.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-24763.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $27131.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-330.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $78048.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-26935.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $230716.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $-8802.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $4583.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $47557.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-16494.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $5683.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $67491.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-19417.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $300623.65    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $14432.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $115354.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $37897.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $408279.17    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-1575.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $37371.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-1903.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $38302.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $-9690.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $6191.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $43272.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-281680.41   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $33280.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $39565.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-61212.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $205137.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $34946.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $1520.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-6565.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $1582.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $120252.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $-351.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $8.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $-142528.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $-5719.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-1962679.18  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $38614.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-9932.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $2492.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-877664.93   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $24476.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-4093.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $165446.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $31474.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-36480.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $35534.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $29719.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-65987.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $4801.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $32609.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $1833.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $4034.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-63739.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $8096.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $35396.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-4252.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $345.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $19689.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-55721.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $39125.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $110166.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-29970.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $37419.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-21584.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-620144.81   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-49676.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $374529.53    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-623.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $23454.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-239988.70   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-9298.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAR 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          11 | NC      | $-33486.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAR 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -11 | NC      | $40498.45     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAR 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -15 | NC      | $-26454.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAY 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          13 | NC      | $20138.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAY 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           1 | NC      | $-2478.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE JUL 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          22 | NC      | $46695.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE JUL 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           8 | NC      | $-16527.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Korea Exchange (Futures Market)                                  | KOSPI2 INDEX DEC 25                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |          18 | NC      | $-3730.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Warsaw Stock Exchange/Equities/Main Market                       | WIG20(PLN20) INDEX DEC 25                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | PL        |        -302 | NC      | $70047.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE MAR 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -10 | NC      | $6657.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE MAR 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -143 | NC      | $97208.06     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE MAY 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          37 | NC      | $-19259.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE JUL 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          72 | NC      | $-17497.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM JAN 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -184 | NC      | $-394654.55   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM MAR 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          38 | NC      | $160217.86    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM MAY 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          27 | NC      | $112926.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM JUL 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          54 | NC      | $56993.45     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM DEC 25                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          14 | NC      | $6106.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM DEC 25                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -32 | NC      | $8765.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE FEB 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          10 | NC      | $-27010.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE FEB 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         -41 | NC      | $98339.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE APR 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          19 | NC      | $-126005.33   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE JUN 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          40 | NC      | $-318598.99   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE AUG 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          20 | NC      | $-9916.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE DEC 25                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          42 | NC      | $-345369.13   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS FEB 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          14 | NC      | $2568.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS FEB 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         137 | NC      | $-50620.07    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS APR 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          22 | NC      | $-38958.86    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS JUN 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          39 | NC      | $-69622.11    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS JUL 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          14 | NC      | $3916.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS JUL 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           5 | NC      | $-634.67      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS DEC 25                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          67 | NC      | $-49988.05    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD JAN 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           9 | NC      | $-13306.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD MAR 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           8 | NC      | $-15022.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | LME LEAD MAY 26                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | GB        |           8 | NC      | $-7277.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD JUL 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          16 | NC      | $-25842.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL JAN 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -75 | NC      | $235403.97    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          11 | NC      | $-45491.49    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -6 | NC      | $-89.70       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAY 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          11 | NC      | $-34159.05    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL JUL 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          21 | NC      | $-50423.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL DEC 25                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -14 | NC      | $42836.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME COPPER MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           3 | NC      | $27024.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME COPPER DEC 25                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           4 | NC      | $41273.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC JAN 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          68 | NC      | $55799.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC MAR 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          24 | NC      | $80420.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC MAY 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          13 | NC      | $33172.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC JUL 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          27 | NC      | $9637.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC DEC 25                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          44 | NC      | $69263.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | MSCI EMER MKT INDEX (ICE) DEC 25                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |         221 | NC      | $348159.73    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | MSCI EAFE INDEX DEC 25                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          -5 | NC      | $-17660.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $42079.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-128618.60   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $296.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-173456.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $208910.02    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $605174.86    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $99563.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $488824.28    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $49625.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $371959.31    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $405393.94    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $5397.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $638349.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $64550.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1315.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-67083.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $-66986.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |           1 | NC      | $243135.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $37584.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-100014.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $19455.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-246682.61   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-290213.55   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-277734.03   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-75175.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-1494864.90  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $111200.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $-495132.80   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $173624.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $56823.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-111235.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | TURKISH LIRA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |           1 | NC      | $376654.19    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $32238.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2792.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-92203.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JAN 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -3 | NC      | $-2114.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JAN 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -628 | NC      | $-4339531.12  | -0.85%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JAN 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         -57 | NC      | $-106579.17   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS MAR 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          30 | NC      | $44825.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS MAR 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          85 | NC      | $-52651.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS MAY 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         117 | NC      | $195947.91    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JUL 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         137 | NC      | $36503.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JUL 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          78 | NC      | $-16607.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | NIKKEI 225 (OSE) DEC 25                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           3 | NC      | $24408.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | NASDAQ 100 E-MINI DEC 25                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           4 | NC      | $55147.31     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT DEC 25                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          12 | NC      | $5088.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT DEC 25                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          18 | NC      | $-1127.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT DEC 25                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         166 | NC      | $235638.42    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BOBL DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          34 | NC      | $708.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | PALLADIUM MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           3 | NC      | $25009.17     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | PLATINUM JAN 26                                                  | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -7 | NC      | $-56086.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | S&P/TSE 60 INDEX DEC 25                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          28 | NC      | $127097.85    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | S&P/TSE 60 INDEX DEC 25                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          91 | NC      | $1302283.87   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | S&P/TSE 60 INDEX DEC 25                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          24 | NC      | $295085.87    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | COCOA FUTURE (LIFFE) MAR 26                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -8 | NC      | $19908.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nasdaq Stockholm AB                                              | OMXS30 INDEX DEC 25                                              | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |         197 | NC      | $215752.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Nasdaq Stockholm AB                                              | OMXS30 INDEX DEC 25                                              | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |         -48 | NC      | $-53844.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          39 | NC      | $-147118.37   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          12 | NC      | $55081.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          37 | NC      | $-78013.80    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL MAR 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          18 | NC      | $19127.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           7 | NC      | $2227.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          11 | NC      | $-5537.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL JUL 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          37 | NC      | $-37446.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | MSCI SING IX ETS DEC 25                                          | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -151 | NC      | $-39619.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         136 | NC      | $20516.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO-BUND DEC 25                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | DE        |          11 | NC      | $-4133.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND DEC 25                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -52 | NC      | $-4235.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          -6 | NC      | $-16726.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -275 | NC      | $-1373826.01  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN JAN 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -30 | NC      | $-150462.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MAR 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          49 | NC      | $233724.09    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          49 | NC      | $155316.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN JUL 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          97 | NC      | $230284.94    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          48 | NC      | $29278.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -64 | NC      | $-64464.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -285 | NC      | $425578.43    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | SUGAR #11 MAR 26                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |         -30 | NC      | $-4870.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           5 | NC      | $2975.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          75 | NC      | $-77800.23    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          44 | NC      | $45053.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         116 | NC      | $-40497.93    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | THREE-MONTH SOFR FUTURE MAR 26                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -129 | NC      | $5024.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | THREE-MONTH SOFR FUTURE SEP 25                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         131 | NC      | $-15698.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | SILVER MAR 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           4 | NC      | $121309.23    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | SILVER MAR 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -4 | NC      | $-122524.60   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) JAN 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -202 | NC      | $-568332.22   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) MAR 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          48 | NC      | $136663.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) MAY 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          47 | NC      | $111626.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) JUL 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          92 | NC      | $176778.18    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $316.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-133.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $7017.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $721.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $7579.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                    | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $4959.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | GB        |           1 | NC      | $-330873.10   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | NZ        |           1 | NC      | $235646.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                                       | FTSE/MIB INDEX DEC 25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |         -73 | NC      | $-273779.37   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | FTSE/MIB INDEX DEC 25                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | IT        |         -29 | NC      | $-125230.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley International                                     | SYN BOVESPA (IBOVESPA) INDEX DEC 2                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | BR        |        -169 | OU      | $-191293.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SYN TAIEX DEC 25                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | TW        |          29 | OU      | $140219.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN KOSPI2 INDEX DEC 25                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | KR        |         170 | OU      | $1689846.56   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SYN WIG20(PLN20) INDEX DEC 25                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | PL        |          -6 | OU      | $-2116.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN SWISS MKT IX DEC 25                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | DE        |         -59 | OU      | $-222050.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX DEC 25                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           5 | NC      | $19989.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX DEC 25                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           9 | NC      | $36780.03     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX DEC 25                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |         -56 | NC      | $-585076.78   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          21 | NC      | $2259.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         228 | NC      | $-8207.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE TAIWAN DEC 25                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          45 | NC      | $124739.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE TAIWAN DEC 25                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         -22 | NC      | $-73216.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -1311 | NC      | $-213576.20   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -43 | NC      | $-6453.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | CH        |           1 | NC      | $-348001.90   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US LONG BOND MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -240 | NC      | $-146733.02   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO STOXX 50 DEC 25                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           9 | NC      | $16160.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO STOXX 50 DEC 25                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -759 | NC      | $-1633104.26  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAR 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          15 | NC      | $-10084.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAR 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -295 | NC      | $197819.35    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAR 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          -5 | NC      | $4810.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAY 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |           8 | NC      | $1357.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | WHEAT MAY 26                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |          49 | NC      | $-29147.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT JUL 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          34 | NC      | $9400.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT JUL 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          79 | NC      | $-52305.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | AU        |           1 | NC      | $-22161.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | CA        |           1 | NC      | $-55325.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | CH        |           1 | NC      | $-438.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | XX        |           1 | NC      | $-19665.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | JP        |           1 | NC      | $27556.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | AU        |           1 | NC      | $3329.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | CH        |           1 | NC      | $421940.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | GB        |           1 | NC      | $19134.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | JP        |           1 | NC      | $4730.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | JP        |           1 | NC      | $-1297384.90  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | NO        |           1 | NC      | $625.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA T-BOND MAR 26                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -122 | NC      | $-84492.14    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA T-BOND MAR 26                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -64 | NC      | $-3574.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB JAN 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          30 | NC      | $-113795.09   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB JAN 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         122 | NC      | $127716.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB JAN 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          58 | NC      | $-163153.88   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB MAR 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          11 | NC      | $-19402.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB MAY 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          10 | NC      | $-16828.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB JUL 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          19 | NC      | $-22670.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 10YR BOND DEC 25                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         672 | NC      | $-830153.07   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 10YR BOND DEC 25                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         179 | NC      | $-256575.41   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 10YR BOND DEC 25                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -973 | NC      | $1204625.39   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | SPI 200 DEC 25                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |           9 | NC      | $-39645.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | SPI 200 DEC 25                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |          37 | NC      | $-210074.81   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | SPI 200 DEC 25                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |        -129 | NC      | $42278.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE CHINA A50 DEC 25                                            | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         265 | NC      | $33532.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                              | AUST 3YR BOND DEC 25                                             | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          68 | NC      | $-29267.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX DEC 25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          52 | NC      | $109992.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX DEC 25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          -7 | NC      | $-38829.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX DEC 25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |         -25 | NC      | $-49793.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Securities LLC                                       | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | NZ        |           1 | NC      | $307324.77    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-27

**Name of Applicant:** COLUMBIA FUNDS SERIES TRUST I

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager