# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001410368-26-040883
**Filing Date:** 2026-4
**Character Count:** 699973
**Document Hash:** e7398e1e09da105822e8687e49a01509
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-040883.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001410368-26-040883

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260831

**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:** 26900071

**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

### Multi-Manager Alternative Strategies Fund (Series ID: S000036207)

| Class ID   | Class Name                                                    | Ticker Symbol   |
|:---|:---|:---|
| C000179757 | Multi-Manager Alternative Strategies Fund Institutional Class | CZAMX           |

## 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:** 1800-345-6611

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

- **a. Name of Series:** Multi-Manager Alternative Strategies Fund

- **b. EDGAR series identifier (if any):** S000036207

- **c. LEI of Series:** 8Z4K1FUQRPCJYKZNOK04

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $659050386.75

**Total Liabilities:** $37729941.78

**Net Assets:** $621320444.97

**Amount of Assets Invested in Other Investment Companies:** $20698970.43

**Delayed Delivery Securities:** $27407666.50

**Cash Not Reported:** $1000912.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 12374.70000000 | **1-Year:** 2087.47000000 | **5-Year:** 11963.66000000 | **10-Year:** 30372.09000000 | **30-Year:** 41992.78000000

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

- **3-Month:** 8706.50000000 | **1-Year:** -2952.82000000 | **5-Year:** 13916.24000000 | **10-Year:** 51333.21000000 | **30-Year:** 27401.62000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000179757 | 0.92%                | 1.74%                | 1.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-213376.41              | $-449697.37                                |
| Month 2  | $169498.35               | $1110710.36                                |
| Month 3  | $387292.57               | $2289159.24                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PHILLIPS 66 CO                                                                      | Phillips 66 Co                                                                   | CUSIP: 718547BA9<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |      210000 | PA      | $212751.77    | 0.03%             | 2056-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2323.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                             | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $107726.55    | 0.02%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                           | Sunoco LP                                                                        | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      675000 | PA      | $699694.83    | 0.11%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TKO Worldwide Holdings LLC                                                          | TKO Worldwide Holdings LLC 2025 Term Loan                                        | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      413830 | PA      | $413917.34    | 0.07%             | 2031-11-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                                                 | Korea Treasury Bond                                                              | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  2400000000 | PA      | $1672373.88   | 0.27%             | 2027-09-10      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                                          | NBN Co Ltd                                                                       | CUSIP: 000000000<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |      180000 | PA      | $216420.72    | 0.03%             | 2032-11-29      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                            | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |       60000 | PA      | $62808.68     | 0.01%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-HQA3                                          | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |      255000 | PA      | $264644.99    | 0.04%             | 2042-08-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                            | Mars Inc                                                                         | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      185000 | PA      | $191630.30    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $5817.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | STOXX EUROPE 600 MAR 26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          66 | NC      | $124574.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                                                | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $3627.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | S&P500 EMINI MAR 26                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           8 | NC      | $-7005.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      285000 | PA      | $284010.40    | 0.05%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-931.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $548360.95    | 0.09%             | 2068-03-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                             | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      206000 | PA      | $219232.76    | 0.04%             | 2036-05-16      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                             | American Airlines Inc 2025 Term Loan B                                           | CUSIP: 02376CBT1<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | LON              | CORP              | KY        |      352338 | PA      | $352228.28    | 0.06%             | 2032-05-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      385000 | PA      | $395102.03    | 0.06%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                 | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      175000 | PA      | $160576.20    | 0.03%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                                         | Corevest American Finance 2019-3 Trust                                           | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       14629 | PA      | $64.78        | 0.00%             | 2052-10-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR SEP 26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           9 | NC      | $-1651.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                                                             | HCA Inc                                                                          | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      680000 | PA      | $713573.58    | 0.11%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | BRENT CRUDE (ICE) MAY 26                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          36 | NC      | $117540.05    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                                             | Goldentree Loan Management US Clo 15 Ltd                                         | CUSIP: 38139BBJ7<br>LEI: 549300JGUKVX0EDNOJ93 | Long             | ABS-CBDO         | CORP              | JE        |      300000 | PA      | $296196.90    | 0.05%             | 2038-10-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                                      | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    25510000 | PA      | $1281863.34   | 0.21%             | 2032-11-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                                                      | ICG US CLO 2022-1i Ltd                                                           | CUSIP: 44933EAY5<br>LEI: 213800BCHLSBMDBGXD58 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $352817.15    | 0.06%             | 2038-10-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      403340 | PA      | $392646.37    | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BM7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34551 | PA      | $14.37        | 0.00%             | 2043-10-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140XNWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      902927 | PA      | $878257.61    | 0.14%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                                 | Spectrum Brands Inc                                                              | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |      272000 | PA      | $238730.22    | 0.04%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                                                  | MetroNet Infrastructure Issuer LLC                                               | CUSIP: 59170JAZ1<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      335000 | PA      | $339993.21    | 0.05%             | 2055-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                              | CenterPoint Energy Inc                                                           | CUSIP: 15189TBS5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      175000 | PA      | $176142.59    | 0.03%             | 2056-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325000 | PA      | $314607.89    | 0.05%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | AU        |           1 | NC      | $10737.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WOODWARD CAPITAL MANAGEMENT RCKT_26-CES1                                            | WOODWARD CAPITAL MANAGEMENT RCKT_26-CES1                                         | CUSIP: 74939BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      420000 | PA      | $422984.60    | 0.07%             | 2056-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | MEXICAN PESO                                                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $6133.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $9436.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | AUST 3YR BOND MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -74 | NC      | $-3790.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LEAN HOGS JUN 26                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          19 | NC      | $12458.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudson Yards                                                                        | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85000 | PA      | $74159.87     | 0.01%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| SVC ABS LLC                                                                         | SVC ABS LLC                                                                      | CUSIP: 78488JAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $401460.32    | 0.06%             | 2056-03-20      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                                                     | KOSPI200 MINI MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |           3 | NC      | $16547.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2021-SFR7 Trust                                             | CUSIP: 74333PAL1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      788000 | PA      | $745515.93    | 0.12%             | 2040-08-17      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                            | Virgin Media Secured Finance PLC                                                 | CUSIP: 000000000<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      150000 | PA      | $186481.07    | 0.03%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                   | DISH Network Corp                                                                | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      127000 | PA      | $131175.65    | 0.02%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DWR CYMRU FINANCING UK                                                              | DWR Cymru Financing UK PLC                                                       | CUSIP: 000000000<br>LEI: 213800GDOFO2ED5PNC85 | Long             | DBT              | CORP              | GB        |      165000 | PA      | $173844.01    | 0.03%             | 2034-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      151684 | PA      | $147196.02    | 0.02%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                             | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |      235000 | PA      | $239219.15    | 0.04%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                       | TransDigm Inc                                                                    | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      250000 | PA      | $259550.71    | 0.04%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                          | Intel Corp                                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       45000 | PA      | $42688.93     | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                            | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      227000 | PA      | $220738.52    | 0.04%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                                          | Grifols SA                                                                       | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |      296000 | PA      | $365929.70    | 0.06%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                             | International Bank for Reconstruction & Development                              | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | XX        |      289000 | PA      | $302614.97    | 0.05%             | 2034-08-08      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                                               | Philippine Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    28830000 | PA      | $509356.69    | 0.08%             | 2030-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                               | Indonesia Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      100000 | PA      | $98388.35     | 0.02%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | AUD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           5 | NC      | $4441.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                              | Venture Global LNG Inc                                                           | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      177000 | PA      | $187566.41    | 0.03%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                            | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |      272000 | PA      | $259353.51    | 0.04%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                         | GSAMP Trust 2005-WMC3                                                            | CUSIP: 362341L56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      358407 | PA      | $353487.43    | 0.06%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Johannesburg Stock Exchange                                                         | FTSE/JSE TOP 40 MAR 26                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |           7 | NC      | $37289.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $16547.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                 | American Express Co                                                              | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       85000 | PA      | $84386.03     | 0.01%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US 2YR NOTE JUN 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -2 | NC      | $-643.97      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BERRY GLOBAL INC                                                                    | Berry Global Inc                                                                 | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |       24000 | PA      | $24011.96     | 0.00%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                               | Molina Healthcare Inc                                                            | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      205000 | PA      | $201665.45    | 0.03%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                                           | RAMP Series 2006-RZ2 Trust                                                       | CUSIP: 75156UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      261763 | PA      | $260393.24    | 0.04%             | 2036-05-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                                                 | Malaysia Government Bond                                                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     1505000 | PA      | $403942.13    | 0.07%             | 2031-06-30      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      533725 | PA      | $519150.42    | 0.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                                | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  6212000000 | PA      | $381443.74    | 0.06%             | 2030-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CHILEAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2574.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                 | American Express Co                                                              | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      170000 | PA      | $173843.99    | 0.03%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-through Certificates                                       | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      485000 | PA      | $502840.24    | 0.08%             | 2042-07-13      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                   | Eversource Energy                                                                | CUSIP: 30040WBD9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      520000 | PA      | $523288.52    | 0.08%             | 2056-08-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $35.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                                 | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      317000 | PA      | $434094.30    | 0.07%             | 2029-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63                              | CUSIP: 38380WUG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      576287 | PA      | $107855.52    | 0.02%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                       | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                  | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375000 | PA      | $356313.98    | 0.06%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST FKH_21-SFR2                                                    | FIRSTKEY HOMES TRUST FKH_21-SFR2                                                 | CUSIP: 33767TAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $837306.44    | 0.13%             | 2038-09-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                              | Energizer Holdings Inc                                                           | CUSIP: 29272WAG4<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |      155000 | PA      | $151437.79    | 0.02%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QV3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      500551 | PA      | $516844.02    | 0.08%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-9913.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |           1 | NC      | $-1631.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | BRL/USD FUTURE (CME) APR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          83 | NC      | $11596.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1335000 | PA      | $1263765.23   | 0.20%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | MILLING WHEAT DEC 26                                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              |  | FR        |         -12 | NC      | $-6959.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| QXO INC                                                                             | QXO Inc                                                                          | CUSIP: 82846H504<br>LEI: 549300HDXQWWCBOYXP31 | Long             | EP               | CORP              | US        |       13350 | NS      | $886351.53    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                | Royal Bank of Canada                                                             | CUSIP: 780086UF9<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      800000 | PA      | $576745.15    | 0.09%             | 2027-02-24      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                               | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      450000 | PA      | $533867.53    | 0.09%             | 2031-05-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                                        | KazMunayGas National Co. JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | NUSS              | KZ        |      215000 | PA      | $221110.85    | 0.04%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                      | NRG ENERGY INC                                                                   | CUSIP: 000000000<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |      712642 | PA      | $713867.90    | 0.11%             | 2031-04-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | BRENT CRUDE (ICE) JUL 26                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           5 | NC      | $11605.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SBA TOWER TRUST                                                                     | SBA Tower Trust                                                                  | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |      240000 | PA      | $244210.54    | 0.04%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137FFBT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      410049 | PA      | $64181.97     | 0.01%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                                                              | Edgewell Personal Care Co                                                        | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |       94000 | PA      | $93804.44     | 0.02%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                             | International Bank for Reconstruction & Development                              | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | XX        |    30500000 | PA      | $336186.99    | 0.05%             | 2028-04-24      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-615.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAA5<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      118074 | PA      | $113887.54    | 0.02%             | 2067-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                                    | Hewlett Packard Enterprise Co                                                    | CUSIP: 42824C208<br>LEI: 549300BX44RGX6ANDV88 | Long             | EP               | CORP              | US        |        5750 | NS      | $341204.07    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                 | Dominion Energy Inc                                                              | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      600000 | PA      | $609218.36    | 0.10%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                          | 3M CORRA JUN 26                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           5 | NC      | $-55.99       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | US 10YR NOTE JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -3 | NC      | $-1503.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| POST HOLDINGS INC                                                                   | Post Holdings Inc                                                                | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |       65000 | PA      | $62155.42     | 0.01%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PINNACLE BANK TN                                                                    | Pinnacle Bank/Nashville TN                                                       | CUSIP: 87164DXY1<br>LEI: 549300CDOC4F7XSRG390 | Long             | DBT              | CORP              | US        |      460000 | PA      | $467136.18    | 0.08%             | 2036-01-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-27453.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-22139.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $8386.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                                                                    | CSN Resources SA                                                                 | CUSIP: 12644VAE8<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |      420000 | PA      | $299831.85    | 0.05%             | 2032-04-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | SUGAR #11 JUL 26                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -11 | NC      | $-3384.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ARAMARK SERVICES INC                                                                | Aramark Services Inc 2025 Term Loan                                              | CUSIP: 03852JBC4<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |      269554 | PA      | $269777.65    | 0.04%             | 2030-06-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                              | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      190000 | PA      | $201516.77    | 0.03%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                       | TransDigm Inc                                                                    | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      730000 | PA      | $765058.83    | 0.12%             | 2031-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                                     | Invesco US CLO 2024-4 Ltd                                                        | CUSIP: 46151DAC5<br>LEI: 2138006HTEY9GGW6XF50 | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $13393.20     | 0.00%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                               | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102CF2<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |      101000 | PA      | $99427.54     | 0.02%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COCOA MAY 26                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -5 | NC      | $12948.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| National Stock Exchange of India Ltd.                                               | IFSC NIFTY 50 MAR 26                                                             | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               |  | IN        |           1 | NC      | $-658.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                                 | NEW ZEAL 3MO BILL JUN 26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |           3 | NC      | $378.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATL GAS TRANSMISSION                                                               | National Gas Transmission PLC                                                    | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $247844.65    | 0.04%             | 2030-04-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                                                            | Farmers Exchange Capital III                                                     | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $281920.38    | 0.05%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SPIRE INC                                                                           | Spire Inc                                                                        | CUSIP: 84857LAE1<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |      185000 | PA      | $189401.72    | 0.03%             | 2056-06-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                                               | Huntington Bancshares Inc/OH                                                     | CUSIP: 446150BG8<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      822000 | PA      | $829878.68    | 0.13%             | 2030-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                        | AMPRION GMBH                                                                     | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $120802.14    | 0.02%             | 2046-01-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                                  | Voyager Parent LLC                                                               | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |      163000 | PA      | $174018.59    | 0.03%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                                          | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      165000 | PA      | $222872.86    | 0.04%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | SPI 200 MAR 26                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | AU        |          10 | NC      | $71502.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Option One Mortgage Loan Trust                                                      | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      796493 | PA      | $530972.35    | 0.09%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                              | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664CS8<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      250000 | PA      | $241447.66    | 0.04%             | 2039-06-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                               | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      160000 | PA      | $156612.02    | 0.03%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $3057.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDI O2 VI DAC                                                               | Virgin Media O2 Vendor Financing Notes VI DAC                                    | CUSIP: 92769UAA9<br>LEI: 9845001E591J5060A412 | Long             | DBT              | CORP              | IE        |      116000 | PA      | $106737.65    | 0.02%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                             | Home Equity Asset Trust 2005-2                                                   | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      434860 | PA      | $435270.09    | 0.07%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                               | Arroyo Mortgage Trust 2019-1                                                     | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25797 | PA      | $25590.78     | 0.00%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                            | MSCI Inc                                                                         | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |       90000 | PA      | $80155.28     | 0.01%             | 2033-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136BWAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1469467 | PA      | $85136.51     | 0.01%             | 2055-06-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136BUDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      561069 | PA      | $52460.42     | 0.01%             | 2054-12-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2022-LP2                                            | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      318500 | PA      | $318400.48    | 0.05%             | 2039-02-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                                      | MINI TPX IDX MAR 26                                                              | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          18 | NC      | $50265.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | SUGAR #11 MAY 26                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -33 | NC      | $-9414.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                            | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      355000 | PA      | $351441.09    | 0.06%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                                                 | Prestige Brands Inc                                                              | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |      207000 | PA      | $193718.98    | 0.03%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                              | Extra Space Storage LP                                                           | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |       30000 | PA      | $26886.36     | 0.00%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-4147.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NATURAL GAS MAY 26                                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -5 | NC      | $4891.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                                    | T-Mobile USA Inc                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19975.88     | 0.00%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                          | Morgan Stanley ABS Capital I Inc Trust 2005-WMC1                                 | CUSIP: 61744CLW4<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |      138229 | PA      | $141873.36    | 0.02%             | 2035-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                                                      | Becle SAB de CV                                                                  | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |      335000 | PA      | $293640.60    | 0.05%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                            | Lloyds Banking Group PLC                                                         | CUSIP: 539439BF5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      330000 | PA      | $327627.48    | 0.05%             | 2035-09-27      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                           | AADVANTAGE LOYALTY IP LTD                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      132251 | PA      | $131966.27    | 0.02%             | 2028-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ONT GAMING GTA/OTG CO-IS                                                            | Ontario Gaming GTA LP/OTG Co-Issuer Inc                                          | CUSIP: 68306MAA7<br>LEI: 894500EC9KLZLOC3V025 | Long             | DBT              | CORP              | CA        |      132000 | PA      | $127428.98    | 0.02%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EMINI ENERGY SELECT SECTOR MAR 26                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           1 | NC      | $15268.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                                                | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $-19396.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                            | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      110000 | PA      | $109236.88    | 0.02%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | MEXICAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-18623.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                                          | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                             | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |      425000 | PA      | $377497.03    | 0.06%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-3994.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                             | United Rentals North America Inc                                                 | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      475000 | PA      | $457667.23    | 0.07%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | DAX INDEX MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           3 | NC      | $49896.73     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstMac Mortgage Funding Trust                                                     | FIRSTMAC MORTGAGE FUNDING TRUST NO. 4 SERIES 2024-4                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | AU        |      340396 | PA      | $243032.70    | 0.04%             | 2056-02-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                                | Bayer US Finance LLC                                                             | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      120000 | PA      | $131422.37    | 0.02%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FINANCIAL                                                                 | Provident Financial Services Inc                                                 | CUSIP: 74386TAA3<br>LEI: 529900JOSO3SXEDVE477 | Long             | DBT              | CORP              | US        |      210000 | PA      | $219822.64    | 0.04%             | 2034-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                         | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MBU2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |      433333 | PA      | $433931.34    | 0.07%             | 2027-06-25      | Fixed         | 6.91%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                                               | Caesars Entertainment Inc                                                        | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      105000 | PA      | $106672.93    | 0.02%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN OIL DEC 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          12 | NC      | $32619.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                                                  | CWALT_05-43                                                                      | CUSIP: 12667G5U3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      139325 | PA      | $125907.38    | 0.02%             | 2035-10-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                               | Mexico Government International Bond                                             | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      420000 | PA      | $420025.18    | 0.07%             | 2035-09-22      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2024-SFR5 Trust                                             | CUSIP: 74332HAL0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      740000 | PA      | $694492.74    | 0.11%             | 2029-08-09      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-3297.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                    | Societe Generale SA                                                              | CUSIP: 83370RAF5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      260000 | PA      | $258523.57    | 0.04%             | 2035-07-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $253.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                             | KazMunayGas National Co JSC                                                      | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | NUSS              | KZ        |      430000 | PA      | $395045.56    | 0.06%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                             | United Rentals North America Inc                                                 | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      285000 | PA      | $277342.00    | 0.04%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                                    | MGM Resorts International                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |       65000 | PA      | $66706.26     | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | BRENT CRUDE OIL LAST DAY MAY 26                                                  | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           4 | NC      | $7766.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | CANOLA (IFUS) FUTURE MAY 26                                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          12 | NC      | $17.02        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                             | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37049.11     | 0.01%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                                                          | Australia Government Bonds                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      620000 | PA      | $428568.76    | 0.07%             | 2036-03-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA7                                          | CUSIP: 35564KL31<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |       33141 | PA      | $33415.21     | 0.01%             | 2052-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                                | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  5024000000 | PA      | $308684.93    | 0.05%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                             | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |      510000 | PA      | $511768.16    | 0.08%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1025.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-45959.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NMLT Trust                                                                          | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697346 | PA      | $623954.79    | 0.10%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $1173.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                  | Energy Transfer LP                                                               | CUSIP: 29273VAX8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      485000 | PA      | $520854.59    | 0.08%             | 2054-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                  | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | XX        |           1 | NC      | $33159.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST RCKT_24-CES3                                                    | RCKT MORTGAGE TRUST RCKT_24-CES3                                                 | CUSIP: 74942AAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      570000 | PA      | $580298.82    | 0.09%             | 2044-05-25      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $1668.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-4100.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      545223 | PA      | $531047.77    | 0.09%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                         | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $433023.62    | 0.07%             | 2035-08-10      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $536.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                                                          | Fiserv Inc                                                                       | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      110000 | PA      | $109686.63    | 0.02%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                             | International Bank for Reconstruction & Development                              | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | XX        |    24400000 | PA      | $264806.36    | 0.04%             | 2030-04-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260513  LME COMDTY FWD                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -3 | NC      | $865.42       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                                      | JPN 10YR BOND (OSE) MAR 26                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -15 | NC      | $-118847.21   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Bayview Opportunity Master Fund VII                                                 | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                                | CUSIP: 07336PAE4<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |      411786 | PA      | $415874.91    | 0.07%             | 2047-06-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EMINI REAL ESTATE SELECT SECTO MAR                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           3 | NC      | $858.06       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Natixis Commercial Mortgage Securities                                              | Natixis Commercial Mortgage Securities Trust 2018-ALXA                           | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $52595.77     | 0.01%             | 2043-01-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-21715.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                                               | Philippine Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    18900000 | PA      | $336281.84    | 0.05%             | 2029-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA 10YR NOTE JUN 26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          45 | NC      | $41443.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWEDISH KRONA                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-32740.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                                                      | NCR Voyix Corp                                                                   | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      110000 | PA      | $107830.48    | 0.02%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1567.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                                              | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      585000 | PA      | $313702.64    | 0.05%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                    | IndyMac INDX Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      522411 | PA      | $494013.04    | 0.08%             | 2046-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                                                            | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      330000 | PA      | $381653.88    | 0.06%             | 2034-02-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT KCBT FUTURE MAY 26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          14 | NC      | $4692.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | US 2YR NOTE JUN 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           6 | NC      | $2019.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BTAF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1349985 | PA      | $16586.32     | 0.00%             | 2044-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Clean Harbors Inc                                                                   | Clean Harbors Inc 2025 Term Loan                                                 | CUSIP: 18449EAJ9<br>LEI: 5493000SJVZVZJKHJF48 | Long             | LON              | CORP              | US        |      350000 | PA      | $352079.00    | 0.06%             | 2032-10-08      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BOBL MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -9 | NC      | $-6568.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LEAN HOGS APR 26                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           2 | NC      | $85.60        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - All Markets                                                                   | AUST 10YR BOND MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -69 | NC      | $-70589.01    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                                                      | Fannie Mae-Aces                                                                  | CUSIP: 3136ARP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      243442 | PA      | $8642.39      | 0.00%             | 2039-01-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                            | Ford Motor Credit Co LLC                                                         | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      215000 | PA      | $294584.12    | 0.05%             | 2028-10-09      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST MCMLT_19-GS1                                               | MILL CITY MORTGAGE TRUST MCMLT_19-GS1                                            | CUSIP: 59981BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $688319.28    | 0.11%             | 2059-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                                                           | STONEPEAK SALTT_21-1                                                             | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      248815 | PA      | $244480.51    | 0.04%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                              | Cloud Software Group Inc                                                         | CUSIP: 18912UAG7<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      545000 | PA      | $514332.88    | 0.08%             | 2033-08-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                                                     | Allegro CLO V-S Ltd                                                              | CUSIP: 01750RAG5<br>LEI: 2138003E5WTFBR7NV267 | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $501059.50    | 0.08%             | 2037-07-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2943.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                                      | KL COMPOSITE INDX MAR 26                                                         | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DE               |  | MY        |           9 | NC      | $-3895.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | S&P MID 400 EMINI MAR 26                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           4 | NC      | $59539.31     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                               | Quikrete Holdings Inc                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      150000 | PA      | $155916.35    | 0.03%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                                                            | Evergy Missouri West Inc                                                         | CUSIP: 30037EAB9<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |      480000 | PA      | $501337.04    | 0.08%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                             | Romanian Government International Bond                                           | CUSIP: 77586RAV2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       90000 | PA      | $90931.79     | 0.01%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136BGB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      672555 | PA      | $156912.65    | 0.03%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 31427MHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      302148 | PA      | $306346.62    | 0.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $237.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                  | VICI Properties LP                                                               | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      395000 | PA      | $399973.20    | 0.06%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                                                  | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |      670000 | PA      | $664912.49    | 0.11%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                            | Baylor Scott & White Holdings                                                    | CUSIP: 072863AE3<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      500000 | PA      | $491629.98    | 0.08%             | 2026-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Tokyo Commodity Exchange                                                            | RUBBER (TCOM) JUL 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | JP        |           2 | NC      | $1384.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                                          | HSI Asset Securitization Corp Trust 2005-I1                                      | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      318312 | PA      | $302737.27    | 0.05%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $3338.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | YEN DENOM NIKKEI 225 (CME) MAR 26                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           7 | NC      | $119539.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | TAIWAN NEW DOLLAR                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $1622.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | PALLADIUM JUN 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           2 | NC      | $-12703.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                      | Long Beach Mortgage Loan Trust 2006-10                                           | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1717752 | PA      | $513128.74    | 0.08%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-OAT MAR 26                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -8 | NC      | $-13314.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OVINTIV INC                                                                         | Ovintiv Inc                                                                      | CUSIP: 292505AD6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      495000 | PA      | $542588.39    | 0.09%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                                 | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223026 | PA      | $200791.27    | 0.03%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $23907.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                                    | SOUNDVIEW HOME EQUITY LOAN TRUST                                                 | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      133600 | PA      | $131082.99    | 0.02%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                | Cleveland-Cliffs Inc                                                             | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      330000 | PA      | $338699.75    | 0.05%             | 2034-01-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-1633.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                                 | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      300000 | PA      | $406739.19    | 0.07%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Norway Government Bonds                                                             | Norway Government Bonds                                                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |     4695000 | PA      | $427203.49    | 0.07%             | 2031-09-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | US        |           1 | NC      | $8172.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                                | Michaels Cos Inc/The                                                             | CUSIP: 59408QAB2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      175000 | PA      | $170218.82    | 0.03%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Mortgage House Capital Mortgage Trust                                               | Mortgage House RMBS Prime Series 2024-2                                          | CUSIP: 000000000<br>LEI: 9845002AA60A62C9AC97 | Long             | ABS-CBDO         | CORP              | AU        |      222838 | PA      | $159107.71    | 0.03%             | 2057-05-13      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                             | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |      105000 | PA      | $101148.94    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | CRUDE OIL EMINI APR 26                                                           | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           2 | NC      | $1242.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA GROUP/THE                                                                     | Cigna Group/The                                                                  | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      615000 | PA      | $631374.62    | 0.10%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC                    | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                  | CUSIP: 209031AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      420000 | PA      | $444164.32    | 0.07%             | 2055-05-20      | Fixed         | 9.41%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO INC                                                          | DYNASTY ACQUISITION CO INC                                                       | CUSIP: 000000000<br>LEI: 549300L1RCRPOAUCB870 | Long             | LON              | CORP              | US        |       55651 | PA      | $55790.35     | 0.01%             | 2031-10-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                                | SMRT 2022-MINI                                                                   | CUSIP: 78457JAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $349781.25    | 0.06%             | 2039-01-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                                                      | AA Bond Co Ltd                                                                   | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |      100000 | PA      | $135985.08    | 0.02%             | 2032-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $120.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                      | 1261229 BC Ltd                                                                   | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      205000 | PA      | $212961.42    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                                 | Bear Stearns Mortgage Funding Trust 2007-AR3                                     | CUSIP: 07401VAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240217 | PA      | $224620.34    | 0.04%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US LONG BOND JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          13 | NC      | $14558.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| XEROX CORPORATION                                                                   | Xerox Corp                                                                       | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |      215000 | PA      | $155216.78    | 0.02%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                                            | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                   | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      185000 | PA      | $187003.87    | 0.03%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | ZAR/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |         147 | NC      | $326770.71    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $1172.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST LXS_06-19                                                           | LEHMAN XS TRUST LXS_06-19                                                        | CUSIP: 52523YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      503616 | PA      | $485773.60    | 0.08%             | 2036-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMERICA INC                                                    | UNITED RENTALS NORTH AMERICA INC                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      196500 | PA      | $196893.00    | 0.03%             | 2031-02-14      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                       | EchoStar Corp                                                                    | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |       68000 | PA      | $74266.74     | 0.01%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                               | PRPM 2025-RCF3 LLC                                                               | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $573911.23    | 0.09%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                    | RALI Series 2006-QA6 Trust                                                       | CUSIP: 74922MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      229245 | PA      | $216029.74    | 0.03%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                                 | BEAR STEARNS MORTGAGE FUNDING BSMF_07-AR5                                        | CUSIP: 07400NAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      699082 | PA      | $646546.91    | 0.10%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                       | Citigroup Inc                                                                    | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      195000 | PA      | $178576.91    | 0.03%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $12.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKT_17-3C                                                                         | ROCKT_17-3C                                                                      | CUSIP: 77341DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $450403.20    | 0.07%             | 2030-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                                          | IBEX 35 INDEX MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |           5 | NC      | $15936.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LEAN HOGS APR 26                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           1 | NC      | $1679.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MICHAELS COS INC/THE                                                                | Michaels Cos Inc/The                                                             | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |       51000 | PA      | $51210.44     | 0.01%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                              | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       55000 | PA      | $50361.04     | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | GOLD 100 OZ APR 26                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           3 | NC      | $42474.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SABRE GLBL INC                                                                      | Sabre GLBL Inc                                                                   | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       18000 | PA      | $13288.56     | 0.00%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                           | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBA3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     1854349 | PA      | $4607.32      | 0.00%             | 2049-11-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | COCOA FUTURE (LIFFE) MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -7 | NC      | $7530.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                             | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAL0<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      315000 | PA      | $319929.16    | 0.05%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                 | American Tower Corp                                                              | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      195000 | PA      | $200380.86    | 0.03%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | THREE-MONTH SOFR FUTURE JUN 26                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          -8 | NC      | $-419.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                        | BAMLL Commercial Mortgage Securities Trust 2018-PARK                             | CUSIP: 05491YAA8<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |       95000 | PA      | $93877.88     | 0.02%             | 2038-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                         | BNP Paribas SA                                                                   | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      500000 | PA      | $525273.44    | 0.08%             | 2034-09-10      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                         | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547000 | PA      | $545590.44    | 0.09%             | 2058-02-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA 10YR NOTE JUN 26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          15 | NC      | $15874.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2023-4                                                | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      445441 | PA      | $444781.73    | 0.07%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $8848.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Commodity Exchange                                                            | PLATINUM TCOM DEC 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | JP        |           1 | NC      | $1535.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | CAD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           9 | NC      | $1771.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SUEZ                                                                                | Suez SACA                                                                        | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $111577.79    | 0.02%             | 2034-05-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN MEAL (CBT) JUL 26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -23 | NC      | $-10701.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LUMBER FUT MAY 26                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          -2 | NC      | $345.83       | 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        |           2 | NC      | $21114.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                                              | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | XX        |           1 | NC      | $32422.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE                                                            | Pacific National Finance Pty Ltd                                                 | CUSIP: 000000000<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |      240000 | PA      | $157951.32    | 0.03%             | 2029-09-24      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                    | RALI Series 2007-QH6 Trust                                                       | CUSIP: 74922AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222716 | PA      | $210192.26    | 0.03%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE APR 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           8 | NC      | $28946.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MSCI INC                                                                            | MSCI Inc                                                                         | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      345000 | PA      | $324290.41    | 0.05%             | 2031-11-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC                                                            | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      315000 | PA      | $322606.31    | 0.05%             | 2056-02-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                         | OCP CLO 2015-9 Ltd                                                               | CUSIP: 67092BAE3<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |     1100000 | PA      | $383189.40    | 0.06%             | 2037-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                          | Morgan Stanley ABS Capital I Inc Trust 2007-HE2                                  | CUSIP: 61753EAB6<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |     1087009 | PA      | $502795.80    | 0.08%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                             | ATI Inc                                                                          | CUSIP: 01741RAN2<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |       92000 | PA      | $96331.14     | 0.02%             | 2030-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3150000 | PA      | $3200503.29   | 0.52%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                                      | Open Text Corp                                                                   | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |       80000 | PA      | $72000.00     | 0.01%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                         | Aker BP ASA                                                                      | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |      310000 | PA      | $309188.98    | 0.05%             | 2034-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                                    | GREAT WOLF TRUST GWT_24-WOLF                                                     | CUSIP: 39152MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      540000 | PA      | $540337.50    | 0.09%             | 2039-03-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      540000 | PA      | $377194.13    | 0.06%             | 2038-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                                         | FIGRE Trust 2025-HE7                                                             | CUSIP: 31684RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      706478 | PA      | $707662.48    | 0.11%             | 2055-11-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                | Royal Bank of Canada                                                             | CUSIP: 780082AV5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      165000 | PA      | $170891.74    | 0.03%             | 2085-08-24      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MABS_05-WF1                                                                         | MABS_05-WF1                                                                      | CUSIP: 57643LKB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      462364 | PA      | $462205.30    | 0.07%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | CORN SEP 26                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -36 | NC      | $-18805.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Madison Avenue Trust                                                                | MAD Commercial Mortgage Trust 2025-11MD                                          | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580000 | PA      | $594935.81    | 0.10%             | 2042-10-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                             | Fremont Home Loan Trust 2005-D                                                   | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      597825 | PA      | $562384.00    | 0.09%             | 2035-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                                  | JP Morgan Alternative Loan Trust 2006-A1                                         | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168209 | PA      | $161603.63    | 0.03%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | GASOLINE RBOB JUL 26                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           5 | NC      | $29748.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LME PRI ALUM JUN 26                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          23 | NC      | $20512.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                                                    | CSC Holdings LLC                                                                 | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      317000 | PA      | $225918.25    | 0.04%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 207932AA2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       72351 | PA      | $74210.33     | 0.01%             | 2042-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                               | Cellnex Finance Co SA                                                            | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      200000 | PA      | $216953.46    | 0.03%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                                | Michaels Cos Inc/The                                                             | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      235000 | PA      | $235000.00    | 0.04%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                            | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |       16000 | PA      | $14208.59     | 0.00%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                               | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      355467 | PA      | $353979.75    | 0.06%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FINCO OPAL SARL                                                                     | FINCO OPAL SARL                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      100000 | PA      | $118159.72    | 0.02%             | 2030-03-02      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| KASEYA INC                                                                          | KASEYA INC                                                                       | CUSIP: 000000000<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |      382112 | PA      | $344718.97    | 0.06%             | 2032-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNAP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2400000 | PA      | $47508.96     | 0.01%             | 2027-12-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                           | CIM Trust 2020-R6                                                                | CUSIP: 12560YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      578949 | PA      | $534692.24    | 0.09%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $3254.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LIVE CATTLE JUN 26                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           3 | NC      | $-1276.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CENOVUS ENERGY INC                                                                  | Cenovus Energy Inc                                                               | CUSIP: 15135UAT6<br>LEI: 254900LJGL2N2XEMD470 | Long             | DBT              | CORP              | CA        |      215000 | PA      | $158660.24    | 0.03%             | 2028-02-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLEARWATER ANALYTICS LLC                                                            | CLEARWATER ANALYTICS LLC                                                         | CUSIP: 000000000<br>LEI: 894500N8DN2JO5ZDRQ11 | Long             | LON              | CORP              | US        |      428925 | PA      | $428208.70    | 0.07%             | 2032-04-21      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM 2012-CCRE4 Mortgage Trust                                                   | CUSIP: 12624QAS2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |      672393 | PA      | $14220.65     | 0.00%             | 2045-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                                            | GREAT OUTDOORS GROUP LLC                                                         | CUSIP: 000000000<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      935550 | PA      | $933211.13    | 0.15%             | 2032-01-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| GE-WMC Mortgage Securities LLC                                                      | GE-WMC Asset-Backed Pass Through Certificates Series 2005-1                      | CUSIP: 367910AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       64420 | PA      | $64051.18     | 0.01%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                                              | NYC Commercial Mortgage Trust 2025-3BP                                           | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270000 | PA      | $269493.75    | 0.04%             | 2042-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY INC                                                                  | NextEra Energy Inc                                                               | CUSIP: 65339F119<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EP               | CORP              | US        |       20400 | NS      | $1063860.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                   | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      575000 | PA      | $585730.19    | 0.09%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2AC2                                   | WAMU_05-AR8                                                                      | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      260427 | PA      | $252089.87    | 0.04%             | 2045-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                               | INTOWN 2025-STAY Mortgage Trust                                                  | CUSIP: 46117WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      245000 | PA      | $244999.83    | 0.04%             | 2042-03-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                                                     | AutoNation Finance Trust 2025-1                                                  | CUSIP: 05330QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105000 | PA      | $107613.20    | 0.02%             | 2030-12-10      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                        | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR2 Trust | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179320 | PA      | $166365.26    | 0.03%             | 2046-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-10110.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                                                                | SCOTT Trust 2023-SFS                                                             | CUSIP: 810064AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $103093.48    | 0.02%             | 2040-03-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-329.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                            | Occidental Petroleum Corp                                                        | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      170000 | PA      | $177538.95    | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                        | Stryker Corp                                                                     | CUSIP: 863667BK6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |      510000 | PA      | $517530.47    | 0.08%             | 2028-02-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                                 | Medline Borrower LP                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      745000 | PA      | $732710.85    | 0.12%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $18182.36     | 0.00%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                  | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |           1 | NC      | $-70178.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                                | Alpha Generation LLC                                                             | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      205000 | PA      | $213190.06    | 0.03%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260512 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $2121.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2026-SFR1 Trust                                             | CUSIP: 74334HAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230000 | PA      | $218940.68    | 0.04%             | 2043-02-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                                                        | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      446000 | PA      | $272528.61    | 0.04%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2008-2                                                    | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |      740000 | PA      | $784308.39    | 0.13%             | 2083-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-VOLT                                                               | CUSIP: 05619PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145000 | PA      | $145226.52    | 0.02%             | 2044-12-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                           | CIM Trust 2021-R3                                                                | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713585 | PA      | $668646.07    | 0.11%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                      | NRG Energy Inc                                                                   | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      310000 | PA      | $315513.09    | 0.05%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | COLOMBIAN PESO                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-3108.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NZ LOCAL GOVT FUND AGENC                                                            | New Zealand Local Government Funding Agency Bond                                 | CUSIP: 000000000<br>LEI: 254900ZJG39H1CAH6K02 | Long             | DBT              | NUSS              | NZ        |      110000 | PA      | $78526.75     | 0.01%             | 2028-08-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                                | Cross 2026-NQM1 Mortgage Trust                                                   | CUSIP: 22758EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      298762 | PA      | $298395.93    | 0.05%             | 2061-02-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                            | MSCI Inc                                                                         | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      235000 | PA      | $224560.29    | 0.04%             | 2030-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                                | Kraft Heinz Foods Co                                                             | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      620000 | PA      | $508692.48    | 0.08%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AIRBUS SE                                                                           | Airbus SE                                                                        | CUSIP: 000000000<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $113260.13    | 0.02%             | 2030-06-09      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                            | Cloud Software Group Inc 2025 Term Loan B (2031)                                 | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |      509863 | PA      | $472387.96    | 0.08%             | 2031-03-21      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX COMMERCIAL MORTGAGE TRUST BX_21-LBA                                           | CUSIP: 05609BAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $549830.49    | 0.09%             | 2036-02-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                                      | NIKKEI 225 (OSE) MAR 26                                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           2 | NC      | $109874.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-20643.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2021-CIP                                            | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      372302 | PA      | $372185.82    | 0.06%             | 2038-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                               | NGL Energy Operating LLC / NGL Energy Finance Corp                               | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |      105000 | PA      | $110156.48    | 0.02%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                 | American Tower Corp                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       75000 | PA      | $69620.69     | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | GAS OIL JUL 26                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           5 | NC      | $29995.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                                                | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |           1 | NC      | $123.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust Series 2025-CES1                                        | CUSIP: 46658XAE5<br>LEI: 5299003TKRYXBBT76K08 | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $539198.84    | 0.09%             | 2055-05-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38384WAV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1287098 | PA      | $83444.38     | 0.01%             | 2054-09-20      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWISS FRANC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-548.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | DOLLAR INDEX MAR 26                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DFE              |  | US        |          -7 | NC      | $-4471.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| APL Finance LLC                                                                     | APL Finance 2023-1 DAC                                                           | CUSIP: 03790CAH4<br>LEI: 6354009RKO5CXUKYBH41 | Long             | ABS-O            | CORP              | US        |      655000 | PA      | $660046.45    | 0.11%             | 2036-03-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                               | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      495515 | PA      | $230060.86    | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOVES BUYER INC                                                                    | GLOVES BUYER INC                                                                 | CUSIP: 000000000<br>LEI: 54930015O0Y94T5H8Z18 | Long             | LON              | CORP              | US        |      483788 | PA      | $481368.56    | 0.08%             | 2032-05-24      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                    | CSC Holdings LLC                                                                 | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       36000 | PA      | $13926.94     | 0.00%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS/TYCO FI                                                            | Johnson Controls International plc / Tyco Fire & Security Finance SCA            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      100000 | PA      | $114425.13    | 0.02%             | 2027-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                              | General Motors Financial Co Inc                                                  | CUSIP: 37045XCM6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202536.08    | 0.03%             | 2028-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                             | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |       20000 | PA      | $20410.04     | 0.00%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | CAD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          50 | NC      | $-18507.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD BLUEM_16-3A                                                    | BLUEMOUNTAIN CLO LTD BLUEM_16-3A                                                 | CUSIP: 09628VAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      525000 | PA      | $526833.83    | 0.08%             | 2030-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                    | FREDDIE MAC STRIPS FHSTR_400                                                     | CUSIP: 3142G42H3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      447978 | PA      | $59465.53     | 0.01%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $7326.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CHILEAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2220.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | MSCI EMER MKT INDEX (ICE) MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          17 | NC      | $157027.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                             | Yorkshire Water Finance PLC                                                      | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      155000 | PA      | $219201.46    | 0.04%             | 2034-11-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-878.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust 2026-1                                                  | CUSIP: 034947AC5<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |      366063 | PA      | $366547.57    | 0.06%             | 2071-02-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                          | Vonovia SE                                                                       | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |      160000 | PA      | $111750.61    | 0.02%             | 2035-09-03      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                                                            | Finland Government Bonds                                                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      365000 | PA      | $440118.59    | 0.07%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                     | CVS Health Corp                                                                  | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      120000 | PA      | $126224.12    | 0.02%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                                                            | American Airlines 2016-2 Class AA Pass Through Trust                             | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      146125 | PA      | $143026.65    | 0.02%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $19959.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                              | Cloud Software Group Inc                                                         | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      295000 | PA      | $295258.64    | 0.05%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-4353.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                         | McAfee Corp                                                                      | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |       85000 | PA      | $69539.99     | 0.01%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | CHF/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          20 | NC      | $54686.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |           1 | NC      | $30279.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753DAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       58777 | PA      | $59472.24     | 0.01%             | 2042-09-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                           | CIM Trust 2023-R3                                                                | CUSIP: 12570GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      462340 | PA      | $451886.92    | 0.07%             | 2063-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                                 | Worldline SA/France                                                              | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |       75955 | PA      | $90242.44     | 0.01%             | 2026-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                 | Dominion Energy Inc                                                              | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      435000 | PA      | $472264.84    | 0.08%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | MSCI EAFE INDEX MAR 26                                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          13 | NC      | $82306.11     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Colony American Finance Ltd                                                         | Corevest American Finance 2020-1 Trust                                           | CUSIP: 21872UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105383 | PA      | $100979.80    | 0.02%             | 2050-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ITT HOLDINGS LLC                                                                    | ITT Holdings LLC                                                                 | CUSIP: 45074JAA2<br>LEI: 549300TH2PHOLK31LB42 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87471.94     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                                | LXP Industrial Trust                                                             | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |      135000 | PA      | $125197.46    | 0.02%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                            | Occidental Petroleum Corp                                                        | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      195000 | PA      | $222185.17    | 0.04%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260505 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -9 | NC      | $2492.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                                | Kraft Heinz Foods Co                                                             | CUSIP: 000000000<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      345000 | PA      | $399716.08    | 0.06%             | 2033-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                        | AES Corp/The                                                                     | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     1350000 | PA      | $1359521.28   | 0.22%             | 2055-01-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $295199.49    | 0.05%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HLMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      250023 | PA      | $244900.69    | 0.04%             | 2055-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                                      | CRUDE PALM OIL JUN 26                                                            | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DCO              |  | MY        |          -8 | NC      | $707.16       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                                 | JP Morgan Mortgage Acquisition Trust 2007-HE1                                    | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      976408 | PA      | $939736.86    | 0.15%             | 2047-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWEDISH KRONA                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-34246.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                      | Structured Adjustable Rate Mortgage Loan Trust Series 2007-4                     | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      614392 | PA      | $581821.72    | 0.09%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                             | Light & Wonder International Inc                                                 | CUSIP: 531968AB1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60212.31     | 0.01%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND                                                                         | HILLENBRAND                                                                      | CUSIP: 000000000<br>LEI: U246OE781574J2BUD366 | Long             | LON              | CORP              | US        |      465347 | PA      | $464792.91    | 0.07%             | 2033-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                       | TransDigm Inc 2025 Term Loan K                                                   | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       54177 | PA      | $54113.33     | 0.01%             | 2030-03-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BUND MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -20 | NC      | $-18721.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                                                    | Duke Energy Corp                                                                 | CUSIP: 26441CCG8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |       90000 | PA      | $94827.45     | 0.02%             | 2054-09-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-1617.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                                               | India Government Bond                                                            | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    29270000 | PA      | $315195.57    | 0.05%             | 2035-05-05      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| LXS_06-2N                                                                           | LXS_06-2N                                                                        | CUSIP: 525221HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      378639 | PA      | $351027.09    | 0.06%             | 2036-02-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      590184 | PA      | $586532.33    | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QUHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1042375 | PA      | $1062039.58   | 0.17%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | THREE-MONTH SOFR FUTURE JUN 26                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -76 | NC      | $7715.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                                                     | Fannie Mae Interest Strip                                                        | CUSIP: 31424UGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1045165 | PA      | $135222.00    | 0.02%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                             | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |       80000 | PA      | $82018.50     | 0.01%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                                                 | Malaysia Government Bond                                                         | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     1560000 | PA      | $401981.57    | 0.06%             | 2030-05-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT JUL 26                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -22 | NC      | $-41936.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CHINESE OFFSHORE YUAN (HONG KONG)                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $46147.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRSERVICES AUSTRALIA                                                               | Airservices Australia                                                            | CUSIP: 000000000<br>LEI: 984500E3D9SF5M749X15 | Long             | DBT              | NUSS              | AU        |      480000 | PA      | $347657.03    | 0.06%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | E-MINI UTILITIES SELECT SECTOR MAR                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           1 | NC      | $3728.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                                 | AUST 3YR BOND MAR 26                                                             | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -169 | NC      | $-27487.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| U.K. Gilts                                                                          | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      300000 | PA      | $386268.17    | 0.06%             | 2033-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-10536.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                                  | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      569722 | PA      | $563076.82    | 0.09%             | 2035-11-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                               | AECOM                                                                            | CUSIP: 000000000<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | LON              | CORP              | US        |      438311 | PA      | $439327.68    | 0.07%             | 2031-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                                | ARAMARK SERVICES INC                                                             | CUSIP: 000000000<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |       64000 | PA      | $64040.32     | 0.01%             | 2028-04-06      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-OAT MAR 26                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          94 | NC      | $69079.01     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CENOVUS ENERGY INC                                                                  | Cenovus Energy Inc                                                               | CUSIP: 15135UAR0<br>LEI: 254900LJGL2N2XEMD470 | Long             | DBT              | CORP              | CA        |      310000 | PA      | $292383.66    | 0.05%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NY HARBOR ULSD (HEAT OIL) JUN 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           3 | NC      | $29168.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered Bank                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-65780.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                             | Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS                    | CUSIP: 86359B2K6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      737004 | PA      | $709105.58    | 0.11%             | 2035-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE MAY 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           7 | NC      | $31258.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INDIA GOVERNMENT BOND                                                               | India Government Bond                                                            | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    21300000 | PA      | $232145.53    | 0.04%             | 2030-07-21      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QV3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423710 | PA      | $436818.42    | 0.07%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                             | American Electric Power Co Inc                                                   | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      655000 | PA      | $658523.02    | 0.11%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GREAT CAN GAMING/RAPTOR                                                             | Great Canadian Gaming Corp/Raptor LLC                                            | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |       53000 | PA      | $53868.17     | 0.01%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                       | CoreWeave Inc                                                                    | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      640000 | PA      | $626770.62    | 0.10%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                             | VZ Secured Financing BV                                                          | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |      340000 | PA      | $302250.75    | 0.05%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BS5P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1537930 | PA      | $398.02       | 0.00%             | 2026-08-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                            | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      700000 | PA      | $669396.05    | 0.11%             | 2031-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                    | Altice France SA                                                                 | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       45458 | PA      | $46133.76     | 0.01%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corporation                                                         | JetBlue Airways Corporation 2024 Term Loan B                                     | CUSIP: 000000000<br>LEI: 54930070J9H97ZO93T57 | Long             | LON              | CORP              | US        |      429562 | PA      | $413724.53    | 0.07%             | 2029-08-27      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                                            | Graphic Packaging International LLC                                              | CUSIP: 38869AAA5<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |       93000 | PA      | $92885.15     | 0.01%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EQUINIX ASIA FIN CORP                                                               | Equinix Asia Financing Corp Pte Ltd                                              | CUSIP: 29447KAA3<br>LEI: 2549002E9B0F5FQ3X427 | Long             | DBT              |  | SG        |      120000 | PA      | $119903.39    | 0.02%             | 2031-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COFFEE MAY 26                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -2 | NC      | $-827.05      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                            | Amcor Flexibles North America Inc                                                | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |      315000 | PA      | $320422.72    | 0.05%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-16226.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $14001.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-SCHATZ MAR 26                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -198 | NC      | $-41939.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-3732.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                                     | Ardagh Group SA                                                                  | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |       60000 | PA      | $57937.72     | 0.01%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                            | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                 | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      320000 | PA      | $303019.14    | 0.05%             | 2032-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                                                 | Travel + Leisure Co                                                              | CUSIP: 894164AA0<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |      250000 | PA      | $244923.86    | 0.04%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | RAPESEED MAY 26                                                                  | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              |  | FR        |          22 | NC      | $-4378.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Switch ABS Issuer, LLC                                                              | Switch ABS Issuer LLC                                                            | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      370000 | PA      | $383623.81    | 0.06%             | 2054-06-25      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| First NLC Trust                                                                     | First NLC Trust 2005-4                                                           | CUSIP: 32113JCG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119910 | PA      | $118765.72    | 0.02%             | 2036-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | AU        |           1 | NC      | $16551.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $211000.94    | 0.03%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260512 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -1 | NC      | $790.89       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 321 Henderson Receivables LLC                                                       | JG Wentworth XXII LLC                                                            | CUSIP: 46616MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       64948 | PA      | $64685.78     | 0.01%             | 2048-12-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FIRST FINANCIAL BANCORP                                                             | First Financial Bancorp                                                          | CUSIP: 320209AC3<br>LEI: 549300D3F5B3EZMY7P77 | Long             | DBT              | CORP              | US        |      245000 | PA      | $246919.94    | 0.04%             | 2035-12-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QVLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      630441 | PA      | $646284.94    | 0.10%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MODIVCARE BUYER LLC                                                                 | MODIVCARE BUYER LLC                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        5056 | NS      | $33496.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                              | General Motors Financial Co Inc                                                  | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      110000 | PA      | $110489.52    | 0.02%             | 2030-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |           1 | NC      | $7033.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                                               | India Government Bond                                                            | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    11000000 | PA      | $122446.78    | 0.02%             | 2029-10-07      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $175289.62    | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                        | ALPHABET INC                                                                     | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      208000 | PA      | $282873.06    | 0.05%             | 2032-11-13      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                            | Electricite de France SA                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $142888.34    | 0.02%             | 2035-06-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | JP        |           1 | NC      | $2854.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTRA ABIOMED INC                                                                  | CONTRA ABIOMED INC                                                               | CUSIP: 003CVR016<br>LEI: N/A                  | N/A              | DE               |  | US        |       15541 | NS      | $24865.60     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-1024.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      140000 | PA      | $137232.44    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                                     | CMS Energy Corp                                                                  | CUSIP: 125896BZ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |      250000 | PA      | $257825.00    | 0.04%             | 2031-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | MICRO EMINI S&P 500 MAR 26                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           2 | NC      | $-1232.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LME COPPER JUN 26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           2 | NC      | $11863.68     | 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        |          -6 | NC      | $-6817.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRAZIL REAL                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $1825.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT SEP 26                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          -4 | NC      | $-9208.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_1                                                    | TOWD POINT MORTGAGE TRUST TPMT_1                                                 | CUSIP: 89173HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      760000 | PA      | $747761.64    | 0.12%             | 2057-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                        | Centene Corp                                                                     | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      135000 | PA      | $131697.17    | 0.02%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | COLOMBIAN PESO                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1132.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                                 | Sirius XM Radio LLC                                                              | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      605000 | PA      | $570077.59    | 0.09%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT/ISSUER                                                             | BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc                       | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165000 | PA      | $152034.72    | 0.02%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                          | US Bancorp                                                                       | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      215000 | PA      | $222292.11    | 0.04%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                        | Enbridge Inc                                                                     | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      465000 | PA      | $537096.60    | 0.09%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | FTSE CHINA A50 MAR 26                                                            | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          44 | NC      | $-6757.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $7930.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $36659.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                            | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    10295000 | PA      | $1993303.27   | 0.32%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FISERV INC                                                                          | Fiserv Inc                                                                       | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      185000 | PA      | $185014.43    | 0.03%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                             | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      456249 | PA      | $395859.47    | 0.06%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $9389.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | GASOLINE RBOB JUN 26                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           4 | NC      | $17557.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUSHI FINANCE INC                                                                   | EUSHI Finance Inc                                                                | CUSIP: 29882DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      365000 | PA      | $367582.89    | 0.06%             | 2056-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | HUNGARIAN FURINT                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-619.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                              | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       15000 | PA      | $14502.12     | 0.00%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2008-7                                                    | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $498117.65    | 0.08%             | 2083-07-26      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                | Royal Bank of Canada                                                             | CUSIP: 780082BA0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      735000 | PA      | $734966.39    | 0.12%             | 2086-05-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | FCOJ-A FUTURE MAY 26                                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -1 | NC      | $-77.20       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ALLO Issuer, LLC                                                                    | ALLO Issuer LLC                                                                  | CUSIP: 01983KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      342200 | PA      | $364239.32    | 0.06%             | 2054-07-20      | Fixed         | 11.19%                | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-42546.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                                               | Huntington Bancshares Inc/OH                                                     | CUSIP: 446150823<br>LEI: 549300XTVCVV9I7B5T19 | Long             | EP               | CORP              | US        |          25 | NS      | $446.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $21766.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                                                     | Allegro CLO XVI Ltd                                                              | CUSIP: 01749FAE0<br>LEI: 213800XPKDKUTQ6UKE25 | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $551548.80    | 0.09%             | 2037-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                             | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAE0<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |      391000 | PA      | $408701.15    | 0.07%             | 2031-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                             | International Bank for Reconstruction & Development                              | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | XX        |     1410000 | PA      | $148099.80    | 0.02%             | 2026-03-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                  | Cenovus Energy Inc                                                               | CUSIP: 15135UAF6<br>LEI: 254900LJGL2N2XEMD470 | Long             | DBT              | CORP              | CA        |      983000 | PA      | $1099515.06   | 0.18%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-2031.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      510000 | PA      | $350941.24    | 0.06%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                        | Alphabet Inc                                                                     | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      244000 | PA      | $286867.99    | 0.05%             | 2033-05-06      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                                      | CRUDE PALM OIL APR 26                                                            | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DCO              |  | MY        |          -7 | NC      | $700.05       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Switch ABS Issuer, LLC                                                              | Switch ABS Issuer LLC                                                            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $501216.40    | 0.08%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | XX        |           1 | NC      | $-17721.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38380HJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      425750 | PA      | $86799.45     | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | AUD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |         130 | NC      | $515156.95    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                                                  | COFFEE ROBUSTA MAY 26                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -3 | NC      | $4126.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                                                          | Morgan Stanley ABS Capital I Inc Trust 2007-NC3                                  | CUSIP: 61755AAE6<br>LEI: 549300LT6TIGKPKJS707 | Long             | ABS-O            | CORP              | US        |      552928 | PA      | $424627.21    | 0.07%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $1974.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                             | HCA Inc                                                                          | CUSIP: 197677AJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      115000 | PA      | $120136.28    | 0.02%             | 2027-12-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      870679 | PA      | $864842.93    | 0.14%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260508 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -1 | NC      | $184.14       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260519 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           2 | NC      | $2397.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                                  | Energy Transfer LP                                                               | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      336000 | PA      | $340678.42    | 0.05%             | 2028-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                                 | DBGS 2021-W52 Mortgage Trust                                                     | CUSIP: 23308LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $512260.89    | 0.08%             | 2039-10-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                            | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      180000 | PA      | $186027.03    | 0.03%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      500000 | PA      | $340901.37    | 0.05%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                    | CSC Holdings LLC                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       55000 | PA      | $20353.31     | 0.00%             | 2030-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae                                                                       | CUSIP: 21H040632<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1500000 | PA      | $1442810.31   | 0.23%             | 2056-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                  | VICI Properties LP                                                               | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      360000 | PA      | $370555.53    | 0.06%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                               | PRPM 2024-RPL1 LLC                                                               | CUSIP: 69380XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $685516.30    | 0.11%             | 2064-12-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                          | AMSR TRUST AMSR_25-SFR1                                                          | CUSIP: 00182MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      630000 | PA      | $589996.89    | 0.09%             | 2042-06-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EUR/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           1 | NC      | $-970.53      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NBN CO LTD                                                                          | NBN Co Ltd                                                                       | CUSIP: 000000000<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | NUSS              | AU        |      570000 | PA      | $408163.90    | 0.07%             | 2035-03-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                                      | Opal Bidco SAS USD 1st Lien Term Loan B                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      758100 | PA      | $756962.85    | 0.12%             | 2032-04-28      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO BUXL 30YR BOND MAR 26                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -6 | NC      | $-28148.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered Bank                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-47906.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN JUL 26                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          21 | NC      | $19153.17     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                            | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      175000 | PA      | $172814.01    | 0.03%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWISS FRANC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $23758.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2560.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                              | Structured Asset Investment Loan Trust 2004-6                                    | CUSIP: 86358EJS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      217237 | PA      | $225287.00    | 0.04%             | 2034-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN OIL JUL 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          36 | NC      | $72864.84     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $2032.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                                    | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430000 | PA      | $431881.25    | 0.07%             | 2039-03-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Norway Government Bonds                                                             | Norway Government Bonds                                                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |      970000 | PA      | $95250.00     | 0.02%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                              | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |      405000 | PA      | $383421.10    | 0.06%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-3643.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                  | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |           1 | NC      | $-2529.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                                                                  | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $501025.50    | 0.08%             | 2037-07-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                                                        | VT Topco Inc                                                                     | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |      205000 | PA      | $203806.70    | 0.03%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | THREE MONTH SONIA (ICE) JUN 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          16 | NC      | $782.71       | 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        |         -66 | NC      | $-1852.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                               | Foundry JV Holdco LLC                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |       60000 | PA      | $62609.92     | 0.01%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | E-MICRO EUR/USD MAR 26                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           3 | NC      | $361.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BOBL MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          18 | NC      | $7061.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | ICE NYSE FANG+ INDEX FUTURE MAR 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          -1 | NC      | $4104.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | SINGAPORE DOLLAR                                                                 | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | SG        |           1 | NC      | $13928.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_24-SVEN                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_24-SVEN                               | CUSIP: 949937AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667000 | PA      | $682466.68    | 0.11%             | 2037-06-10      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $-33909.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA T-BOND JUN 26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -54 | NC      | $-76887.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTONE BANCORP INC                                                              | ConnectOne Bancorp Inc                                                           | CUSIP: 20786WAF4<br>LEI: 549300E2M5ZYAZKUK134 | Long             | DBT              | CORP              | US        |      270000 | PA      | $282167.29    | 0.05%             | 2035-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                                                                | Teva Pharmaceutical Finance Netherlands II BV                                    | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |      335000 | PA      | $408438.76    | 0.07%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                                    | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      630000 | PA      | $555334.03    | 0.09%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FIVE STAR BANCORP                                                                   | Five Star Bancorp                                                                | CUSIP: 33830TAC7<br>LEI: 5493008ZRBIHKWC0JA73 | Long             | DBT              | CORP              | US        |       95000 | PA      | $93514.39     | 0.02%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | AUST 3YR BOND MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -38 | NC      | $426.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STAR PARENT INC                                                                     | Star Parent Inc                                                                  | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |      215000 | PA      | $218285.58    | 0.04%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SOUTHSIDE BANCSHARES INC                                                            | Southside Bancshares Inc                                                         | CUSIP: 84470PAG4<br>LEI: 549300TC83207VQA2K65 | Long             | DBT              | CORP              | US        |      365000 | PA      | $369182.66    | 0.06%             | 2035-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      832102 | PA      | $809495.42    | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      330000 | PA      | $348201.00    | 0.06%             | 2055-03-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | NIKKEI 225 (SGX) MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |           2 | NC      | $53731.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1204156 | PA      | $1049495.26   | 0.17%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMB FINANCIAL CORP                                                                  | UMB Financial Corp                                                               | CUSIP: 902788405<br>LEI: 549300MGEH3N3CUCV828 | Long             | EP               | CORP              | US        |       18525 | NS      | $496470.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $3189.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                    | IndyMac INDX Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      566702 | PA      | $536041.54    | 0.09%             | 2046-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | MSCI EMER MKT INDEX (ICE) MAR 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          24 | NC      | $243378.42    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RENTOKIL TERMINIX LLC                                                               | Rentokil Terminix Funding LLC                                                    | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |      205000 | PA      | $209913.90    | 0.03%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | HUNGARIAN FURINT                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-219.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                                                          | FTSE/MIB MINI INDEX MAR 26                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |           2 | NC      | $6860.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                            | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                 | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      124000 | PA      | $130319.68    | 0.02%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                            | Occidental Petroleum Corp                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       90000 | PA      | $98111.23     | 0.02%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | BRENT CRUDE (ICE) DEC 26                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           6 | NC      | $16523.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BGME Trust                                                                          | BGME Trust 2021-VR                                                               | CUSIP: 05551XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $233402.73    | 0.04%             | 2043-01-10      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2021-HQA3                                          | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |      425000 | PA      | $435460.70    | 0.07%             | 2041-09-25      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | SPI 200 MAR 26                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | AU        |          10 | NC      | $54488.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                                                  | Alternative Loan Trust 2007-OH3                                                  | CUSIP: 02151DAD6<br>LEI: 549300TXT201GGLA0F48 | Long             | ABS-MBS          | CORP              | US        |      353995 | PA      | $341518.91    | 0.05%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                               | CWABS Asset-Backed Certificates Trust 2007-13                                    | CUSIP: 126698AC3<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      109608 | PA      | $102014.59    | 0.02%             | 2047-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $1506.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $368.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2951.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                           | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      569079 | PA      | $483860.18    | 0.08%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                        | WP Carey Inc                                                                     | CUSIP: 000000000<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |      175000 | PA      | $204647.96    | 0.03%             | 2035-05-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWE33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1098336 | PA      | $995174.88    | 0.16%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2961573 | PA      | $2941418.66   | 0.47%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | POLISH ZLOTY                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2398.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WFMBS_07-7                                                                          | WFMBS_07-7                                                                       | CUSIP: 94985JBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      589486 | PA      | $560126.27    | 0.09%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                            | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     1375000 | PA      | $968901.20    | 0.16%             | 2038-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-42680.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                               | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      115000 | PA      | $116062.75    | 0.02%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                                      | CRUDE PALM OIL MAY 26                                                            | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DCO              |  | MY        |         -11 | NC      | $1222.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                                 | JP Morgan Mortgage Acquisition Corp 2006-FRE1                                    | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       52560 | PA      | $52291.12     | 0.01%             | 2035-05-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA 10YR NOTE JUN 26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -202 | NC      | $-221305.14   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered Bank                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-27126.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                         | Exelon Corp                                                                      | CUSIP: 30161NBT7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      325000 | PA      | $337350.00    | 0.05%             | 2029-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                                                                | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $648000.13    | 0.10%             | 2064-10-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| CONTRA ALBIREO PHARMA                                                               | CONTRA ALBIREO PHARMA                                                            | CUSIP: 013CVR022<br>LEI: 549300835H8LC7O8VC29 | N/A              | DE               |  | US        |       37853 | NS      | $85169.25     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                            | CAN 5YR BOND JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |           1 | NC      | $305.51       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                                | Las Vegas Sands Corp                                                             | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      405000 | PA      | $414815.07    | 0.07%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                               | TransCanada PipeLines Ltd                                                        | CUSIP: 89352HBG3<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      250000 | PA      | $260054.83    | 0.04%             | 2065-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | INR/USD FUTURE (SGX) MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DFE              |  | SG        |          -1 | NC      | $69.12        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Norway Government Bonds                                                             | Norway Government Bonds                                                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    11195000 | PA      | $1056820.69   | 0.17%             | 2032-05-18      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | DOLLAR INDEX MAR 26                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DFE              |  | US        |          -6 | NC      | $5049.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                             | American Electric Power Co Inc                                                   | CUSIP: 025537BA8<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      670000 | PA      | $724229.52    | 0.12%             | 2054-12-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                                                              | Flexential Issuer 2021-1                                                         | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      196571 | PA      | $194371.52    | 0.03%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DYNASTY ACQUISITION CO INC                                                          | DYNASTY ACQUISITION CO INC                                                       | CUSIP: 000000000<br>LEI: 549300L1RCRPOAUCB870 | Long             | LON              | CORP              | US        |      146309 | PA      | $146674.55    | 0.02%             | 2031-10-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMZSDP 20260526 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          10 | NC      | $-11125.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2008-4                                                    | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |       95599 | PA      | $95821.14     | 0.02%             | 2026-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | EFMT 2025-NQM3                                                                   | CUSIP: 26846YAG3<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $525761.44    | 0.08%             | 2070-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                                | Royal Bank of Canada                                                             | CUSIP: 780082AT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      515000 | PA      | $508883.12    | 0.08%             | 2084-11-24      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EMINI TECHNOLOGY SELECT SECTOR MAR                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -1 | NC      | $3768.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BXP Trust                                                                           | BXP Trust 2017-GM                                                                | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      630000 | PA      | $614576.91    | 0.10%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | XX        |           1 | NC      | $1157.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRSERVICES AUSTRALIA                                                               | Airservices Australia                                                            | CUSIP: 000000000<br>LEI: 984500E3D9SF5M749X15 | Long             | DBT              | NUSS              | AU        |      450000 | PA      | $288631.72    | 0.05%             | 2030-05-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QVXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      738678 | PA      | $764035.70    | 0.12%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | WTI CRUDE JUN 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           1 | NC      | $4248.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $554.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPEN TEXT INC                                                                       | Open Text Holdings Inc                                                           | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       35000 | PA      | $30477.56     | 0.00%             | 2031-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-OAT MAR 26                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          80 | NC      | $103043.14    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIRLINES INC                                                                 | UNITED AIRLINES INC                                                              | CUSIP: 000000000<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      414542 | PA      | $414197.68    | 0.07%             | 2031-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      910000 | PA      | $869677.26    | 0.14%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC                                                            | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      351450 | PA      | $362501.45    | 0.06%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                                         | Rollins Inc                                                                      | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |      315000 | PA      | $323859.19    | 0.05%             | 2035-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                            | CUSIP: 3140QMTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      886163 | PA      | $736616.65    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                                                            | Citizens Financial Group Inc                                                     | CUSIP: 174610808<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EP               | CORP              | US        |       31975 | NS      | $815682.25    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| INDONESIA GOVERNMENT                                                                | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  2025000000 | PA      | $123063.50    | 0.02%             | 2033-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                            | Host Hotels & Resorts LP                                                         | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      115000 | PA      | $110283.30    | 0.02%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COFFEE JUL 26                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -2 | NC      | $8582.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                                                             | HCA Inc                                                                          | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103122.46    | 0.02%             | 2028-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | CLASS III MILK FUTURE APR 26                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           2 | NC      | $1735.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-SCHATZ MAR 26                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -30 | NC      | $-10738.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $24484.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AON CORP                                                                            | Aon Corp                                                                         | CUSIP: 037389BE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |      230000 | PA      | $218130.53    | 0.04%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PHILLIPS EDISON GROCERY                                                             | Phillips Edison Grocery Center Operating Partnership I LP                        | CUSIP: 71845JAE8<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              |  | US        |      220000 | PA      | $220278.50    | 0.04%             | 2033-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARE                                                            | First Citizens BancShares Inc/NC                                                 | CUSIP: 31959XAF0<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |      395000 | PA      | $402146.56    | 0.06%             | 2040-03-12      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HLPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2797672 | PA      | $165092.58    | 0.03%             | 2055-06-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1393352 | PA      | $1212758.50   | 0.20%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST                                                                 | OMERS Finance Trust                                                              | CUSIP: 000000000<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | CORP              | CA        |      260000 | PA      | $312188.98    | 0.05%             | 2035-01-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | COFFEE ROBUSTA JUL 26                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -4 | NC      | $3945.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                               | Venture Global Plaquemines LNG LLC                                               | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      290000 | PA      | $309224.31    | 0.05%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | S&P MID 400 EMINI MAR 26                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           5 | NC      | $77272.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                                        | NATURAL GAS APR 26                                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -6 | NC      | $9309.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $15799.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | AUST 10YR BOND MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -50 | NC      | $-43555.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                                                  | MetroNet Infrastructure Issuer LLC                                               | CUSIP: 59170JBH0<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      165000 | PA      | $169578.78    | 0.03%             | 2055-12-20      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                                              | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       64000 | PA      | $64662.61     | 0.01%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                                              | Option Care Health Inc                                                           | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |      160000 | PA      | $156215.51    | 0.03%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                              | Rockford Tower CLO 2021-1 Ltd                                                    | CUSIP: 77341KAE1<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |      448279 | PA      | $448805.28    | 0.07%             | 2034-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | SGX TSI IRON ORE CHINA 62% FUT APR                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DCO              |  | SG        |          -4 | NC      | $-121.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Asset Backed Funding Certificates                                                   | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      541781 | PA      | $390776.18    | 0.06%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HMVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2077544 | PA      | $172038.69    | 0.03%             | 2055-09-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |           1 | NC      | $16150.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | E-MINI NATURAL GAS APR 26                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -7 | NC      | $1563.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST NCMS_20-2PAC                           | NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST NCMS_20-2PAC                        | CUSIP: 63875DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2665000 | PA      | $22397.73     | 0.00%             | 2038-12-15      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140MGLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1453540 | PA      | $1207782.24   | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US LONG BOND JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          58 | NC      | $54373.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | SHORT EURO-BTP (ITALY GOVT) MAR 26                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          66 | NC      | $6782.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Logistics                                                                   | Sequoia Logistics 2025-1 DAC                                                     | CUSIP: 000000000<br>LEI: 635400SNUE4YGPESHU40 | Long             | ABS-MBS          | CORP              | IE        |      260000 | PA      | $307879.10    | 0.05%             | 2037-02-17      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                                                         | Corp Nacional del Cobre de Chile                                                 | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      200000 | PA      | $204390.05    | 0.03%             | 2033-02-02      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                     | Yum! Brands Inc                                                                  | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      300000 | PA      | $295279.46    | 0.05%             | 2032-01-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                          | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $610000.26    | 0.10%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| WINTRUST FINANCIAL CORP                                                             | Wintrust Financial Corp                                                          | CUSIP: 97650W702<br>LEI: Q774KI4AW80FHFW33O61 | Long             | EP               | CORP              | US        |       10275 | NS      | $274342.50    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSDIGM INC                                                                       | TransDigm Inc                                                                    | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      115000 | PA      | $118918.30    | 0.02%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-104.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      519564 | PA      | $506491.93    | 0.08%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136BUDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      632446 | PA      | $64447.60     | 0.01%             | 2054-11-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                        | CSMC Series 2019-NQM1                                                            | CUSIP: 12655VAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |        3493 | PA      | $3471.92      | 0.00%             | 2059-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2021-NQM3 Trust                                                              | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |      977726 | PA      | $836472.91    | 0.13%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                     | Yum! Brands Inc                                                                  | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      760000 | PA      | $721721.84    | 0.12%             | 2031-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | MEXICAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $8175.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | GAS OIL MAY 26                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           2 | NC      | $11797.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2012-7                                                    | CUSIP: 78447KAD4<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |      550000 | PA      | $528535.04    | 0.09%             | 2043-09-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | PLATINUM APR 26                                                                  | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           5 | NC      | $80560.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LIVE OAK BANCSHARES                                                                 | Live Oak Bancshares Inc                                                          | CUSIP: 53803X402<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        9100 | NS      | $231413.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2163.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                         | Southern Co/The                                                                  | CUSIP: 842587842<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EP               | CORP              | US        |       10150 | NS      | $544131.29    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1650000 | PA      | $1603492.01   | 0.26%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                                             | Colombia Government International Bonds                                          | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      262000 | PA      | $272799.09    | 0.04%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QUBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      820634 | PA      | $845822.15    | 0.14%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     1125000 | PA      | $562665.88    | 0.09%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | MSCI SING IX ETS MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          13 | NC      | $2307.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | AU        |           1 | NC      | $-89655.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                                     | Lehman XS Trust Series 2007-16N                                                  | CUSIP: 52525BAD4<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |      408376 | PA      | $381232.63    | 0.06%             | 2047-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                                                      | RIDE 2025-SHRE                                                                   | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $413249.12    | 0.07%             | 2047-02-14      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| MC BRAZIL DWNSTRM                                                                   | MC Brazil Downstream Trading SARL                                                | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |      199357 | PA      | $171614.25    | 0.03%             | 2031-06-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| NORTHWEST NATURAL HOLDI                                                             | Northwest Natural Holding Co                                                     | CUSIP: 66765NAA3<br>LEI: 254900PSJL6ZEC8FR782 | Long             | DBT              | CORP              | US        |      415000 | PA      | $433078.46    | 0.07%             | 2055-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6225000 | PA      | $5865695.80   | 0.94%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | COLOMBIAN PESO                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-3214.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DVI DT VERMOEGENS IMMVWL                                                            | DVI Deutsche Vermoegens- & Immobilienverwaltungs GmbH                            | CUSIP: 000000000<br>LEI: 529900MFTCNJE8PQM633 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $122840.15    | 0.02%             | 2030-08-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                                    | ALLO Issuer LLC                                                                  | CUSIP: 01983KAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      425000 | PA      | $438779.78    | 0.07%             | 2055-04-20      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | COCOA FUTURE (LIFFE) JUL 26                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -2 | NC      | $13463.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |      520000 | PA      | $539647.42    | 0.09%             | 2041-10-25      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                     | Fannie Mae Interest Strip                                                        | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      707293 | PA      | $87953.83     | 0.01%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSN ISLANDS XI CORP                                                                 | CSN Inova Ventures                                                               | CUSIP: 12642KAB0<br>LEI: 222100R8R68DM7VM3661 | Long             | DBT              | CORP              | KY        |      280000 | PA      | $242549.03    | 0.04%             | 2028-01-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                            | Hilton Domestic Operating Co Inc                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      165000 | PA      | $153760.30    | 0.02%             | 2032-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      230000 | PA      | $238017.75    | 0.04%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | ICE NAT BAL PT APR6                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          10 | NC      | $-11234.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1343532 | PA      | $1355238.37   | 0.22%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                                                        | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      425000 | PA      | $172999.24    | 0.03%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Warsaw Stock Exchange/Equities/Main Market                                          | WIG20(PLN20) INDEX MAR 26                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | PL        |          35 | NC      | $30339.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                              | AmeriGas Partners LP / AmeriGas Finance Corp                                     | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       81000 | PA      | $86739.55     | 0.01%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                              | CenterPoint Energy Inc                                                           | CUSIP: 15189TBQ9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      680000 | PA      | $719576.00    | 0.12%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                             | Global Partners LP / GLP Finance Corp                                            | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $151515.77    | 0.02%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | E-MICRO GOLD FUTURES APR 26                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $3252.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      727384 | PA      | $707298.11    | 0.11%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | ISRAELI SHEKEL                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-23915.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                       | Boeing Co/The                                                                    | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        4300 | NS      | $312352.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                   | HSBC Holdings PLC                                                                | CUSIP: 404280EV7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      555000 | PA      | $578592.94    | 0.09%             | 2031-08-27      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NATURAL GAS APR 26                                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -4 | NC      | $7458.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                                                          | Intel Corp                                                                       | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44295.83     | 0.01%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US 5YR NOTE JUN 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         214 | NC      | $124940.66    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2921.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                    | Bank of Montreal                                                                 | CUSIP: 06368D8W7<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      580000 | PA      | $449257.98    | 0.07%             | 2082-11-26      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BOBL MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -53 | NC      | $-49788.01    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | DJIA MINI e-CBOT MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               |  | US        |           4 | NC      | $-3756.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $15568.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2024-SFR3 Trust                                             | CUSIP: 74331VAG1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $429735.47    | 0.07%             | 2041-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-251.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                               | Continental Resources Inc/OK                                                     | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      888000 | PA      | $790911.07    | 0.13%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | FTSE TAIWAN MAR 26                                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |           9 | NC      | $30709.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3142GTTA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      538667 | PA      | $546824.33    | 0.09%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO                                                                          | OPAL BIDCO                                                                       | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |      105000 | PA      | $108114.10    | 0.02%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                                         | Kedrion SpA                                                                      | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |      321000 | PA      | $313458.00    | 0.05%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                            | CAN 10YR BOND JUN 26                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |          -5 | NC      | $-1579.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| POST HOLDINGS INC                                                                   | Post Holdings Inc                                                                | CUSIP: 737446AY0<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      265000 | PA      | $269236.33    | 0.04%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                            | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      300000 | PA      | $203188.39    | 0.03%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Corp Trust 2017-375H                                      | CUSIP: 36254JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $450420.18    | 0.07%             | 2037-09-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| TXNM ENERGY INC                                                                     | TXNM Energy Inc                                                                  | CUSIP: 69349HAF4<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | DBT              | CORP              | US        |      265000 | PA      | $356173.47    | 0.06%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COTTON NO.2 MAY 26                                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -23 | NC      | $-9304.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BERRY GLOBAL INC                                                                    | Berry Global Inc                                                                 | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      120000 | PA      | $126783.19    | 0.02%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3142GTT97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      381984 | PA      | $393955.27    | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                                         | FIGRE Trust 2025-HE8                                                             | CUSIP: 30191WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      712829 | PA      | $715506.72    | 0.12%             | 2055-11-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HLVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      258035 | PA      | $253558.00    | 0.04%             | 2055-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                              | AmeriGas Partners LP / AmeriGas Finance Corp                                     | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      238000 | PA      | $245793.97    | 0.04%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                                             | Grand Canyon University                                                          | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $110290.44    | 0.02%             | 2028-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR BANK NA                                                                    | Flagstar Bank NA                                                                 | CUSIP: 649445AC7<br>LEI: SS1TRMSN6BRNMOREEV51 | Long             | DBT              | CORP              | US        |      145000 | PA      | $142879.85    | 0.02%             | 2028-11-06      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                              | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90312.97     | 0.01%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                                | Freeport-McMoRan Inc                                                             | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $1176729.73   | 0.19%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                            | Allison Transmission Inc                                                         | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95018.36     | 0.02%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                                                     | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      120000 | PA      | $122163.82    | 0.02%             | 2055-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                                                     | KOREA 3YR BOND MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |        -319 | NC      | $-101433.97   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38378XDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      984942 | PA      | $4810.95      | 0.00%             | 2055-05-16      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2022-CLS                                                                | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150601.47    | 0.02%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                         | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      871099 | PA      | $786158.48    | 0.13%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2991761 | PA      | $11316.04     | 0.00%             | 2026-09-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                                            | Province of British Columbia Canada                                              | CUSIP: 11070TAM0<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |      350000 | PA      | $353978.00    | 0.06%             | 2033-07-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LME NICKEL JUN 26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           6 | NC      | $-1234.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      783941 | PA      | $762293.91    | 0.12%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARB BONDCO PLC                                                                     | MARB BondCo PLC                                                                  | CUSIP: 566007AC4<br>LEI: 254900PVA1EU6QM1JN57 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $364312.56    | 0.06%             | 2031-01-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Delta 2 (LUX) S.a.r.l.                                                              | Delta 2 (LUX) Sarl 2024 Term Loan B1                                             | CUSIP: 000000000<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |      268000 | PA      | $268201.00    | 0.04%             | 2031-09-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | GAS OIL APR 26                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          20 | NC      | $80659.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                            | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      255000 | PA      | $173865.45    | 0.03%             | 2037-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                    | T-Mobile USA Inc                                                                 | CUSIP: 87264ADZ5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      700000 | PA      | $704293.33    | 0.11%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      690000 | PA      | $548301.83    | 0.09%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                       | FirstCash Inc                                                                    | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103302.53    | 0.02%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US 2YR NOTE JUN 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -74 | NC      | $-24507.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Higley Park Clo Ltd                                                                 | Higley Park Clo Ltd                                                              | CUSIP: 43128VAE8<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $318993.75    | 0.05%             | 2038-07-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Polaris                                                                             | Polaris 2026-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800DMUJ69B2MVV386 | Long             | ABS-CBDO         | CORP              | GB        |      150000 | PA      | $197676.60    | 0.03%             | 2070-06-27      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2025-DNA4                                          | CUSIP: 35564UBS5<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | USGSE             | US        |      195000 | PA      | $195656.18    | 0.03%             | 2045-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                              | Digital Dutch Finco BV                                                           | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |      220000 | PA      | $259866.94    | 0.04%             | 2035-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                             | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAK2<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      275000 | PA      | $351872.83    | 0.06%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $33754.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LA FRANCAISE DES JEUX SA                                                            | FDJ UNITED                                                                       | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $117744.58    | 0.02%             | 2033-11-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                   | NSTAR Electric Co                                                                | CUSIP: 67021CAM9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      520000 | PA      | $516734.06    | 0.08%             | 2027-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                          | Humana Inc                                                                       | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      170000 | PA      | $173121.56    | 0.03%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                             | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79685.16     | 0.01%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                              | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       20000 | PA      | $20381.25     | 0.00%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | HUNGARIAN FURINT                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $6856.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                                      | Var Energi ASA                                                                   | CUSIP: 92212WAG5<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |      340000 | PA      | $367511.44    | 0.06%             | 2035-05-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $5743.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | COPPER MAY 26                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           6 | NC      | $35633.43     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260506 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           3 | NC      | $859.19       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                                                  | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | AU        |           1 | NC      | $14217.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-56969.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                      | Fannie Mae-Aces                                                                  | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4300000 | PA      | $75668.39     | 0.01%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                                      | US Bank C&I Credit-Linked Notes Series 2025-2                                    | CUSIP: 90355PAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      211931 | PA      | $212958.33    | 0.03%             | 2032-09-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                    | Societe Generale SA                                                              | CUSIP: 83370RAE8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      700000 | PA      | $743883.92    | 0.12%             | 2029-11-21      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                   | Citigroup Mortgage Loan Trust 2006-AR2                                           | CUSIP: 17307G6K9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      191301 | PA      | $141476.23    | 0.02%             | 2036-03-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| POPULAR INC                                                                         | Popular Inc                                                                      | CUSIP: 733174AL0<br>LEI: 5493008CARDZMVQ3LO89 | Long             | DBT              | CORP              | PR        |      215000 | PA      | $224497.65    | 0.04%             | 2028-03-13      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | SINGAPORE DOLLAR                                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |           1 | NC      | $14509.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                                    | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      231000 | PA      | $205414.38    | 0.03%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                               | DB Master Finance LLC                                                            | CUSIP: 233046AW1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      184538 | PA      | $186406.66    | 0.03%             | 2055-08-20      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                                                             | Asbury Automotive Group Inc                                                      | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |       45000 | PA      | $44332.27     | 0.01%             | 2029-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-5170.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                                                          | FTSE/MIB INDEX MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |           4 | NC      | $75213.12     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | MXN/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |         150 | NC      | $272382.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR MAR 27                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          93 | NC      | $8160.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UKG INC                                                                             | UKG Inc                                                                          | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |      110000 | PA      | $106743.32    | 0.02%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                                               | India Government Bond                                                            | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    77000000 | PA      | $873483.30    | 0.14%             | 2029-04-18      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| HOMES TRUST HOMES_25-AFC3                                                           | HOMES TRUST HOMES_25-AFC3                                                        | CUSIP: 43762AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      650000 | PA      | $655214.56    | 0.11%             | 2060-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                 | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      405000 | PA      | $381153.85    | 0.06%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                              | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      205000 | PA      | $234780.17    | 0.04%             | 2032-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $1608.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $42504.30     | 0.01%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2726.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                                    | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360000 | PA      | $360450.00    | 0.06%             | 2039-03-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                              | Taco Bell Funding LLC                                                            | CUSIP: 87342RAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      355000 | PA      | $361010.26    | 0.06%             | 2055-08-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| RIVERS ENT BORROWER LLC                                                             | Rivers Enterprise Borrower LLC                                                   | CUSIP: 76884GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $112412.16    | 0.02%             | 2030-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | BRENT CRUDE (ICE) JUN 26                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           7 | NC      | $36312.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHLMC_KLU3                             | CUSIP: 3137H0H76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1547347 | PA      | $100563.15    | 0.02%             | 2031-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $6390.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $128.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC_21-B33                                         | CUSIP: 12658WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423000 | PA      | $382987.58    | 0.06%             | 2043-10-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                                          | IBEX 35 INDEX MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |           6 | NC      | $34069.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                            | Equinix Europe 2 Financing Corp LLC                                              | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |      130000 | PA      | $151317.96    | 0.02%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                                | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      269126 | PA      | $257568.94    | 0.04%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                             | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      194000 | PA      | $149293.91    | 0.02%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                                    | Bain Capital Credit CLO 2020-4 Ltd                                               | CUSIP: 05684KBS5<br>LEI: 254900XLVE4635MESI73 | Long             | ABS-CBDO         | CORP              | JE        |      325000 | PA      | $323817.00    | 0.05%             | 2036-10-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                     | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      543283 | PA      | $70105.54     | 0.01%             | 2051-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                                 | Alliant Energy Corp                                                              | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |      435000 | PA      | $432586.74    | 0.07%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-44810.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                             | Southwestern Electric Power Co                                                   | CUSIP: 845437BT8<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       85000 | PA      | $56728.89     | 0.01%             | 2051-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                    | Freddie Mac Strips                                                               | CUSIP: 31325YBW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2581654 | PA      | $332436.70    | 0.05%             | 2052-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NATURAL GAS JUN 26                                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -1 | NC      | $1278.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                                              | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | CA        |           1 | NC      | $635.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $16415.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | RUSSELL 2000 EMINI CME MAR 26                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           7 | NC      | $7310.42      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BUND MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          14 | NC      | $11986.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                      | Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2                         | CUSIP: 617949AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $280172.20    | 0.05%             | 2071-01-26      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | US        |           1 | NC      | $-5794.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | SHORT EURO-BTP (ITALY GOVT) MAR 26                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         189 | NC      | $64211.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUW7<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |       49770 | PA      | $50220.22     | 0.01%             | 2042-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE                                                                 | Amcor Group Finance PLC                                                          | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |      190000 | PA      | $197699.96    | 0.03%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $8470.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE                                                              | Sydney Airport Finance Co Pty Ltd                                                | CUSIP: 000000000<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |       60000 | PA      | $43641.08     | 0.01%             | 2034-04-19      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754RAJ5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      420000 | PA      | $431651.72    | 0.07%             | 2041-10-25      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | CA        |           1 | NC      | $779.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-31822.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                         | Gartner Inc                                                                      | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      345000 | PA      | $319000.81    | 0.05%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DISCOVERY HOLDINGS INC                                                              | Discovery Global Holdings Inc                                                    | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       64000 | PA      | $44967.25     | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QVY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355812 | PA      | $362380.15    | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                                      | Open Text Corp                                                                   | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |       70000 | PA      | $71923.75     | 0.01%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                         | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      184000 | PA      | $183569.76    | 0.03%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AS Mileage Plan IP Limited                                                          | AS Mileage Plan IP Limited 2025 Repriced Term Loan B                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      246875 | PA      | $247388.50    | 0.04%             | 2031-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | MILLING WHEAT SEP 26                                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              |  | FR        |         -34 | NC      | $-18531.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BUND MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -12 | NC      | $-25183.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BUSEY CORPORATION                                                             | First Busey Corp                                                                 | CUSIP: 319383600<br>LEI: 549300X4ZNLYSX7GUY60 | Long             | EP               | CORP              | US        |       12125 | NS      | $314280.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CLARIOS GLOBAL LP                                                                   | CLARIOS GLOBAL LP                                                                | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |      638400 | PA      | $636274.13    | 0.10%             | 2032-01-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | ROUGH RICE MAY 26                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          -3 | NC      | $2163.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLERGAN FUNDING SCS                                                                | Allergan Funding SCS                                                             | CUSIP: 000000000<br>LEI: 222100FLFVOSKCBCAR54 | Long             | DBT              | CORP              | LU        |      100000 | PA      | $115368.71    | 0.02%             | 2028-11-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BTP (ITALY GOVT) MAR 26                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         102 | NC      | $142737.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                            | Ferrellgas LP / Ferrellgas Finance Corp                                          | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      219000 | PA      | $211635.05    | 0.03%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BTP (ITALY GOVT) MAR 26                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -18 | NC      | $-46958.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | ROUGH RICE MAY 26                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          -1 | NC      | $-862.34      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                                    | T-Mobile USA Inc                                                                 | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      220000 | PA      | $200301.83    | 0.03%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN JUL 26                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          20 | NC      | $16446.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AECOM                                                                               | AECOM                                                                            | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |      432000 | PA      | $441226.53    | 0.07%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                                 | Sirius XM Radio LLC                                                              | CUSIP: 82966BAA3<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      748000 | PA      | $745814.33    | 0.12%             | 2032-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | TAIWAN NEW DOLLAR                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $942.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                                 | Homeward Opportunities Fund Trust 2025-RRTL2                                     | CUSIP: 437923AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360000 | PA      | $362024.68    | 0.06%             | 2040-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                                | SMRT 2022-MINI                                                                   | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430000 | PA      | $429596.88    | 0.07%             | 2039-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BUND MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          14 | NC      | $25757.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                             | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      110000 | PA      | $108579.02    | 0.02%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                                            | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC  | CUSIP: 85208NAE0<br>LEI: 5493003BZYYYCDIO0R13 | Long             | DBT              | CORP              | US        |      564750 | PA      | $567451.92    | 0.09%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | MSCI SING IX ETS MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          34 | NC      | $5465.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | LONG GILT JUN 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          -3 | NC      | $-5628.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ballyrock Ltd                                                                       | Ballyrock CLO 20 Ltd                                                             | CUSIP: 05876CBN2<br>LEI: 254900WX8CA21F2QI356 | Long             | ABS-CBDO         | CORP              | KY        |      225000 | PA      | $224038.13    | 0.04%             | 2036-10-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                            | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      176000 | PA      | $171164.25    | 0.03%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $409937.50    | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      296141 | PA      | $301840.96    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                               | Wells Fargo Commercial Mortgage Trust 2018-C47                                   | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $560846.94    | 0.09%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | NZ        |           1 | NC      | $-2220.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754TAD4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      355000 | PA      | $356940.93    | 0.06%             | 2045-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                                       | UK Logistics 2025-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |      179469 | PA      | $242040.78    | 0.04%             | 2035-05-17      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                                      | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      505848 | PA      | $490372.23    | 0.08%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | CORN DEC 26                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -39 | NC      | $-11637.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Impac Secured Assets Corp.                                                          | Impac Secured Assets Trust 2006-5                                                | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      405082 | PA      | $373991.14    | 0.06%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO STOXX 50 MAR 26                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          32 | NC      | $55551.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                                                  | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |           1 | NC      | $-44421.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                            | Virgin Media Secured Finance PLC                                                 | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |       80000 | PA      | $77777.37     | 0.01%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LME ZINC JUN 26                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           9 | NC      | $-14019.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2773.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                      | Carvana Auto Receivables Trust 2023-N3                                           | CUSIP: 14686RAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2000 | PA      | $209750.34    | 0.03%             | 2030-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                 | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      205000 | PA      | $250532.92    | 0.04%             | 2032-07-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNY Capital Markets LLC                                                             | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: VJW2DOOHGDT6PR0ZRO63 | N/A              | DFE              |  | JP        |           1 | NC      | $-9180.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                        | Centene Corp                                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      445000 | PA      | $386047.64    | 0.06%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                                 | United Kingdom Gilt                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |       80000 | PA      | $108656.42    | 0.02%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                            | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RKK9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      365000 | PA      | $374032.95    | 0.06%             | 2028-10-20      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | CANOLA (IFUS) FUTURE JUL 26                                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           8 | NC      | $13.25        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| American Home Mortgage Investment Trust                                             | American Home Mortgage Investment Trust 2005-1                                   | CUSIP: 02660TDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          18 | PA      | $17.53        | 0.00%             | 2045-06-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LTD                                                                  | Ardonagh Finco Ltd                                                               | CUSIP: 039853AA4<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | CORP              | JE        |       65000 | PA      | $66592.07     | 0.01%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                                   | 90 D AUD BANK BILL RATE DEC 26                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -14 | NC      | $6787.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Meff Financial Derivatives                                                          | IBEX MINI IDX MAR 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |           3 | NC      | $835.40       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                                                  | GAS OIL JUN 26                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           5 | NC      | $38919.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-6999.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                             | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       95000 | PA      | $92467.66     | 0.01%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      250000 | PA      | $243099.78    | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                                            | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      715000 | PA      | $723397.39    | 0.12%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | WHITE SUGAR (LIFFE) AUG 26                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -1 | NC      | $-366.17      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $673.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bourzou Issuer LLC, Jamshid Issuer LLC, Cristobal Issuer LLC & COPT DC-6 Issuer LLC | Cloud Capital Holdco LP                                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270000 | PA      | $271036.31    | 0.04%             | 2049-11-22      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                            | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      360000 | PA      | $256483.29    | 0.04%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                  | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      420000 | PA      | $435217.66    | 0.07%             | 2030-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COCOA MAY 26                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -10 | NC      | $69135.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                                | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349777 | PA      | $289627.97    | 0.05%             | 2036-04-19      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $11321.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                                 | Altice Financing SA                                                              | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |      305000 | PA      | $227923.78    | 0.04%             | 2027-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| LONG RIDGE ENERGY LLC                                                               | LONG RIDGE ENERGY LLC                                                            | CUSIP: 000000000<br>LEI: 984500764EC9AZ2FC764 | Long             | LON              | CORP              | US        |      406925 | PA      | $405146.74    | 0.07%             | 2032-02-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | MSCI EAFE INDEX MAR 26                                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          37 | NC      | $549765.51    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SARTORIUS FINANCE BV                                                                | Sartorius Finance BV                                                             | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $253223.64    | 0.04%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-TAIL                                                               | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315000 | PA      | $315295.56    | 0.05%             | 2035-06-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                                                            | Performance Food Group Inc                                                       | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      245000 | PA      | $245874.44    | 0.04%             | 2034-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                                | Kraft Heinz Foods Co                                                             | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      240000 | PA      | $273295.09    | 0.04%             | 2039-08-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                                              | Volkswagen International Finance NV                                              | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $275903.60    | 0.04%             | 2032-09-06      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                                                | New Mountain CLO 8 Ltd                                                           | CUSIP: 64755HAB1<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $341441.50    | 0.05%             | 2038-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | NO        |           1 | NC      | $33469.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                             | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |      540000 | PA      | $545519.72    | 0.09%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTL DEVELOPMENT ASSOC                                                              | International Development Association                                            | CUSIP: 000000000<br>LEI: P41R60HC414IWQA1XW02 | Long             | DBT              | CORP              | XX        |      900000 | PA      | $92398.76     | 0.01%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                              | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1320000 | PA      | $1301850.00   | 0.21%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                                          | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                             | CUSIP: 78413MAN8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |      345000 | PA      | $286239.57    | 0.05%             | 2043-01-05      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-16869.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      255000 | PA      | $180177.84    | 0.03%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BURLINGTON STORES INC                                                               | Burlington Stores Inc                                                            | CUSIP: 122017AD8<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |      235000 | PA      | $367657.50    | 0.06%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                 | Dominion Energy Inc                                                              | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      355000 | PA      | $368767.45    | 0.06%             | 2055-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                 | Thornburg Mortgage Securities Trust 2004-3                                       | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238499 | PA      | $228164.53    | 0.04%             | 2034-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR MAR 28                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          32 | NC      | $8950.93      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | RUSSELL 2000 EMINI CME MAR 26                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           5 | NC      | $-10375.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHSTATE BANK NA                                                                  | South State Bank NA                                                              | CUSIP: 45384BAD8<br>LEI: 8I3UVGYULPJQIP7FQV10 | Long             | DBT              | CORP              | US        |      140000 | PA      | $150842.00    | 0.02%             | 2034-08-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                                             | Turkiye Government Bond                                                          | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    47285000 | PA      | $1090612.09   | 0.18%             | 2026-08-12      | Fixed         | 36.00%                | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                                                               | KeySpan Gas East Corp                                                            | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |      225000 | PA      | $240352.54    | 0.04%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NATURAL GAS OCT 26                                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -6 | NC      | $15669.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-5537.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | HUNGARIAN FURINT                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $15201.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                                 | BAFC_14-R6                                                                       | CUSIP: 05969KBB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      234842 | PA      | $233311.63    | 0.04%             | 2036-07-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                                                 | Hotwire Funding LLC                                                              | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |      775000 | PA      | $767047.34    | 0.12%             | 2051-11-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                                                     | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      388000 | PA      | $383424.82    | 0.06%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                     | CVS Health Corp                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       35000 | PA      | $33400.64     | 0.01%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US 10YR NOTE JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          26 | NC      | $22935.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK NA                                                                         | Citibank NA                                                                      | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103195.17    | 0.02%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BW REAL ESTATE INC                                                                  | BW Real Estate Inc                                                               | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $126068.51    | 0.02%             | 2030-03-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                             | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $30097.16     | 0.00%             | 2032-11-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-563.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                                  | Ford Motor Co                                                                    | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      610000 | PA      | $548569.10    | 0.09%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | WTI CRUDE MAY 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           1 | NC      | $4258.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | TAIWAN NEW DOLLAR                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2526.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754EAB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      120000 | PA      | $123146.41    | 0.02%             | 2043-07-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                                          | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $431840.70    | 0.07%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                               | CWABS Asset-Backed Certificates Trust 2007-13                                    | CUSIP: 126698AD1<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      288302 | PA      | $269779.35    | 0.04%             | 2047-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | WHITE SUGAR (LIFFE) AUG 26                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -4 | NC      | $1585.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                       | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216033 | PA      | $199106.59    | 0.03%             | 2037-04-15      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | XX        |           1 | NC      | $-1360.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2019-HY3                                               | CUSIP: 89177XAD9<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      650000 | PA      | $651169.16    | 0.10%             | 2059-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                          | Fiserv Inc                                                                       | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |       75000 | PA      | $77643.27     | 0.01%             | 2033-08-21      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                                              | Park Avenue Institutional Advisers CLO Ltd 2021-1                                | CUSIP: 70015QAS7<br>LEI: 529900G1ZDEDA0MGYE20 | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $450477.90    | 0.07%             | 2034-01-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                                             | Philippine Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      100000 | PA      | $115759.80    | 0.02%             | 2027-05-17      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NY HARBOR ULSD (HEAT OIL) APR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          14 | NC      | $97363.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HLK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      251196 | PA      | $249492.20    | 0.04%             | 2055-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                          | US Bancorp                                                                       | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      345000 | PA      | $341405.11    | 0.05%             | 2027-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                                              | Penn Entertainment Inc                                                           | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      185000 | PA      | $174546.07    | 0.03%             | 2029-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                                        | Entergy Corp                                                                     | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |      260000 | PA      | $261538.05    | 0.04%             | 2056-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                                 | 90 D AUD BANK BILL RATE JUN 26                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         -72 | NC      | $31211.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | MINI-DAX FUTURE MAR 26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           1 | NC      | $5919.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                               | Province of Ontario Canada                                                       | CUSIP: 000000000<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      185000 | PA      | $221947.90    | 0.04%             | 2034-01-31      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | NZD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          77 | NC      | $-30818.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | USD/CNH PH (XCME) MAR 26                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          -2 | NC      | $3303.34      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR JUN 28                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          14 | NC      | $4110.46      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260526 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $-503.86      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                                               | Global Switch Finance BV                                                         | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |      150000 | PA      | $166423.86    | 0.03%             | 2030-10-07      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3133C6EW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      400420 | PA      | $404237.52    | 0.07%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                                                | New Mountain CLO 8 Ltd                                                           | CUSIP: 64755HAE5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |       50000 | PA      | $5.00         | 0.00%             | 2038-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                                                 | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      715636 | PA      | $629319.77    | 0.10%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | VERUS SECURITIZATION TRUST VERUS_24-2                                            | CUSIP: 92539UAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      472000 | PA      | $478937.64    | 0.08%             | 2069-02-25      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | CAC40 10 EURO MAR 26                                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               |  | FR        |          16 | NC      | $32060.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SEMPRA                                                                              | Sempra                                                                           | CUSIP: 816851BV0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      310000 | PA      | $316343.73    | 0.05%             | 2055-04-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | GASOLINE RBOB MAY 26                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           6 | NC      | $31657.74     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENBRIDGE INC                                                                        | Enbridge Inc                                                                     | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      360000 | PA      | $387911.09    | 0.06%             | 2054-06-27      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ANZ Securities, Inc.                                                                | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: 54930002PP1OBF1UXP39 | N/A              | DFE              |  | NZ        |           1 | NC      | $7347.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                    | Bank of Montreal                                                                 | CUSIP: 06368L8V1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      355000 | PA      | $366265.94    | 0.06%             | 2085-11-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                            | Sinclair Television Group Inc                                                    | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |       65000 | PA      | $67674.27     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2025-SPOT                                           | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430655 | PA      | $432058.68    | 0.07%             | 2040-04-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US LONG BOND JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -3 | NC      | $-2676.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO-BTP (ITALY GOVT) MAR 26                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          40 | NC      | $51981.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2024-CES6                                              | CUSIP: 891947AC7<br>LEI: 25490024AP9UCHO22G82 | Long             | ABS-MBS          | CORP              | US        |      620000 | PA      | $629446.94    | 0.10%             | 2064-11-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                  | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | NO        |           1 | NC      | $10796.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                              | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |      450000 | PA      | $439018.54    | 0.07%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                       | Carnival Corp                                                                    | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      160000 | PA      | $204516.95    | 0.03%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HK5N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2418081 | PA      | $155295.70    | 0.02%             | 2055-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | US        |           1 | NC      | $3427.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | SUGAR #11 JUL 26                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -6 | NC      | $1061.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                                        | UBS Group AG                                                                     | CUSIP: 902613BW7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      995000 | PA      | $1001895.25   | 0.16%             | 2036-01-08      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      880082 | PA      | $876400.28    | 0.14%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP                                                               | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |      100000 | PA      | $89353.19     | 0.01%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $119128.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $584.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                                   | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $529706.54    | 0.09%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260506 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -2 | NC      | $735.78       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                                                  | WHITE SUGAR (LIFFE) MAY 26                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         -13 | NC      | $6964.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH BOW CAN INFRA HOLD                                                            | South Bow Canadian Infrastructure Holdings Ltd                                   | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |      265000 | PA      | $281253.41    | 0.05%             | 2055-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-4972.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                         | Southern Co/The                                                                  | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      380000 | PA      | $377299.62    | 0.06%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | GAS OIL APR 26                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           3 | NC      | $12571.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | FTSE 100 INDEX MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          19 | NC      | $168422.38    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-26756.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTRA CONCERT PHARMAC                                                              | CONTRA CONCERT PHARMAC                                                           | CUSIP: 206CVR011<br>LEI: 529900PYI5BSGQNATP82 | N/A              | DE               |  | US        |      173147 | NS      | $51944.10     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CENTENE CORP                                                                        | Centene Corp                                                                     | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      470000 | PA      | $436068.91    | 0.07%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FIRST INTERSTATE BANCSYS                                                            | First Interstate BancSystem Inc                                                  | CUSIP: 32055YAB8<br>LEI: 549300WRWYTYX0RCNJ43 | Long             | DBT              | CORP              | US        |      180000 | PA      | $182691.83    | 0.03%             | 2035-06-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                  | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | US        |           1 | NC      | $-186936.45   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                               | GFL Environmental Inc                                                            | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $98437.20     | 0.02%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                             | Bayer US Finance II LLC                                                          | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      174000 | PA      | $174623.63    | 0.03%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1388.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HLT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75863 | PA      | $74550.32     | 0.01%             | 2055-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                                             | Hungary Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      200000 | PA      | $174649.70    | 0.03%             | 2031-09-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                            | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |       42000 | PA      | $35112.26     | 0.01%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                       | TransDigm Inc 2024 Term Loan L                                                   | CUSIP: 89364MCD4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |      148125 | PA      | $148007.98    | 0.02%             | 2032-01-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | GBP/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           2 | NC      | $-2103.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | US 5YR NOTE JUN 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          87 | NC      | $42538.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Conseco Finance Securitizations Corp.                                               | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QHZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105276 | PA      | $105560.73    | 0.02%             | 2033-09-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                    | Altria Group Inc                                                                 | CUSIP: 02209SBS1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      165000 | PA      | $167997.24    | 0.03%             | 2028-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                      | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      250000 | PA      | $257786.75    | 0.04%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                    | CSC Holdings LLC                                                                 | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      145000 | PA      | $91516.04     | 0.01%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF HAWAII CORP                                                                 | Bank of Hawaii Corp                                                              | CUSIP: 062540307<br>LEI: 5493006Q8BQ8AD8M2U33 | Long             | EP               | CORP              | US        |       11850 | NS      | $314854.50    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| County of Miami-Dade FL Aviation Revenue                                            | MIAMI-DADE CNTY FL AVIATION REVENUE                                              | CUSIP: 59333P6L7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       85000 | PA      | $74810.44     | 0.01%             | 2035-10-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                       | TransDigm Inc                                                                    | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      260000 | PA      | $264753.47    | 0.04%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $21705.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                            | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAD1<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      229000 | PA      | $222779.73    | 0.04%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COTTON NO.2 JUL 26                                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -8 | NC      | $-3713.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | EFMT 2025-INV2                                                                   | CUSIP: 281914AE1<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $511434.05    | 0.08%             | 2070-05-26      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Euronext NV                                                                         | MILLING WHEAT MAY 26                                                             | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DCO              |  | FR        |         -85 | NC      | $-47127.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                               | Uber Technologies Inc                                                            | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      210000 | PA      | $210563.39    | 0.03%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | FED FUND 30 DAY JAN 27                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -1 | NC      | $-417.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2344.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                            | American Assets Trust LP                                                         | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |      155000 | PA      | $142638.93    | 0.02%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN MEAL (CBT) MAY 26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          17 | NC      | $10762.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDLINE BORROWER LP                                                                 | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25014.06     | 0.00%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                              | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       85000 | PA      | $84690.14     | 0.01%             | 2026-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                                                        | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1090000 | PA      | $614591.58    | 0.10%             | 2028-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CHILEAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1945.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN IV                                                                   | Teva Pharmaceutical Finance Netherlands IV BV                                    | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |       39000 | PA      | $40443.66     | 0.01%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                                      | CRUDE PALM OIL JUL 26                                                            | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DCO              |  | MY        |           2 | NC      | $-174.90      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SEALED AIR CORP                                                                     | Sealed Air Corp                                                                  | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61899.73     | 0.01%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2017-4                                                 | CUSIP: 89173UAB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $868025.88    | 0.14%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | PALLADIUM JUN 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           2 | NC      | $4811.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | SGX TSI IRON ORE CHINA 62% FUT APR                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DCO              |  | SG        |         141 | NC      | $734.27       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | THREE-MONTH SOFR FUTURE DEC 26                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -137 | NC      | $-36468.03    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                             | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      200000 | PA      | $178923.35    | 0.03%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                           | CIM TRUST 2025-R1                                                                | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      572948 | PA      | $571402.95    | 0.09%             | 2099-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                                                     | Zayo Issuer LLC                                                                  | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270000 | PA      | $276042.00    | 0.04%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | COPPER JUL 26                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           2 | NC      | $9471.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-32522.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                               | Guatemala Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      710000 | PA      | $752038.25    | 0.12%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | PLATINUM APR 26                                                                  | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           1 | NC      | $5953.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRAVEL + LEISURE CO                                                                 | Travel + Leisure Co                                                              | CUSIP: 894164AC6<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |      140000 | PA      | $142170.60    | 0.02%             | 2033-09-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                                                              | Edgewell Personal Care Co                                                        | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9650.09      | 0.00%             | 2029-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                             | JetBlue Airways Corp / JetBlue Loyalty LP                                        | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      345000 | PA      | $350218.88    | 0.06%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                               | Icahn Enterprises LP / Icahn Enterprises Finance Corp                            | CUSIP: 451102CJ4<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |      230000 | PA      | $218168.30    | 0.04%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                                               | Philippine Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    30240000 | PA      | $557091.54    | 0.09%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                              | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607P7Y4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      445000 | PA      | $461443.34    | 0.07%             | 2085-10-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LIVE CATTLE OCT 26                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           1 | NC      | $-362.20      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SMRT                                                                                | SMRT 2022-MINI                                                                   | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $349562.50    | 0.06%             | 2039-01-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | STOXX 600 BANK MAR 26                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           4 | NC      | $4988.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $-2688.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-1731.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $15498.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                            | CAN 10YR BOND JUN 26                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |         114 | NC      | $46200.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $36219.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5700000 | PA      | $5725567.01   | 0.92%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO (PRE-MERGER)                                      | 1011778 BC UNLIMITED LIABILITY CO (PRE-MERGER)                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |      749601 | PA      | $748349.49    | 0.12%             | 2030-09-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                            | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |        5000 | PA      | $4806.38      | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                         | GSAMP Trust 2007-FM2                                                             | CUSIP: 3622MHAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      663334 | PA      | $414805.69    | 0.07%             | 2037-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                                            | Transocean Titan Financing Ltd                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       65371 | PA      | $66769.76     | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA T-BOND JUN 26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -12 | NC      | $-17168.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                               | PROVINCE OF ONTARIO CANADA                                                       | CUSIP: 68323ACC6<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      500000 | PA      | $324887.28    | 0.05%             | 2045-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $159455.50    | 0.03%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                              | CACI International Inc                                                           | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |      215000 | PA      | $221747.09    | 0.04%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QVWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      518039 | PA      | $526720.74    | 0.08%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                                                         | Bear Mountain Park CLO Ltd                                                       | CUSIP: 07403CAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $501764.50    | 0.08%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                                                                 | OMXS30 INDEX MAR 26                                                              | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |          47 | NC      | $54533.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                                       | COLUMBIA SHORT TERM CASH FUND                                                    | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   253125361 | NS      | $253074735.76 | 40.73%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $13045.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                           | Structured Asset Mortgage Investments II Trust 2006-AR8                          | CUSIP: 86361WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230662 | PA      | $208368.47    | 0.03%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2788219 | PA      | $501.32       | 0.00%             | 2049-04-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | SUGAR #11 MAR 27                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -8 | NC      | $-2705.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWISS FRANC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $10465.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Commodity Exchange                                                            | PLATINUM TCOM OCT 26                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | JP        |           1 | NC      | $5447.11      | 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        |           2 | NC      | $1757.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton USA Trust                                                                    | Hilton USA Trust 2016-HHV                                                        | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $442554.26    | 0.07%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | DJIA MINI e-CBOT MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               |  | US        |          10 | NC      | $51088.79     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BLOCK INC                                                                           | Block Inc                                                                        | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |       85000 | PA      | $87435.33     | 0.01%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                                 | JP Morgan Mortgage Acquisition Corp 2005-OPT2                                    | CUSIP: 46626LEQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $861746.58    | 0.14%             | 2035-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                                              | American Tower Trust #1                                                          | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |      410000 | PA      | $415707.82    | 0.07%             | 2028-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                     | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1329651 | PA      | $169425.53    | 0.03%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT MAY 26                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          13 | NC      | $11958.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LEAN HOGS APR 26                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           9 | NC      | $-3064.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                               | Indonesia Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      220000 | PA      | $260367.06    | 0.04%             | 2038-03-04      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EUR/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          37 | NC      | $24222.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | STOXX 600 UTIL MAR 26                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           5 | NC      | $22273.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                             | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      135000 | PA      | $125243.08    | 0.02%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                              | WESCO Distribution Inc                                                           | CUSIP: 95081QAU8<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |       85000 | PA      | $85645.67     | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                        | UBS Group AG                                                                     | CUSIP: 225401BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      370000 | PA      | $379041.10    | 0.06%             | 2034-08-10      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                              | Williams Cos Inc/The                                                             | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      342000 | PA      | $351070.00    | 0.06%             | 2035-09-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LLC                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 12UUJYTN7D3SW8KCSG25 | N/A              | DFE              |  | US        |           1 | NC      | $-6628.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                                              | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2430000 | PA      | $1409344.37   | 0.23%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $2924.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $2515.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                                                 | DataBank Issuer                                                                  | CUSIP: 23802WAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      155000 | PA      | $156080.89    | 0.03%             | 2056-02-25      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                             | E.ON SE                                                                          | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |      170000 | PA      | $177453.92    | 0.03%             | 2031-11-07      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT JUL 26                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -13 | NC      | $-24911.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Apidos CLO                                                                          | Apidos CLO XI                                                                    | CUSIP: 03764EAC3<br>LEI: 549300XIP4V1NMCICV93 | Long             | ABS-CBDO         | CORP              | KY        |     1225000 | PA      | $203702.80    | 0.03%             | 2034-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                                                 | Freddie Mac Multifamily PC REMIC Trust 2019-P002                                 | CUSIP: 3137FQKX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      705000 | PA      | $36495.59     | 0.01%             | 2033-07-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                            | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                 | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |       82000 | PA      | $91334.59     | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AURIZON NETWORK PTY LTD                                                             | Aurizon Network Pty Ltd                                                          | CUSIP: 000000000<br>LEI: 549300FNL9A7DVZKZ444 | Long             | DBT              | CORP              | AU        |      250000 | PA      | $159596.77    | 0.03%             | 2030-09-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                        | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      585000 | PA      | $527131.83    | 0.08%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | LONG GILT JUN 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |           6 | NC      | $5628.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HILCORP ENERGY I LP                                                                 | Hilcorp Energy I LP Term Loan B                                                  | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |      521662 | PA      | $521010.42    | 0.08%             | 2030-02-11      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOPPER MERGER SUB INC                                                               | HOPPER MERGER SUB INC                                                            | CUSIP: 000000000<br>LEI: 9845009E9B4548A5N478 | Long             | LON              | CORP              | US        |      590000 | PA      | $582625.00    | 0.09%             | 2033-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | NORWAY KRONA                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $14110.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |      940496 | PA      | $790581.23    | 0.13%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BRQL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3993602 | PA      | $12187.28     | 0.00%             | 2026-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                        | Barclays PLC                                                                     | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      408000 | PA      | $433449.64    | 0.07%             | 2035-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                            | RASC Series 2007-KS1 Trust                                                       | CUSIP: 74924SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      866852 | PA      | $854405.47    | 0.14%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NY HARBOR ULSD (HEAT OIL) JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           6 | NC      | $47672.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                                      | NIKKEI 225 (OSE) MAR 26                                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           2 | NC      | $107363.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | JPY/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          -7 | NC      | $-9027.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Italian Derivatives Market                                                          | FTSE/MIB INDEX MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |           6 | NC      | $80403.19     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                              | Match Group Holdings II LLC                                                      | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      150000 | PA      | $142525.41    | 0.02%             | 2030-08-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ardagh Holdings SA                                                                  | Ardagh Holdings SA                                                               | CUSIP: 985923101<br>LEI: 549300ORV6YW6ESSNQ21 | Long             | EC               | CORP              | LU        |        8977 | NS      | $66205.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                            | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      810000 | PA      | $560849.92    | 0.09%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CHILEAN PESO                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-555.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                              | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      305000 | PA      | $289075.11    | 0.05%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | COLOMBIAN PESO                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-5307.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SOUTH AFRICA COMM. RD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $5581.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                      | Option One Mortgage Loan Trust 2007-5                                            | CUSIP: 68403HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1355514 | PA      | $746768.56    | 0.12%             | 2037-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST FKH_21-SFR3                                                    | FIRSTKEY HOMES TRUST FKH_21-SFR3                                                 | CUSIP: 33768JAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      820000 | PA      | $810822.15    | 0.13%             | 2038-12-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FG7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      316463 | PA      | $12544.52     | 0.00%             | 2046-05-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                                | INDONESIA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  2298000000 | PA      | $150878.42    | 0.02%             | 2029-03-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential 2025-SFR1 Trust                                             | CUSIP: 74334NAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      631000 | PA      | $593023.52    | 0.10%             | 2042-02-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LEAN HOGS JUL 26                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           9 | NC      | $9309.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                                                | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |           1 | NC      | $-3857.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                                          | NBN Co Ltd                                                                       | CUSIP: 000000000<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | NUSS              | AU        |     1320000 | PA      | $941049.35    | 0.15%             | 2031-08-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                                    | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      185000 | PA      | $221296.76    | 0.04%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136ABG64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172298 | PA      | $167618.93    | 0.03%             | 2042-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       95000 | PA      | $70745.31     | 0.01%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | DAX INDEX MAR 26                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           1 | NC      | $-6382.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SNAP INC                                                                            | Snap Inc                                                                         | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      170000 | PA      | $169351.81    | 0.03%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2021-LBA                                                                | CUSIP: 05609BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $239926.01    | 0.04%             | 2036-02-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                                         | Corevest American Finance 2020-1 Trust                                           | CUSIP: 21872UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      125265 | PA      | $4274.02      | 0.00%             | 2050-03-15      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                                 | JP MORGAN MORTGAGE ACQUISITION C                                                 | CUSIP: 46631KAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      284656 | PA      | $279861.63    | 0.05%             | 2037-06-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LIVE CATTLE AUG 26                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           2 | NC      | $-584.40      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTINENTAL RESOURCES                                                               | Continental Resources Inc/OK                                                     | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      476000 | PA      | $493511.13    | 0.08%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EUR/USD EMINI FUTURE (CME) MAR 26                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           2 | NC      | $1685.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN OIL MAY 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          15 | NC      | $32156.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                               | CWABS Asset-Backed Certificates Trust 2004-10                                    | CUSIP: 126673JW3<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      640685 | PA      | $612210.90    | 0.10%             | 2034-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                                | Michaels Cos Inc/The                                                             | CUSIP: 59408QAA4<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18749.72     | 0.00%             | 2034-03-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                                            | Transocean International Ltd                                                     | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       59500 | PA      | $62210.49     | 0.01%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANCORP                                                            | Western Alliance Bancorp                                                         | CUSIP: 957638AD1<br>LEI: 5493003VJXZ5JXT9S762 | Long             | DBT              | CORP              | US        |      490000 | PA      | $484790.40    | 0.08%             | 2031-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN                                                            | Raven Acquisition Holdings LLC                                                   | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65000 | PA      | $62466.79     | 0.01%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPALT_07-S1                                                                         | JPALT_07-S1                                                                      | CUSIP: 466275AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      107913 | PA      | $104566.96    | 0.02%             | 2047-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-881.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                                | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      985000 | PA      | $998751.56    | 0.16%             | 2030-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                                     | Yum! Brands Inc                                                                  | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      290000 | PA      | $290309.95    | 0.05%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                            | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                 | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      390000 | PA      | $372618.34    | 0.06%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAJ0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       80000 | PA      | $82579.58     | 0.01%             | 2041-11-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                            | AERCAP IRELAND CAP/GLOBA                                                         | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      320000 | PA      | $331587.94    | 0.05%             | 2056-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ION PLAT FIN US/SARL                                                                | ION Platform Finance US Inc / ION Platform Finance SARL                          | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $185939.65    | 0.03%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO STOXX 50 MAR 26                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          27 | NC      | $96381.55     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                             | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |      150000 | PA      | $150855.67    | 0.02%             | 2031-11-19      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWISS FRANC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $2709.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                               | INTOWN 2025-STAY Mortgage Trust                                                  | CUSIP: 46117WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105000 | PA      | $105295.35    | 0.02%             | 2042-03-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                              | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $158411.72    | 0.03%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INDIA GOVERNMENT BOND                                                               | India Government Bond                                                            | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |     7990000 | PA      | $86554.83     | 0.01%             | 2031-07-12      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390263 | PA      | $391238.70    | 0.06%             | 2041-08-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |           1 | NC      | $-8403.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |           1 | NC      | $45865.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                                                             | HOMEBANC MORTGAGE TRUST HMBT_05-3                                                | CUSIP: 43739EBP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      504005 | PA      | $508119.52    | 0.08%             | 2035-07-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                             | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                   | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      783026 | PA      | $745860.17    | 0.12%             | 2045-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| REDE D'OR FINANCE SARL                                                              | Rede D'or Finance Sarl                                                           | CUSIP: 75735GAA6<br>LEI: 549300FDE772OLJUCP79 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $194849.34    | 0.03%             | 2030-01-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $16925.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KFC Holding Co                                                                      | KFC Holding Co 2021 Term Loan B                                                  | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |      325798 | PA      | $326306.55    | 0.05%             | 2028-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                        | ING Groep NV                                                                     | CUSIP: 456837BT9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      355000 | PA      | $368618.35    | 0.06%             | 2032-11-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | FTSE 100 INDEX MAR 26                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          23 | NC      | $268323.59    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                                                     | Fannie Mae Interest Strip                                                        | CUSIP: 31423XZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3153566 | PA      | $396116.76    | 0.06%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | FTSE CHINA A50 MAR 26                                                            | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          62 | NC      | $-7270.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | CORN MAY 26                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -47 | NC      | $-26604.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                                                | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | AU        |           1 | NC      | $12205.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                              | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      829000 | PA      | $724748.12    | 0.12%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | BRENT CRUDE (ICE) MAY 26                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           6 | NC      | $29493.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                                        | NY HARBOR ULSD (HEAT OIL) DEC 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           3 | NC      | $27731.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-45398.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PPL CORPORATION                                                                     | PPL Corp                                                                         | CUSIP: 69351T866<br>LEI: 9N3UAJSNOUXFKQLF3V18 | Long             | EP               | CORP              | US        |        8095 | NS      | $417621.05    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                      | Fannie Mae-Aces                                                                  | CUSIP: 3136AT5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      299350 | PA      | $4146.62      | 0.00%             | 2039-07-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Aimco                                                                               | AIMCO CLO 10 Ltd                                                                 | CUSIP: 00901AAU1<br>LEI: 5493004I93856WYBB035 | Long             | ABS-CBDO         | CORP              | KY        |      450000 | PA      | $451031.85    | 0.07%             | 2037-07-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                        | Saxon Asset Securities Trust 2007-2                                              | CUSIP: 80556YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      491983 | PA      | $367666.34    | 0.06%             | 2047-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-9073.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $56673.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                                         | Rckt Mortgage Trust 2025-CES4                                                    | CUSIP: 74937YAK4<br>LEI: 254900VY2F6O6C6XTD40 | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $405574.60    | 0.07%             | 2055-04-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                    | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      471820 | PA      | $434870.20    | 0.07%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                                             | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      275000 | PA      | $297883.93    | 0.05%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      651719 | PA      | $590676.02    | 0.10%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2019-2                                                 | CUSIP: 89177JAC2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      275000 | PA      | $247397.45    | 0.04%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                                               | Philippine Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    47150000 | PA      | $845186.88    | 0.14%             | 2030-07-27      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |      285000 | PA      | $292952.04    | 0.05%             | 2042-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| STANLEY BLACK & DECKER I                                                            | Stanley Black & Decker Inc                                                       | CUSIP: 854502AM3<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |      870000 | PA      | $871445.60    | 0.14%             | 2060-03-15      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                                            | TK Elevator US Newco Inc                                                         | CUSIP: 92537RAA7<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99868.38     | 0.02%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | WHEAT DEC 26                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -15 | NC      | $-41158.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR DEC 26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          32 | NC      | $9524.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-33252.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1646210 | PA      | $1633565.59   | 0.26%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754YCL3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      230000 | PA      | $232834.20    | 0.04%             | 2045-09-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                                 | 90 D AUD BANK BILL RATE MAR 27                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          -2 | NC      | $-88.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                             | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $82878.53     | 0.01%             | 2031-04-30      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                                                  | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      372000 | PA      | $362004.36    | 0.06%             | 2036-01-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2760000 | PA      | $2110106.25   | 0.34%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                    | COLT 2023-1 Mortgage Loan Trust                                                  | CUSIP: 19688NAA6<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |      225936 | PA      | $226374.75    | 0.04%             | 2068-04-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN OIL JUL 26                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          14 | NC      | $44698.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260501 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -2 | NC      | $738.78       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Norway Government Bonds                                                             | Norway Government Bonds                                                          | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |     2595000 | PA      | $265403.96    | 0.04%             | 2035-06-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARE                                                            | First Citizens BancShares Inc/NC                                                 | CUSIP: 31959X400<br>LEI: 549300N3Z00ZHE2XC526 | Long             | EP               | CORP              | US        |       29850 | NS      | $751324.50    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2018-2                                                 | CUSIP: 89175VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $870989.13    | 0.14%             | 2058-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | STOXX EUROPE 600 MAR 26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          28 | NC      | $76228.07     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bluemountain CLO Ltd                                                                | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500783.50    | 0.08%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | LONG GILT JUN 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          22 | NC      | $33627.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Canada Government Bonds                                                             | Canada Government Bonds                                                          | CUSIP: 135087R89<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      465000 | PA      | $351476.96    | 0.06%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac Stacr Remic Trust 2025-Hqa1                                          | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |      260000 | PA      | $260958.02    | 0.04%             | 2045-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2024-1                                                | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |       48213 | PA      | $48433.20     | 0.01%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS FHMS_K096                           | FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS FHMS_K096                        | CUSIP: 3137FNBB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     3390000 | PA      | $199028.60    | 0.03%             | 2029-07-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Johannesburg Stock Exchange                                                         | FTSE/JSE TOP 40 MAR 26                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |           6 | NC      | $45542.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OVINTIV INC                                                                         | Ovintiv Inc                                                                      | CUSIP: 292505AG9<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      450000 | PA      | $486545.44    | 0.08%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | COFFEE ROBUSTA JUL 26                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -2 | NC      | $-272.28      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSGRID FINANCE PTY LTD                                                             | Ausgrid Finance Pty Ltd                                                          | CUSIP: 000000000<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |      130000 | PA      | $93603.92     | 0.02%             | 2035-12-10      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                               | Brazil Government International Bonds                                            | CUSIP: 105756CL2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      515000 | PA      | $540686.84    | 0.09%             | 2035-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                              | Acrisure LLC / Acrisure Finance Inc                                              | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      105000 | PA      | $106870.65    | 0.02%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | BRITISH POUND                                                                    | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | GB        |           1 | NC      | $-2300.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIMMONS FIRST NTL CORP                                                              | Simmons First National Corp                                                      | CUSIP: 828730AC5<br>LEI: 549300IVR5AJKUVOGN05 | Long             | DBT              | CORP              | US        |      325000 | PA      | $330033.90    | 0.05%             | 2035-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260511 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $1179.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AutoNation Finance Trust 2025-1                                                     | AutoNation Finance Trust 2026-1                                                  | CUSIP: 05330WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      175000 | PA      | $176686.93    | 0.03%             | 2034-01-11      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38384WFA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1184825 | PA      | $65130.08     | 0.01%             | 2054-09-20      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-569.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                            | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1431.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-4969.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                      | Long Beach Mortgage Loan Trust 2006-4                                            | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      889901 | PA      | $470796.76    | 0.08%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                    | Colt 2024-7 Mortgage Loan Trust                                                  | CUSIP: 19688YAE4<br>LEI: 213800EA95GXXC9AJO50 | Long             | ABS-MBS          | CORP              | US        |      360000 | PA      | $366093.65    | 0.06%             | 2069-12-26      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                          | JPMBB Commercial Mortgage Securities Trust 2014-C23                              | CUSIP: 46643ABG7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |      164361 | PA      | $6.00         | 0.00%             | 2047-09-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-2475.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-99635.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $48743.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                                       | CHI Commercial Mortgage Trust 2025-SFT                                           | CUSIP: 16706GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $583449.89    | 0.09%             | 2042-04-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-7599.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38378BBQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1296132 | PA      | $12.96        | 0.00%             | 2052-05-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | MAIZE FUTURE JUN 26                                                              | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              |  | FR        |          -2 | NC      | $-886.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REDEXIS SA                                                                          | Redexis SA                                                                       | CUSIP: 000000000<br>LEI: 635400DYWVUY8IC5MR90 | Long             | DBT              | CORP              | ES        |      100000 | PA      | $122614.63    | 0.02%             | 2031-05-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $1095.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                                             | Inter-American Development Bank                                                  | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | XX        |    27000000 | PA      | $301259.44    | 0.05%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | NY HARBOR ULSD (HEAT OIL) APR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           6 | NC      | $39877.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DAVIDE CAMPARI-MILANO SP                                                            | Davide Campari-Milano NV                                                         | CUSIP: 000000000<br>LEI: 213800ED5AN2J56N6Z02 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $116714.06    | 0.02%             | 2029-01-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2012-1                                                    | CUSIP: 78446WAC1<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |      208552 | PA      | $206293.07    | 0.03%             | 2028-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                    | FirstEnergy Corp                                                                 | CUSIP: 337932AU1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      420000 | PA      | $488880.00    | 0.08%             | 2031-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260515 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -1 | NC      | $-4.11        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                            | 3M CORRA JUN 26                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          34 | NC      | $4490.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman XS Trust                                                                     | Lehman XS Trust 2006-15                                                          | CUSIP: 52523MAD2<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |      550185 | PA      | $509777.45    | 0.08%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                            | International Flavors & Fragrances Inc                                           | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      455000 | PA      | $415234.52    | 0.07%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Two Year Bonds                                                     | Japan Government Two Year Bonds                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   207800000 | PA      | $1326927.49   | 0.21%             | 2026-12-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                                      | TOPIX INDEX MAR 26                                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           7 | NC      | $227692.32    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      255000 | PA      | $165063.00    | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                         | Oracle Corp                                                                      | CUSIP: 68389X204<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EP               | CORP              | US        |       15400 | NS      | $706398.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                                                        | New Zealand Government Bonds                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1865000 | PA      | $1126482.62   | 0.18%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                                      | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     8440000 | PA      | $413562.69    | 0.07%             | 2034-10-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | TAIWAN NEW DOLLAR                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $6954.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                    | Altice France SA                                                                 | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       60950 | PA      | $58283.68     | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                 | Global Payments Inc                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      330000 | PA      | $331140.13    | 0.05%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | SILVER MAY 26                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $80869.51     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                                    | T-Mobile USA Inc                                                                 | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       69000 | PA      | $68871.63     | 0.01%             | 2026-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      269325 | PA      | $261915.83    | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROBERT BOSCH GMBH                                                                   | Robert Bosch GmbH                                                                | CUSIP: 000000000<br>LEI: 529900F0LT5OP4SV6122 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $119080.58    | 0.02%             | 2043-06-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                                          | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                             | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |       35000 | PA      | $31489.02     | 0.01%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                            | Snap Inc                                                                         | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99812.56     | 0.02%             | 2034-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                            | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      845000 | PA      | $559423.30    | 0.09%             | 2036-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                               | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      870000 | PA      | $884530.03    | 0.14%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                               | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      179808 | PA      | $174466.86    | 0.03%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | XX        |           1 | NC      | $-17178.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | FTSE TAIWAN MAR 26                                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          10 | NC      | $46902.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SOUTH AFRICA COMM. RD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1224.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                             | Global Partners LP / GLP Finance Corp                                            | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       84000 | PA      | $86787.90     | 0.01%             | 2033-07-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $3471.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                                  | BX Trust 2019-OC11                                                               | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $233712.00    | 0.04%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-834.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                                                      | SWCH Commercial Mortgage Trust 2025-DATA                                         | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      625000 | PA      | $617669.13    | 0.10%             | 2042-02-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                                              | NYC Commercial Mortgage Trust 2025-3BP                                           | CUSIP: 67120UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      425000 | PA      | $425343.74    | 0.07%             | 2042-02-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                            | Hackensack Meridian Health Inc                                                   | CUSIP: 404530AA5<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |      300000 | PA      | $263782.32    | 0.04%             | 2057-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | NASDAQ 100 E-MINI MAR 26                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           3 | NC      | $-56987.11    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEWS CORP                                                                           | News Corp                                                                        | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |      500000 | PA      | $487556.99    | 0.08%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1248.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SINGAPORE DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-16736.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                    | GGAM Finance Ltd                                                                 | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      260000 | PA      | $263209.22    | 0.04%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES/ESCR                                                            | Windstream Services LLC / Windstream Escrow Finance Corp                         | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $152484.44    | 0.02%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $45858.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COCOA JUL 26                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -2 | NC      | $25565.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN MAY 26                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          29 | NC      | $26397.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | NOK/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          25 | NC      | $140527.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753AAA2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      285000 | PA      | $299562.67    | 0.05%             | 2043-04-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                             | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      575000 | PA      | $595284.98    | 0.10%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                                  | Province of Quebec Canada                                                        | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      436000 | PA      | $448869.83    | 0.07%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                                         | GOLD 100 OZ APR 26                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           3 | NC      | $74408.73     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST CITIZENS BANCSHARE                                                            | First Citizens BancShares Inc/NC                                                 | CUSIP: 31959XAG8<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |      750000 | PA      | $770400.97    | 0.12%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $8405.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | BRL/USD FUTURE (CME) APR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           3 | NC      | $-3.54        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                                | Kraft Heinz Foods Co                                                             | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      200000 | PA      | $224891.38    | 0.04%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| EMERA INC                                                                           | Emera Inc                                                                        | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |      700000 | PA      | $704398.40    | 0.11%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                                            | CAN 10YR BOND JUN 26                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |          38 | NC      | $18701.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260501 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           2 | NC      | $3643.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                            | International Flavors & Fragrances Inc                                           | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3927.44      | 0.00%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                                              | Natixis Commercial Mortgage Securities Trust 2020-2PAC                           | CUSIP: 63875DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675687 | PA      | $8062.50      | 0.00%             | 2038-12-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| CIBC Securities, Inc.                                                               | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $1637.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                      | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAA8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      384671 | PA      | $338479.84    | 0.05%             | 2037-08-19      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COTTON NO.2 MAY 26                                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -29 | NC      | $-17862.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hotwire Funding LLC                                                                 | Hotwire Funding LLC                                                              | CUSIP: 44148JAH2<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |      235000 | PA      | $239876.37    | 0.04%             | 2054-06-20      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae                                                                       | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1825000 | PA      | $1803470.71   | 0.29%             | 2056-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3142GWDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      367343 | PA      | $371939.84    | 0.06%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FARN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      740487 | PA      | $28751.61     | 0.00%             | 2044-05-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $13454.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2024-HQA1                                          | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | USGSE             | US        |      670000 | PA      | $677917.32    | 0.11%             | 2044-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | SUGAR #11 OCT 26                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -6 | NC      | $926.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75000 | PA      | $62117.54     | 0.01%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                               | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      189000 | PA      | $196419.64    | 0.03%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                   | First Franklin Mortgage Loan Trust 2006-FF9                                      | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1139058.36   | 0.18%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                            | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     1035000 | PA      | $724010.26    | 0.12%             | 2038-08-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | JAPANESE YEN                                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-4085.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE JUL 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           6 | NC      | $24479.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                                                        | Alphabet Inc                                                                     | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      135000 | PA      | $156922.05    | 0.03%             | 2044-11-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                             | Flagstar Mortgage Trust 2021-5INV                                                | CUSIP: 33851PAE5<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |      884028 | PA      | $812036.16    | 0.13%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | ONE-MONTH SOFR FUTURE JUL 26                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -10 | NC      | $819.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | INR/USD FUTURE (SGX) MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DFE              |  | SG        |         -64 | NC      | $4801.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | NZD/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           6 | NC      | $1717.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                                             | Zayo Group Holdings Inc                                                          | CUSIP: 98919VAC9<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |      151160 | PA      | $146851.18    | 0.02%             | 2030-03-09      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | RAPESEED AUG 26                                                                  | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              |  | FR        |           1 | NC      | $291.86       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UPBOUND GROUP INC                                                                   | Upbound Group Inc                                                                | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |      105000 | PA      | $103666.93    | 0.02%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMCADP 20260526 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $11794.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                                                        | ALPHABET INC                                                                     | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      228000 | PA      | $309000.58    | 0.05%             | 2029-02-13      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                         | Southern Co/The                                                                  | CUSIP: 842587EC7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      245000 | PA      | $251492.50    | 0.04%             | 2028-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | CORN JUL 26                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -40 | NC      | $-3126.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Option One Mortgage Loan Trust                                                      | Option One Mortgage Loan Trust 2007-5                                            | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744545 | PA      | $404996.17    | 0.07%             | 2037-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                             | Darling Ingredients Inc                                                          | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      630000 | PA      | $638391.11    | 0.10%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                              | SLM Student Loan Trust 2004-10                                                   | CUSIP: 78442GND4<br>LEI: 54930060UIG70QCSNY68 | Long             | ABS-O            | CORP              | US        |      195685 | PA      | $183852.13    | 0.03%             | 2040-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                                    | VB-S1 Issuer LLC                                                                 | CUSIP: 91825HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      275000 | PA      | $281510.16    | 0.05%             | 2056-03-15      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                                       | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      441061 | PA      | $364214.60    | 0.06%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754LAJ8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      550000 | PA      | $568469.28    | 0.09%             | 2041-12-25      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                            | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |       63000 | PA      | $62443.64     | 0.01%             | 2028-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                 | American Tower Corp                                                              | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      200000 | PA      | $240853.79    | 0.04%             | 2032-05-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                            | MSCI Inc                                                                         | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      355000 | PA      | $351545.97    | 0.06%             | 2036-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                                                         | Corp Nacional del Cobre de Chile                                                 | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      204000 | PA      | $223084.39    | 0.04%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                                    | ALLO Issuer LLC                                                                  | CUSIP: 01983KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      163000 | PA      | $171230.24    | 0.03%             | 2053-06-20      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                              | PNC Financial Services Group Inc/The                                             | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      305000 | PA      | $301719.62    | 0.05%             | 2026-09-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                                              | COFFEE MAY 26                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -3 | NC      | $12761.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Medline Borrower LP                                                                 | Medline Borrower LP 2025 Incremental Term Loan B                                 | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      755911 | PA      | $757150.64    | 0.12%             | 2030-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                              | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607QUM2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      310000 | PA      | $311072.93    | 0.05%             | 2086-07-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HHZY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1976637 | PA      | $131786.92    | 0.02%             | 2055-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                            | Occidental Petroleum Corp                                                        | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      379000 | PA      | $395306.87    | 0.06%             | 2034-10-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| OSLO KOMMUNE                                                                        | City of Oslo Norway                                                              | CUSIP: 000000000<br>LEI: 5967007LIEEXZXGVU850 | Long             | DBT              | NUSS              | NO        |     4000000 | PA      | $420495.72    | 0.07%             | 2029-02-12      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      220000 | PA      | $210426.56    | 0.03%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $38108.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                                 | Sirius XM Radio LLC                                                              | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      135000 | PA      | $134977.66    | 0.02%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 321 HENDERSON RECEIVABLES LLC HENDR 2016 1A B 144A                                  | 321 HENDERSON RECEIVABLES LLC HE                                                 | CUSIP: 46620DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      506724 | PA      | $477771.72    | 0.08%             | 2069-06-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMCADP 20260505 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $4627.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE DEC 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           8 | NC      | $17956.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSCANADA TRUST                                                                   | Transcanada Trust                                                                | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |      455000 | PA      | $457176.44    | 0.07%             | 2082-03-07      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                                                             | European Bank for Reconstruction & Development                                   | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | CORP              | XX        |    15300000 | PA      | $167213.85    | 0.03%             | 2027-10-26      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| COVISTA INC                                                                         | Covista Inc                                                                      | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |      103000 | PA      | $103000.00    | 0.02%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | INDIAN RUPEE                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $3610.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                            | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2270000 | PA      | $423938.16    | 0.07%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                                        | Huntington Bank Auto Credit-Linked Notes Series 2024-2                           | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      248279 | PA      | $249179.97    | 0.04%             | 2032-10-20      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CACI INTL INC                                                                       | CACI INTL INC                                                                    | CUSIP: 000000000<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | LON              | CORP              | US        |      609036 | PA      | $608274.79    | 0.10%             | 2031-10-30      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                                      | Home Partners of America 2019-1 Trust                                            | CUSIP: 43731QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       76218 | PA      | $74814.06     | 0.01%             | 2039-09-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Company Inc                                               | Hilton Domestic Operating Company Inc 2023 Term Loan B4                          | CUSIP: 43289DAK9<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |      360000 | PA      | $361162.80    | 0.06%             | 2030-11-08      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMAHDP 20260526 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           2 | NC      | $2355.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered Bank                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |           1 | NC      | $16251.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1365.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | SGX USD/CNH FX MAR 26                                                            | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DFE              |  | SG        |          -2 | NC      | $2575.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                                    | GRACECHURCH MORTGAGE FINANCE PLC GRACE_20-GRCE                                   | CUSIP: 38406JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $454609.35    | 0.07%             | 2040-12-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| National Stock Exchange of India Ltd.                                               | IFSC NIFTY 50 MAR 26                                                             | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               |  | IN        |           5 | NC      | $-3290.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-7894.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESBANCO INC                                                                        | WesBanco Inc                                                                     | CUSIP: 950810887<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       26425 | NS      | $683086.25    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| INDONESIA GOVERNMENT                                                                | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 13562000000 | PA      | $823844.97    | 0.13%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HSBC Securities & Capital Markets India Pvt Ltd.                                    | NEW ZEALAND DOLLAR                                                               | CUSIP: 000000000<br>LEI: 213800JPRY6Q79O7RK98 | N/A              | DFE              |  | NZ        |           1 | NC      | $19306.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                                           | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      290000 | PA      | $290864.89    | 0.05%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                                | FREMF 2019-KF71 Mortgage Trust                                                   | CUSIP: 30314GAA0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |      239859 | PA      | $225507.63    | 0.04%             | 2029-10-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                                | CUSIP: 3136BUDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      820907 | PA      | $80299.77     | 0.01%             | 2054-12-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                       | TransDigm Inc                                                                    | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      268000 | PA      | $273727.72    | 0.04%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE APR 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          26 | NC      | $47159.43     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CODELCO INC                                                                         | Corp Nacional del Cobre de Chile                                                 | CUSIP: 21987BAU2<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      490000 | PA      | $439825.00    | 0.07%             | 2044-11-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                                              | Bimbo Bakeries USA Inc                                                           | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |      440000 | PA      | $455133.75    | 0.07%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                         | Exelon Corp                                                                      | CUSIP: 30161NBQ3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      525000 | PA      | $550422.34    | 0.09%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                 | Dominion Energy Inc                                                              | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      335000 | PA      | $351444.65    | 0.06%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | KOREAN WON                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-254.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA6                                          | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |       81721 | PA      | $82102.92     | 0.01%             | 2042-09-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 31418EU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1300619 | PA      | $1289623.94   | 0.21%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | COLOMBIAN PESO                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-2937.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA AOYUAN GROUP LTD                                                              | CHINA AOYUAN GROUP LTD                                                           | CUSIP: 000000000<br>LEI: 549300YSOKQO5QD6MP25 | Long             | EC               | CORP              | KY        |       30741 | NS      | $297.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                                     | CMS Energy Corp                                                                  | CUSIP: 125896BY5<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |      140000 | PA      | $145900.12    | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      405000 | PA      | $184215.95    | 0.03%             | 2041-11-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NY & PRESBYTERIAN HOSPIT                                                            | New York and Presbyterian Hospital/The                                           | CUSIP: 649322AC8<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |      390000 | PA      | $354002.71    | 0.06%             | 2036-08-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | US ULTRA T-BOND JUN 26                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           4 | NC      | $5031.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | JPY/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |         -54 | NC      | $15757.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CPPIB CAPITAL INC                                                                   | CPPIB Capital Inc                                                                | CUSIP: 12593CAR2<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |      155000 | PA      | $109088.41    | 0.02%             | 2031-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                                      | TOPIX INDEX MAR 26                                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |           5 | NC      | $155404.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                                                          | Sixth Street CLO VIII Ltd                                                        | CUSIP: 83012VAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $345809.10    | 0.06%             | 2034-10-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | SEK/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          18 | NC      | $62512.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      645000 | PA      | $658144.07    | 0.11%             | 2042-04-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                                   | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      380000 | PA      | $361000.00    | 0.06%             | 2035-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $4612.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                             | Republic of South Africa Government International Bonds                          | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      250000 | PA      | $258614.34    | 0.04%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | TURKISH LIRA                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $4742.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                                 | Bank of Nova Scotia/The                                                          | CUSIP: 0641598S8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      415000 | PA      | $438382.31    | 0.07%             | 2082-10-27      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                            | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      200000 | PA      | $240151.27    | 0.04%             | 2035-05-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                  | Morgan Stanley Mortgage Loan Trust 2005-5AR                                      | CUSIP: 61748HLN9<br>LEI: 549300AT2084FJB5UN46 | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $502327.00    | 0.08%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                            | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |       10000 | PA      | $9573.33      | 0.00%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO STOXX BANK MAR 26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          19 | NC      | $-6461.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED PLC                                                              | Standard Chartered PLC                                                           | CUSIP: 853254DH0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      315000 | PA      | $324964.05    | 0.05%             | 2035-11-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |           1 | NC      | $-48482.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                            | Host Hotels & Resorts LP                                                         | CUSIP: 44107TBD7<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |       95000 | PA      | $100063.67    | 0.02%             | 2032-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $17672.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                                   | Magnetite Xlii Ltd                                                               | CUSIP: 55955YAE4<br>LEI: 5299008QF7XUGQ5EZC63 | Long             | ABS-CBDO         | CORP              | KY        |      750000 | PA      | $480330.00    | 0.08%             | 2038-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                                                       | Life 2022-BMR Mortgage Trust                                                     | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605000 | PA      | $558111.05    | 0.09%             | 2039-05-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR JUN 29                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |          17 | NC      | $3917.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FARMERS INS EXCH                                                                    | Farmers Insurance Exchange                                                       | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85153.78     | 0.01%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                                                             | Canada Government Bonds                                                          | CUSIP: 135087L44<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      100000 | PA      | $66207.76     | 0.01%             | 2030-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PHILIPPINE GOVERNMENT                                                               | Philippine Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    49480000 | PA      | $887773.27    | 0.14%             | 2029-05-19      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWISS FRANC                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $37901.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                                         | FIGRE Trust 2025-FL2                                                             | CUSIP: 31684TAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      513013 | PA      | $516805.17    | 0.08%             | 2055-11-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                                                       | DROP Mortgage Trust 2021-FILE                                                    | CUSIP: 26210YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311000 | PA      | $306338.11    | 0.05%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                            | EQT Corp                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      175000 | PA      | $185395.75    | 0.03%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LIVE CATTLE APR 26                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           6 | NC      | $-5353.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | E-MINI HEALTH CARE SECTOR MAR 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           1 | NC      | $3398.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Boca Commercial Mortgage Trust                                                      | BOCA Commercial Mortgage Trust 2025-BOCA                                         | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $170770.85    | 0.03%             | 2042-12-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                                 | NCL Corp Ltd                                                                     | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      380000 | PA      | $390995.16    | 0.06%             | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                   | Iron Mountain Inc                                                                | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      100000 | PA      | $102098.71    | 0.02%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                        | Alphabet Inc                                                                     | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      100000 | PA      | $115813.74    | 0.02%             | 2038-11-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGEBACKED SECURITIES TRUST GSMBS_21-PJ4                                     | GS MORTGAGEBACKED SECURITIES TRUST GSMBS_21-PJ4                                  | CUSIP: 36264PAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      550294 | PA      | $468394.58    | 0.08%             | 2051-09-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                           | Ball Corp                                                                        | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      465000 | PA      | $432503.45    | 0.07%             | 2030-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings Inc                                                 | Clydesdale Acquisition Holdings Inc 2025 Term Loan B                             | CUSIP: 18972FAE2<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |      425008 | PA      | $420303.30    | 0.07%             | 2032-04-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140QVRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      500539 | PA      | $515654.34    | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                               | QUIKRETE HOLDINGS INC                                                            | CUSIP: 000000000<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      888288 | PA      | $887381.45    | 0.14%             | 2032-02-10      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                          | S&P/TSE 60 INDEX MAR 26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |           7 | NC      | $88035.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                    | RALI Series 2007-QO1 Trust                                                       | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713031 | PA      | $668451.81    | 0.11%             | 2047-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | INR/USD STANDARD (CME) MAR 26                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          -1 | NC      | $53.82        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SK INVICTUS INTERMEDIATE                                                            | SK Invictus Intermediate II Sarl                                                 | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      212000 | PA      | $208778.80    | 0.03%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | COCOA FUTURE (LIFFE) MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           2 | NC      | $-2481.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                 | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |        5000 | PA      | $5234.60      | 0.00%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                              | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      430000 | PA      | $286438.61    | 0.05%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | GASOLINE RBOB APR 26                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          16 | NC      | $38763.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | SWEDISH KRONA                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-30548.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-24927.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      465000 | PA      | $419126.67    | 0.07%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-1175.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $17079.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                                 | Bank of Nova Scotia/The                                                          | CUSIP: 06419GEE2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      595000 | PA      | $612135.72    | 0.10%             | 2085-10-27      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LONG RIDGE ENERGY LLC                                                               | Long Ridge Energy LLC                                                            | CUSIP: 54288CAA1<br>LEI: 984500764EC9AZ2FC764 | Long             | DBT              | CORP              | US        |      170000 | PA      | $182545.66    | 0.03%             | 2032-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                         | CUSIP: 38384YMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2558215 | PA      | $145711.06    | 0.02%             | 2054-10-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                         | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      730000 | PA      | $721943.36    | 0.12%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                                            | Live Nation Entertainment Inc                                                    | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |       89000 | PA      | $88922.97     | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      750631 | PA      | $624530.17    | 0.10%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | SOYBEAN NOV 26                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          27 | NC      | $13089.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Flexential Issuer, LLC                                                              | Flexential Issuer LLC                                                            | CUSIP: 33938MAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $154416.33    | 0.02%             | 2060-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                                | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      275000 | PA      | $296224.94    | 0.05%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                       | TRANSDIGM INC                                                                    | CUSIP: 000000000<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |      147750 | PA      | $147713.06    | 0.02%             | 2031-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                  | CUSIP: 3140XCTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      516977 | PA      | $449353.29    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                      | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $91.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Del Amo Fashion Center Trust                                                        | DAFC_17-AMO                                                                      | CUSIP: 24500EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      420000 | PA      | $403070.85    | 0.06%             | 2035-06-05      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2024-XL5                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186442 | PA      | $186500.44    | 0.03%             | 2041-03-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CONTRA RESOLUTE FOREST                                                              | CONTRA RESOLUTE FOREST                                                           | CUSIP: 761CVR042<br>LEI: N/A                  | N/A              | DE               |  | US        |       76222 | NS      | $114333.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Chicago Board of Trade                                                              | US 10YR NOTE JUN 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          77 | NC      | $44128.03     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                              | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        2000 | PA      | $1963.28      | 0.00%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | S&P500 EMINI MAR 26                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          12 | NC      | $-31792.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      406000 | PA      | $403971.14    | 0.07%             | 2042-03-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | GASOLINE RBOB APR 26                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           6 | NC      | $35383.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                   | STOXX 600 INSURANCE MAR 26                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           1 | NC      | $1746.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC                    | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                  | CUSIP: 315961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      295000 | PA      | $300600.25    | 0.05%             | 2055-12-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                                               | LMPBDP 20260522 LME COMDTY FWD                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -1 | NC      | $-15.11       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                                            | Graphic Packaging International LLC                                              | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |       35000 | PA      | $35467.78     | 0.01%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | GBP/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          60 | NC      | $-20099.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA GCB144A MODIVCA                                                              | CONTRA GCB144A MODIVCA                                                           | CUSIP: 607PMTAB0<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |      390600 | PA      | $507.78       | 0.00%             | 2029-10-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      582395 | PA      | $566420.88    | 0.09%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE_BACKED SECURITIES GSMBS_20-RPL1                                         | GS MORTGAGE_BACKED SECURITIES GSMBS_20-RPL1                                      | CUSIP: 36260AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $722710.48    | 0.12%             | 2059-07-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                                    | Getty Images Inc                                                                 | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |      115000 | PA      | $101728.18    | 0.02%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      615000 | PA      | $589591.26    | 0.09%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                             | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      172000 | PA      | $182306.40    | 0.03%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                          | S&P/TSE 60 INDEX MAR 26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          11 | NC      | $188774.94    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYER US FINANCE II LLC                                                             | Bayer US Finance II LLC                                                          | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      520000 | PA      | $482956.15    | 0.08%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                         | Legacy Mortgage Asset Trust 2021-GS5                                             | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      725891 | PA      | $726653.77    | 0.12%             | 2067-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                   | HSBC Holdings PLC                                                                | CUSIP: 404280EZ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      580000 | PA      | $593240.23    | 0.10%             | 2031-05-13      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                                                            | Papa John's International Inc                                                    | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104301.94    | 0.02%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                                 | Bear Stearns Mortgage Funding Trust 2006-AR4                                     | CUSIP: 07401JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258315 | PA      | $257333.61    | 0.04%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| PGA NATIONAL RESORT COMMERCIAL MORTGAGE TRUST PGA_24-RSR2                           | PGA NATIONAL RESORT COMMERCIAL MORTGAGE TRUST PGA_24-RSR2                        | CUSIP: 69381CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670000 | PA      | $669371.94    | 0.11%             | 2039-06-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                               | TransCanada PipeLines Ltd                                                        | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |        5000 | PA      | $4966.66      | 0.00%             | 2034-03-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                                                 | TRAVEL + LEISURE CO                                                              | CUSIP: 000000000<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | LON              | CORP              | US        |      588317 | PA      | $586634.19    | 0.09%             | 2029-12-14      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                                         | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AC7<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |      670000 | PA      | $676859.26    | 0.11%             | 2044-11-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                                 | LCM 37 Ltd                                                                       | CUSIP: 50204JAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      525000 | PA      | $524206.20    | 0.08%             | 2034-04-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                          | MFA 2023-INV2 Trust                                                              | CUSIP: 59319BAE7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |      650000 | PA      | $654475.64    | 0.11%             | 2058-10-25      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                                                     | AutoNation Finance Trust 2025-1                                                  | CUSIP: 05330QAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       65000 | PA      | $66591.68     | 0.01%             | 2032-09-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                              | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | US        |           1 | NC      | $-155.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                                      | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      997410 | PA      | $453215.35    | 0.07%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | EUR/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          11 | NC      | $-16629.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                            | Hilton Domestic Operating Co Inc                                                 | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      220000 | PA      | $225260.68    | 0.04%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                         | Southern Co/The                                                                  | CUSIP: 842587EB9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      340000 | PA      | $355978.55    | 0.06%             | 2055-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                               | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      200000 | PA      | $204856.83    | 0.03%             | 2034-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SUBURBAN PROPANE PARTNRS                                                            | Suburban Propane Partners LP/Suburban Energy Finance Corp                        | CUSIP: 864486AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $212882.39    | 0.03%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | POLISH ZLOTY                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-1774.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-1394.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                                                | CAC40 10 EURO MAR 26                                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               |  | FR        |          10 | NC      | $24529.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Thailand Futures Exchange                                                           | SET50 FUTURES MAR 26                                                             | CUSIP: 000000000<br>LEI: 5493006G4X6OUMF0CE07 | N/A              | DE               |  | TH        |         270 | NC      | $241173.64    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                      | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                         | CUSIP: 61790VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260000 | PA      | $264125.84    | 0.04%             | 2070-03-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                              | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99787.84     | 0.02%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                                     | Invesco US CLO 2024-4 Ltd                                                        | CUSIP: 46151DAE1<br>LEI: 2138006HTEY9GGW6XF50 | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $323979.60    | 0.05%             | 2038-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                    | 3MO EURO EURIBOR JUN 26                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         -61 | NC      | $-170.84      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                                                    | Bank of Montreal                                                                 | CUSIP: 06368L5Q5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      785000 | PA      | $834624.15    | 0.13%             | 2084-11-26      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                        | CSMC 2021-RPL4 Trust                                                             | CUSIP: 12662GAC2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      964685 | PA      | $963913.45    | 0.16%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                             | EURO COUNTRIES                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |           1 | NC      | $909.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae                                                                       | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1475000 | PA      | $1379682.96   | 0.22%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                                      | NIKKEI 225 MINI MAR 26                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          18 | NC      | $66584.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Multifamily Structured Credit Risk                                                  | Freddie Mac Mscr Trust Mn12                                                      | CUSIP: 355913AC8<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | USGSE             | US        |      425000 | PA      | $431682.70    | 0.07%             | 2045-11-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                                      | US Bank C&I Credit-Linked Notes Series 2025-2                                    | CUSIP: 90355PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      339090 | PA      | $340985.76    | 0.05%             | 2032-09-25      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                                        | WTI CRUDE JUN 26                                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           4 | NC      | $16993.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                            | Electricite de France SA                                                         | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |      400000 | PA      | $486846.91    | 0.08%             | 2044-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                            | Ferrellgas LP / Ferrellgas Finance Corp                                          | CUSIP: 315292AU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145000 | PA      | $150411.00    | 0.02%             | 2031-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                                                       | Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust                     | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $846936.72    | 0.14%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                 | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      485072 | PA      | $482070.12    | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | CANADIAN DOLLAR                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $1900.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                   | EURO BUXL 30YR BOND MAR 26                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -15 | NC      | $-67631.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust 2023-SMRT                                    | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135000 | PA      | $138958.81    | 0.02%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      175000 | PA      | $133082.03    | 0.02%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ANGELO GORDON MORTGAGE TRUST GCAT_19-RPL1                                           | ANGELO GORDON MORTGAGE TRUST GCAT_19-RPL1                                        | CUSIP: 36167CAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $626019.10    | 0.10%             | 2068-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                          | Fiserv Inc                                                                       | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      170000 | PA      | $173290.52    | 0.03%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-HE5                                                            | FIGRE TRUST FIGRE_25-HE5                                                         | CUSIP: 31684MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      884785 | PA      | $899203.14    | 0.14%             | 2055-08-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                              | CORN JUL 26                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -38 | NC      | $-14526.14    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Canada Government Bonds                                                             | Canada Government Bonds                                                          | CUSIP: 135087S88<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      595000 | PA      | $438411.28    | 0.07%             | 2027-05-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2024-BIO                                                                | CUSIP: 05612AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      278000 | PA      | $275219.69    | 0.04%             | 2041-02-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                       | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-5441.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | POLISH ZLOTY                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $-19721.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                             | US DOLLARS                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              |  | US        |           1 | NC      | $-120519.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      590000 | PA      | $468220.31    | 0.08%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                                                  | WTI CRUDE APR 26                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |           3 | NC      | $13157.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                               | CUSIP: 3137HHBV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1816455 | PA      | $137435.73    | 0.02%             | 2054-10-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                                           | Crocs Inc                                                                        | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |      185000 | PA      | $172844.31    | 0.03%             | 2031-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                                            | Indonesia Government International Bonds                                         | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      200000 | PA      | $132385.58    | 0.02%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      575000 | PA      | $519908.15    | 0.08%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                              | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |       29000 | PA      | $29093.44     | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                                          | HSI Asset Securitization Corp Trust 2006-HE2                                     | CUSIP: 44328BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1070011 | PA      | $400166.74    | 0.06%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | LIVE CATTLE APR 26                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          13 | NC      | $-34734.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                                                  | COCOA FUTURE (LIFFE) SEP 26                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          -1 | NC      | $465.87       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRAZIL REAL                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $609.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                      | Sabre GLBL Inc                                                                   | CUSIP: 78573NAN2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       22000 | PA      | $15945.80     | 0.00%             | 2030-03-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                                 | DBGS 2018-C1 Mortgage Trust                                                      | CUSIP: 23307DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      542000 | PA      | $535475.57    | 0.09%             | 2051-10-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                           | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1125000 | PA      | $1112456.46   | 0.18%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tokyo Commodity Exchange                                                            | GOLD TCOM FUTURE DEC 26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | JP        |           1 | NC      | $9531.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                              | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      305000 | PA      | $273213.35    | 0.04%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                                        | KRW/USD FUTURE (SGX) MAR 26                                                      | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DFE              |  | SG        |          -3 | NC      | $-936.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                                             | BRAZIL REAL                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |           1 | NC      | $223.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                    | Berry Global Inc                                                                 | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      360000 | PA      | $371381.11    | 0.06%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                                 | Fifth Third Bancorp                                                              | CUSIP: 316773837<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | EP               | CORP              | US        |       27575 | NS      | $710056.25    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SM ENERGY CO                                                                        | SM Energy Co                                                                     | CUSIP: 17888HAB9<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      470000 | PA      | $492808.86    | 0.08%             | 2031-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                         | Staples Inc                                                                      | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |       45000 | PA      | $41445.38     | 0.01%             | 2029-09-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                         | JPY/USD FUTURE (CME) MAR 26                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          -1 | NC      | $435.72       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TORONTO-DOMINION BANK                                                               | Toronto-Dominion Bank/The                                                        | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      630000 | PA      | $659757.76    | 0.11%             | 2082-10-31      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                             | AUSTRALIA DOLLAR                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $33221.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-07

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

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager