# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001145549-25-047832
**Filing Date:** 2025-7
**Character Count:** 397280
**Document Hash:** bf74eb4c54c11c9ff1f25a0737df1727
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-047832.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001145549-25-047832

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250531

**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:** 251148850

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

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

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

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

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

## Series and Classes Contracts Data

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

| Class ID   | Class Name                                                    | Ticker Symbol   |
|:---|:---|:---|
| C000151801 | Columbia Multi Strategy Alternatives Fund Class A             | CLAAX           |
| C000151802 | Columbia Multi Strategy Alternatives Fund Class C             | CLABX           |
| C000151809 | Columbia Multi Strategy Alternatives Fund Institutional Class | CLAZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $695785557.89

**Total Liabilities:** $204202693.13

**Net Assets:** $491582864.76

**Amount of Assets Invested in Other Investment Companies:** $54920706.68

**Delayed Delivery Securities:** $150184123.69

**Cash Not Reported:** $4464422.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 66720.997400000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 388.289400000000 | **30-Year:** 30673.788200000000

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

- **3-Month:** -18972.739700000000 | **1-Year:** 176149.554800000000 | **5-Year:** 15417.203800000000 | **10-Year:** -27814.004700000000 | **30-Year:** 59000.018400000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000151801 | 0.00%                | -1.17%               | 1.14%                |
| Class ID C000151802 | -0.07%               | -1.22%               | 1.08%                |
| Class ID C000151809 | 0.00%                | -1.12%               | 1.13%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1554781.22             | $-2719899.14                               |
| Month 2  | $-1285625.99             | $1825430.07                                |
| Month 3  | $845602.07               | $-2926281.16                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                             | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |    -34172680 | OU      | $-2530296.51  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     -3893968 | OU      | $-19192.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |  -5160398528 | OU      | $56893.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |  -2700000000 | OU      | $-88194.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |    -61288457 | OU      | $11018.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |    -99389349 | OU      | $-116324.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |     -6661615 | OU      | $1673.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        | -11661504962 | OU      | $22216.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  -9656150049 | OU      | $-58466.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |     -8000000 | OU      | $162.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |   -309832247 | OU      | $-801223.81   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |    -54213000 | OU      | $-4818.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     -2694262 | OU      | $17516.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |    -31846426 | OU      | $-1353004.80  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     -2087510 | OU      | $-8662.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |       -64936 | OU      | $120.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |    -12916252 | OU      | $-497479.63   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     -2726498 | OU      | $7577.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |   -474023270 | OU      | $1258.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |  -2574023270 | OU      | $-177941.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |   -218750000 | OU      | $763.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |   -218750000 | OU      | $-4700.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  -7366232433 | OU      | $1.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        | -54767535133 | OU      | $-31796.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  -3250000000 | OU      | $484.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |    -36546208 | OU      | $-404218.66   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |      -921000 | OU      | $973.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |   -530000001 | OU      | $30858.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |  -1426028869 | OU      | $-168719.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |    -50000002 | OU      | $421.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |    -35000000 | OU      | $-767.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  -1205070116 | OU      | $37110.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  -5470274417 | OU      | $-607026.24   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |      -625000 | OU      | $12.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |    -17158187 | OU      | $8991.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |   -113033070 | OU      | $-537577.46   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |    -34637000 | OU      | $3566.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |    -16612223 | OU      | $8575.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |       -73729 | OU      | $54.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |    -28534109 | OU      | $-566850.70   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     -2233563 | OU      | $2022.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     -6319783 | OU      | $-9698.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TH        |    -14500000 | OU      | $1173.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TH        |   -343664882 | OU      | $-254741.03   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TH        |    -72749106 | OU      | $10682.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |   -304544016 | OU      | $130752.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |   -488309258 | OU      | $-1059425.46  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |     -2000001 | OU      | $123.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |     -3541647 | OU      | $-424.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     37542290 | OU      | $458066.45    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |       181500 | OU      | $-803.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |      3767885 | OU      | $1467.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     79540376 | OU      | $220005.23    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     41695270 | OU      | $-42141.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SYN TAIEX JUN 25                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | TW        |            6 | NC      | $-7277.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN KOSPI2 INDEX JUN 25            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | KR        |          109 | NC      | $445476.74    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SYN WIG20(PLN20) INDEX JUN 25      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | PL        |           24 | NC      | $-5905.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN SWISS MKT IX JUN 25            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | DE        |           19 | NC      | $-25012.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | TOPIX INDEX JUN 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | JP        |           27 | NC      | $172801.64    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | TOPIX INDEX JUN 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |          -69 | NC      | $-973191.82   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          223 | NC      | $34353.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -173 | NC      | $-45392.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | FTSE TAIWAN JUN 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |           60 | NC      | $-64527.41    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE TAIWAN JUN 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |         -103 | NC      | $147851.35    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 10YR NOTE SEP 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           18 | NC      | $9036.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 10YR NOTE SEP 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -1325 | NC      | $-1442970.40  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |     -2000000 | OU      | $124.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |     -3541644 | OU      | $-425.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |     37542306 | OU      | $458185.34    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |       181500 | OU      | $-803.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |      3767883 | OU      | $1479.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |     79540380 | OU      | $220073.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB NOV 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            4 | NC      | $4254.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB NOV 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            6 | NC      | $-57229.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | AUST 10YR BOND JUN 25              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |          254 | NC      | $322031.37    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    369633051 | OU      | $852321.46    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    124163623 | OU      | $-19737.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     30066524 | OU      | $-4829.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    297120163 | OU      | $1953009.30   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |     19221000 | OU      | $-17539.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |     37982558 | OU      | $-16978.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |     35095749 | OU      | $634047.16    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |      1639500 | OU      | $-1858.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |      3167424 | OU      | $12947.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | PERUVIAN SOL                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PE        |      4177104 | OU      | $18319.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | PERUVIAN SOL                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PE        |       658726 | OU      | $1163.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |    200625000 | OU      | $55346.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |    150974001 | OU      | $-8943.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |     96250001 | OU      | $-8359.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |     63984246 | OU      | $486915.17    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |        87638 | OU      | $63.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |    111125000 | OU      | $453959.84    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |     16612222 | OU      | $-8701.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |     27626618 | OU      | $-9804.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     17647619 | OU      | $196416.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |      3552063 | OU      | $-3523.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |       163230 | OU      | $41.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |       291730 | OU      | $-225.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | THAI BAHT                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TH        |    186000000 | OU      | $139167.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | THAI BAHT                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TH        |    107749106 | OU      | $-15835.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |    794565502 | OU      | $2310108.64   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP:MSCI SWITZERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      1686999 | OU      | $20556.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     15000000 | OU      | $256554.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.500000 15-SEP-2055 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       700000 | OU      | $3356.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 3.000000 20-JUN-2035 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      6700000 | OU      | $-22663.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 4.000000 12-SEP-2030 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1300000 | OU      | $12071.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 19-SEP-2035 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     38700000 | OU      | $76476.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 19-SEP-2035 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1300000 | OU      | $-20195.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 19-SEP-2035 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1300000 | OU      | $-20195.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -1136166 | OU      | $-1229.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -653642 | OU      | $-161.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      7000000 | OU      | $121090.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -592508 | OU      | $-640.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -7449425 | OU      | $-1841.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -601963 | OU      | $-651.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -992767 | OU      | $-1073.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -2371703 | OU      | $-586.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |     -3000000 | OU      | $-391824.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |      7000000 | OU      | $90087.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |      -500000 | OU      | $-65304.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |      -500000 | OU      | $-65304.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 2.500000 18-SEP-2030 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      6000000 | OU      | $4809.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 18-SEP-2030 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1400000 | OU      | $-5236.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.000000 15-SEP-2027 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       100000 | OU      | $-605.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.000000 16-JUN-2027 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       600000 | OU      | $-3803.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 19-SEP-2035 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |   2807200000 | OU      | $541835.54    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -176903 | OU      | $-43.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GNMA_21-122                        | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3114129 | PA      | $415265.02    | 0.08%             | 2051-07-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GNMA_21-122                        | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6238390 | PA      | $34181.39     | 0.01%             | 2051-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GNMA_21-117                        | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1926136 | PA      | $253821.00    | 0.05%             | 2051-07-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GNMA_24-79                         | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1561650 | PA      | $229728.07    | 0.05%             | 2054-05-20      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GNMA_24-97                         | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1948595 | PA      | $321088.29    | 0.07%             | 2054-06-20      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GNMA_25-39                         | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       592592 | PA      | $593084.23    | 0.12%             | 2055-03-20      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NRZT_22-NQM2                       | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $140123.46    | 0.03%             | 2062-03-27      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC TRUST OBX_21-NQM2                       | OBX_21-NQM2                        | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       409545 | PA      | $331958.81    | 0.07%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NYMT_24-CP1                        | CUSIP: 67118PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $305443.04    | 0.06%             | 2068-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NYMT_24-CP1                        | CUSIP: 67118PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $109517.39    | 0.02%             | 2068-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_25-R1                               | NYMT_25-R1                         | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       486494 | PA      | $486243.84    | 0.10%             | 2030-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                        | OMIR_21-1A                         | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $509291.70    | 0.10%             | 2033-10-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC1 TRUST                                              | PRKCM_21-AFC1                      | CUSIP: 69357TAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2000000 | PA      | $1380005.00   | 0.28%             | 2056-08-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                       | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $140265.29    | 0.03%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                       | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       750000 | PA      | $676020.23    | 0.14%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM_21-4                                                        | PRPM_21-4                          | CUSIP: 693583AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       430579 | PA      | $428791.84    | 0.09%             | 2026-04-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM_22-AFC1                      | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       447613 | PA      | $421102.85    | 0.09%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM_22-NQM1                       | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       350000 | PA      | $339373.90    | 0.07%             | 2067-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM3                                            | PRPM_23-NQM3                       | CUSIP: 69380TAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $146737.05    | 0.03%             | 2068-11-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | PRPM_23-RCF1                       | CUSIP: 69381AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $644615.30    | 0.13%             | 2053-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_24-5                  | PRPM_24-5                          | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       352872 | PA      | $352871.11    | 0.07%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_24-5                  | PRPM_24-5                          | CUSIP: 69381KAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $200587.88    | 0.04%             | 2029-09-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL6                                                     | PRET_24-NPL6                       | CUSIP: 69381QAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $697552.03    | 0.14%             | 2054-10-25      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-2                                               | PRPM_25-2                          | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       350000 | PA      | $348216.68    | 0.07%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM1                                            | PRPM_23-NQM1                       | CUSIP: 693965AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $296182.17    | 0.06%             | 2068-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST PAID_24-7                           | PAID_24-7                          | CUSIP: 69545AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569395 | PA      | $576373.76    | 0.12%             | 2031-12-15      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-2                         | PAID_21-2                          | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27594 | PA      | $27312.59     | 0.01%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-5                         | PAID_23-5                          | CUSIP: 69546PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       779790 | PA      | $783528.77    | 0.16%             | 2031-04-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-9                         | PAID_24-9                          | CUSIP: 69546QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643119 | PA      | $641788.29    | 0.13%             | 2032-03-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAID_20-3                          | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $52760.93     | 0.01%             | 2027-05-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-2                         | PAID_22-2                          | CUSIP: 69546VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36979 | PA      | $37003.46     | 0.01%             | 2030-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-2                         | PAID_22-2                          | CUSIP: 69546VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7320 | PA      | $7322.43      | 0.00%             | 2030-01-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | PAID_21-5                          | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865000 | PA      | $29262.52     | 0.01%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                         | PAID_21-1                          | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       696200 | PA      | $0.01         | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                          | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       102082 | PA      | $102187.91    | 0.02%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                          | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67069 | PA      | $67138.36     | 0.01%             | 2030-03-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-6                         | PAID_23-6                          | CUSIP: 69547UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       699821 | PA      | $703760.93    | 0.14%             | 2031-06-16      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-6                         | PAID_23-6                          | CUSIP: 69547UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209946 | PA      | $211803.52    | 0.04%             | 2031-06-16      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                          | CUSIP: 69547XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       616855 | PA      | $621095.58    | 0.13%             | 2031-10-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAID_24-1                          | CUSIP: 69548AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       238715 | PA      | $241481.46    | 0.05%             | 2031-07-15      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAID_24-1                          | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158080 | PA      | $159991.71    | 0.03%             | 2031-07-15      | Fixed         | 8.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAID_22-5                          | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       439984 | PA      | $457101.33    | 0.09%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| PNT_21-1                                                         | PNT_21-1                           | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       598353 | PA      | $592726.03    | 0.12%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL7                                                     | PRET_24-NPL7                       | CUSIP: 74136TAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       650000 | PA      | $655165.55    | 0.13%             | 2054-10-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM_24-RCF6                       | CUSIP: 74390FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $137769.68    | 0.03%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM_24-RCF6                       | CUSIP: 74390FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $219209.05    | 0.04%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-RPL1                                            | PRPM_25-RPL1                       | CUSIP: 74390WAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       494000 | PA      | $425194.15    | 0.09%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM_24-RCF4                                                     | PRPM_24-RCF4                       | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       165000 | PA      | $150932.25    | 0.03%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM_24-RCF4                                                     | PRPM_24-RCF4                       | CUSIP: 74448JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       135000 | PA      | $119488.19    | 0.02%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-8                                       | PRPM_24-8                          | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       325916 | PA      | $327996.53    | 0.07%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-8                                       | PRPM_24-8                          | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $402314.52    | 0.08%             | 2029-12-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRPM_24-RPL4                       | CUSIP: 74448MAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $277223.07    | 0.06%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRPM_24-RPL4                       | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $261663.48    | 0.05%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RR LTD RRAM_21-16A                                               | RRAM_21-16A                        | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |       266667 | PA      | $265354.47    | 0.05%             | 2036-07-15      | Variable      | 10.77%                | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-1                                        | RCO_25-1                           | CUSIP: 75523XAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $495541.25    | 0.10%             | 2030-01-25      | Variable      | 8.35%                 | No            |                  2 | On Loan: No      |
| REACH FINANCIAL LLC REACH_22-2                                   | REACH_22-2A                        | CUSIP: 75526GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       255519 | PA      | $256128.62    | 0.05%             | 2030-05-15      | Fixed         | 8.40%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A             | RPM_21-2A                          | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       230661 | PA      | $225297.44    | 0.05%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SAFCO AUTO RECEIVABLES TRUST SAFCO_24-1                          | SAFCO_24-1A                        | CUSIP: 78637EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82811 | PA      | $82999.67     | 0.02%             | 2028-03-20      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG3            | GRADE_23-FIG3                      | CUSIP: 79582AAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       543488 | PA      | $770180.13    | 0.16%             | 2053-08-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | GRADE_22-INV1                      | CUSIP: 79583VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $300720.08    | 0.06%             | 2067-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | GRADE_22-INV1                      | CUSIP: 79583VAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $276285.28    | 0.06%             | 2067-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                      | STWH_21-NPB1                       | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        40280 | PA      | $40257.13     | 0.01%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3                    | STAR_21-3                          | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       236333 | PA      | $199071.49    | 0.04%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4259441 | OU      | $-4607.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -2800232 | OU      | $-3029.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CORN SEP 25                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          115 | NC      | $-174901.49   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN DEC 25                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          223 | NC      | $-137950.53   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COCOA JUL 25                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            2 | NC      | $16671.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     10000000 | OU      | $220760.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SET50 FUTURES JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | TH        |        -1086 | NC      | $15693.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | 10YR MINI JGB JUN 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | SG        |          -11 | NC      | $-2278.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN OIL JAN 26                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           43 | NC      | $50320.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |      -395000 | OU      | $431.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |    -73168499 | OU      | $-880553.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |    -12443248 | OU      | $-8226.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     22242913 | OU      | $1072582.95   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |      6593991 | OU      | $-44205.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |       193375 | OU      | $877.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |   5144887253 | OU      | $47568.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |   5506109068 | OU      | $-50861.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |   2360398528 | OU      | $-19081.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |    114177307 | OU      | $70929.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |     54595171 | OU      | $-8448.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |     40239629 | OU      | $-8883.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  27359405120 | OU      | $129629.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |   7239000142 | OU      | $-7447.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |   3356150049 | OU      | $4450.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  12374600200 | OU      | $-24118.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |    247525496 | OU      | $313812.98    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |     36000000 | OU      | $-9259.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |     21906251 | OU      | $2968.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     24862215 | OU      | $849530.20    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     10376364 | OU      | $-61530.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |      2928000 | OU      | $-2241.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |      2900811 | OU      | $14603.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |       184000 | OU      | $1360.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |        64436 | OU      | $-125.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |   3211093082 | OU      | $431876.06    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |       166582 | OU      | $-11.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |     17439405 | OU      | $596.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |     54554194 | OU      | $-7729.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    350418300 | OU      | $571633.78    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |      2000000 | OU      | $-395.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |     43137499 | OU      | $7288.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |     49725000 | OU      | $-12355.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    -53225000 | OU      | $12964.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |   -254368299 | OU      | $-353905.28   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    -30365200 | OU      | $9478.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |     -2500000 | OU      | $-270.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO-SCHATZ JUN 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          -42 | NC      | $-723.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | S&P500 EMINI JUN 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           46 | NC      | $350587.94    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | S&P500 EMINI JUN 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |            2 | NC      | $40620.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CATTLE FEEDER AUG 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           27 | NC      | $10032.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          495 | NC      | $253004.90    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LONG GILT SEP 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |          144 | NC      | $24293.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LONG GILT SEP 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | GB        |          -34 | NC      | $-14150.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | GOLD 100 OZ AUG 25                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            9 | NC      | $-21244.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GOLD 100 OZ AUG 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |            9 | NC      | $48248.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | DAX INDEX JUN 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |          -11 | NC      | $-509680.15   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER MAR 26                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           22 | NC      | $32236.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COPPER JUL 25                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           16 | NC      | $2565.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER JUL 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -58 | NC      | $80687.77     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER JUL 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -110 | NC      | $-751544.35   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COPPER JUL 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -18 | NC      | $83442.51     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER SEP 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           16 | NC      | $109602.89    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER SEP 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            7 | NC      | $-1060.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER DEC 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           33 | NC      | $188502.63    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COPPER DEC 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           12 | NC      | $-29968.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) JAN 26   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           16 | NC      | $-22366.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) JUL 25   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           60 | NC      | $-182870.28   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) JUL 25   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           31 | NC      | $-161623.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | NY HARBOR ULSD (HEAT OIL) JUL 25   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -10 | NC      | $30999.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) SEP 25   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            8 | NC      | $-50398.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) NOV 25   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            3 | NC      | $3215.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) NOV 25   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            5 | NC      | $-51940.91    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | AU        |     -5102000 | OU      | $1815.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | GB        |     -3752000 | OU      | $-31985.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | NZ        |    -28415000 | OU      | $-174561.87   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |    375000000 | OU      | $-1208.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |    792773269 | OU      | $14913.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |    527773270 | OU      | $-1575.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  63000000000 | OU      | $76171.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |   3250000000 | OU      | $-68.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  21366232433 | OU      | $-3792.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |     36546208 | OU      | $253015.14    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |      6459708 | OU      | $30090.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |   2223914884 | OU      | $570189.07    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |     60000000 | OU      | $-4071.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |    396028870 | OU      | $6976.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |   6527409815 | OU      | $1093582.29   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |      6000000 | OU      | $10545.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SWP: NZD 4.105000 05-NOV-2034 3M   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     15000000 | OU      | $5273.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 4.000000 13-JUN-2035 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1900000 | OU      | $-13245.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 4.500000 07-JUN-2035 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     23700000 | OU      | $452910.02    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.000000 16-JUN-2027 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     95600000 | OU      | $664238.78    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.500000 20-JUN-2035 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     16800000 | OU      | $-302089.51   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.500000 20-JUN-2035 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       700000 | OU      | $-12587.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |   1369131751 | OU      | $-97404.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |    866223515 | OU      | $61479.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |    611223515 | OU      | $-4485.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | KOREAN WON                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |  14515994024 | OU      | $496130.71    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | KOREAN WON                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |   2382950022 | OU      | $-7430.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |     27626616 | OU      | $-9789.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.000000 16-JUN-2027 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    114200000 | OU      | $182519.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 2.000000 16-JUN-2027 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     25800000 | OU      | $-3384.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: CAD 3.000000 20-JUN-2035 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1700000 | OU      | $-6329.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: CAD 3.000000 20-JUN-2035 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1200000 | OU      | $-4467.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     13000000 | OU      | $19390.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 16-JUN-2027 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    102900000 | OU      | $24938.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |     17647617 | OU      | $196484.04    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |      3552061 | OU      | $-3509.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 16-JUN-2027 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     70800000 | OU      | $17158.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      7000000 | OU      | $101165.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 20-JUN-2035 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     43000000 | OU      | $7275.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 20-JUN-2035 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      2000000 | OU      | $338.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 3.500000 12-JUN-2030 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      2100000 | OU      | $-9695.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 20-JUN-2035 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     13500000 | OU      | $-2495.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     10000000 | OU      | $26341.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | COFFEE JUL 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -17 | NC      | $237010.49    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE SEP 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            1 | NC      | $4309.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE SEP 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           10 | NC      | $-51884.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | LEAN HOGS JUL 25                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           16 | NC      | $16938.81     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LEAN HOGS JUL 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -43 | NC      | $-50237.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS AUG 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -20 | NC      | $-12749.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LEAN HOGS OCT 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           29 | NC      | $44206.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LEAN HOGS DEC 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           63 | NC      | $189623.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME LEAD JAN 26                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           16 | NC      | $7582.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME LEAD JUL 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           34 | NC      | $16415.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME LEAD SEP 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |            8 | NC      | $-5387.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME LEAD NOV 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |            8 | NC      | $-16007.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL JAN 26                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           23 | NC      | $8226.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL JUN 25                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           -1 | NC      | $1860.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL JUL 25                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |           23 | NC      | $-9946.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL JUL 25                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -79 | NC      | $-198946.51   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL SEP 25                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           12 | NC      | $-41599.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL SEP 25                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           -2 | NC      | $1559.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | STACR_19-CS03                      | CUSIP: 3137G0WF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       413162 | PA      | $380266.35    | 0.08%             | 2032-10-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | STACR_19-CS03                      | CUSIP: 3137G0WG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37099588 | PA      | $294748.81    | 0.06%             | 2029-10-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STACR_20-CS01                      | CUSIP: 3137G0WM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $803361.60    | 0.16%             | 2033-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STARC_20-CS01                                                    | STARC_20-CS01                      | CUSIP: 3137G0WN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118959035 | PA      | $297825.84    | 0.06%             | 2030-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STACR_20-CS01                      | CUSIP: 3137G0WP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118959035 | PA      | $465355.85    | 0.09%             | 2030-04-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                      | CUSIP: 3137G0WT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        23423 | PA      | $23359.28     | 0.00%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                      | CUSIP: 3137G0WV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       350000 | PA      | $288268.44    | 0.06%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                      | CUSIP: 3137G0WW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27595326 | PA      | $103681.16    | 0.02%             | 2030-06-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                      | CUSIP: 3137G0WX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27595326 | PA      | $81144.06     | 0.02%             | 2030-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FHLMC_5105                         | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2456170 | PA      | $407075.33    | 0.08%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | FHLMC_5138                         | CUSIP: 3137H2LM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1908625 | PA      | $228003.56    | 0.05%             | 2047-09-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5183                | FHLMC_5183                         | CUSIP: 3137H4ZL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3881377 | PA      | $573654.30    | 0.12%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FHLMC_5513                         | CUSIP: 3137HKF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       767336 | PA      | $785426.92    | 0.16%             | 2054-06-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_25-5532                                        | FHLMC_5532                         | CUSIP: 3137HKPN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1353746 | PA      | $1361942.49   | 0.28%             | 2055-04-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5542                         | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |       791372 | PA      | $794502.61    | 0.16%             | 2055-05-25      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| FHLMC_5548                                                       | FHLMC_5548                         | CUSIP: 3137HLJQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1200000 | PA      | $1206000.00   | 0.25%             | 2055-06-25      | Variable      | 7.95%                 | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5544                         | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |      1300000 | PA      | $172656.25    | 0.04%             | 2055-06-25      | Variable      | 2.65%                 | No            |                  3 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1750578 | PA      | $1707307.57   | 0.35%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE5                                      | FIGRE_24-HE5                       | CUSIP: 31684FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $247834.58    | 0.05%             | 2054-10-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE5                                      | FIGRE_24-HE5                       | CUSIP: 31684FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $201593.14    | 0.04%             | 2054-10-25      | Variable      | 8.63%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE3                                      | FIGRE_24-HE3                       | CUSIP: 31684GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $153605.43    | 0.03%             | 2054-07-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE3                                      | FIGRE_24-HE3                       | CUSIP: 31684GAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $154283.70    | 0.03%             | 2054-07-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGRE_24-HE1                       | CUSIP: 31684HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $153524.25    | 0.03%             | 2054-03-25      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGRE_24-HE1                       | CUSIP: 31684HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $259574.30    | 0.05%             | 2054-03-25      | Variable      | 10.03%                | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE2                                      | FIGRE_24-HE2                       | CUSIP: 316927AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $423413.60    | 0.09%             | 2054-05-25      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1                      | STACR_21-DNA1                      | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1050000 | PA      | $1154487.29   | 0.23%             | 2051-01-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA5                      | STACR_21-DNA5                      | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1650000 | PA      | $1879908.69   | 0.38%             | 2034-01-25      | Variable      | 9.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA6                      | STACR_21-DNA6                      | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       550000 | PA      | $585410.60    | 0.12%             | 2041-10-25      | Variable      | 11.82%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5                      | STACR_20-HQA5                      | CUSIP: 35565TBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1800000 | PA      | $2158207.02   | 0.44%             | 2050-11-25      | Variable      | 11.72%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR_20-DNA6                                      | STACR_20-DNA6                      | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $1137717.50   | 0.23%             | 2050-12-25      | Variable      | 9.97%                 | No            |                  2 | On Loan: No      |
| GCAT_19-NQM3                                                     | GCAT_19-NQM3                       | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       600000 | PA      | $545627.34    | 0.11%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GITSIT MORTGAGE LOAN TRUST GITSIT_25-NPL1                        | GITSIT_25-NPL1                     | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       329488 | PA      | $329405.25    | 0.07%             | 2055-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_10-9                          | CUSIP: 38375AN91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1321189 | PA      | $145347.69    | 0.03%             | 2040-01-16      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | GNMA_20-19                         | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1574372 | PA      | $72159.62     | 0.01%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GNMA_19-102                        | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1288147 | PA      | $62514.42     | 0.01%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     11054686 | OU      | $10052.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |       134000 | OU      | $-355.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     29102866 | OU      | $612864.13    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3                | TMIR_21-3                          | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       758385 | PA      | $762114.91    | 0.16%             | 2034-02-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3                | TMIR_21-3                          | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $511266.25    | 0.10%             | 2034-02-25      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| USASF RECEIVABLES LLC USAUT_21-1A                                | USAUT_21-1A                        | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1125000 | PA      | $24136.09     | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                      | CUSIP: 912797PS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     39250000 | PA      | $39172804.36  | 7.97%             | 2025-06-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                      | CUSIP: 912797PZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     43750000 | PA      | $43553537.56  | 8.86%             | 2025-07-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST1                          | UPSPT_21-ST1                       | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5727 | PA      | $5716.97      | 0.00%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UATSP_25-1GS                                                     | UATSP_25-1GS                       | CUSIP: 91684D103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3000 | PA      | $1032090.00   | 0.21%             | 2030-02-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPST_24-1                          | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $818594.07    | 0.17%             | 2034-11-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_25-1                           | UPST_25-1                          | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $979115.10    | 0.20%             | 2035-04-20      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION VCAT_25-NPL2                           | VCAT_25-NPL2                       | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       547832 | PA      | $546203.86    | 0.11%             | 2054-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-R2                           | VERUS_21-R2                        | CUSIP: 92538DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $436065.00    | 0.09%             | 2064-02-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS_21-5                         | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $205292.70    | 0.04%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS_21-5                         | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $177169.88    | 0.04%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                            | VERUS_20-4                         | CUSIP: 92538LAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       327000 | PA      | $323505.02    | 0.07%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-2                            | VERUS_22-2                         | CUSIP: 92538XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $228271.41    | 0.05%             | 2067-02-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-1                            | VERUS_23-1                         | CUSIP: 92539BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1750000 | PA      | $1734062.58   | 0.35%             | 2067-12-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-INV1                         | VERUS_23-INV1                      | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $801256.24    | 0.16%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-INV1                         | VERUS_23-INV1                      | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       450000 | PA      | $447878.03    | 0.09%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                       | VISIO_19-2                         | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $188855.34    | 0.04%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                       | VISIO_19-2                         | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       100000 | PA      | $94995.37     | 0.02%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| VSTA_20-1                                                        | VSTA_20-1                          | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $784840.32    | 0.16%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 4.000000 13-JUN-2030 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       300000 | OU      | $2956.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN NOV 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          106 | NC      | $-96066.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SUGAR #11 MAR 26                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          177 | NC      | $-147134.15   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SUGAR #11 JUL 25                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          137 | NC      | $-86933.03    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IL        |     36546208 | OU      | $253065.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IL        |      6459708 | OU      | $30099.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |   2223914881 | OU      | $570307.10    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |     60000000 | OU      | $-4067.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |    396028866 | OU      | $6339.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |    611223514 | OU      | $-4463.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | KW        |  14515994021 | OU      | $496113.44    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | KW        |   2382950022 | OU      | $-7448.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |    369633049 | OU      | $852412.28    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |    124163623 | OU      | $-19705.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |     30066524 | OU      | $-4821.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |    297120166 | OU      | $1953145.07   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |     37982559 | OU      | $-16959.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |     35095744 | OU      | $634148.95    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |      1639500 | OU      | $-1853.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |      3167424 | OU      | $12957.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | PERUVIAN SOL                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PE        |      4177104 | OU      | $18325.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | PERUVIAN SOL                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PE        |       658726 | OU      | $1164.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |    200625000 | OU      | $55361.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |    140974000 | OU      | $-7716.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |     96250000 | OU      | $-8357.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PL        |     63984251 | OU      | $486998.29    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PL        |        87637 | OU      | $63.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |    111125001 | OU      | $454015.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |     16612222 | OU      | $-8692.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 0.500000 19-SEP-2035 SAR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      1900000 | OU      | $-27986.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 15-SEP-2027 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       400000 | OU      | $-2571.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 15-SEP-2027 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     43100000 | OU      | $-277031.89   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 3.500000 15-SEP-2027 SOF | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     29300000 | OU      | $18572.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 18-SEP-2030 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      5300000 | OU      | $49.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 3.000000 16-JUN-2027 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     26600000 | OU      | $-90288.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: SEK 2.500000 15-SEP-2027 3M  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    172000000 | OU      | $151619.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: SEK 3.000000 19-SEP-2035 3M  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     39200000 | OU      | $-123873.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: SEK 2.500000 18-SEP-2030 3M  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      2000000 | OU      | $1603.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3584539 | OU      | $-886.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SWP: OIS 1.000000 19-SEP-2035 FTO  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   1837100000 | OU      | $354590.36    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 3.000000 19-SEP-2035 CAD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       900000 | OU      | $-2044.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 3.000000 19-SEP-2035 CAD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       300000 | OU      | $-681.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: AUD 4.500000 13-SEP-2035 AUD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       200000 | OU      | $3519.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: AUD 4.500000 13-SEP-2035 AUD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      1900000 | OU      | $33439.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -5032747 | OU      | $-1244.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -2774982 | OU      | $-686.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3346170 | OU      | $-827.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4332630 | OU      | $-1071.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -9725181 | OU      | $-2404.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: AUD 3.500000 10-JUN-2027 AUD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     75000000 | OU      | $262372.67    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4527524 | OU      | $-1119.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -30435000 | OU      | $-30894.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      2908000 | OU      | $69699.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI CANADA 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        24477 | OU      | $-217.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI UK INDEX 06/18/2025   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        17810 | OU      | $15.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MS_JAPN_NET IND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      6188477 | OU      | $-1116.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SWP: NZD 3.940000 05-MAY-2035 3M   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     41500000 | OU      | $-394739.49   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       -74064 | OU      | $-80.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | GNMA_21-158                        | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2126432 | PA      | $339895.35    | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142             | GNMA_21-142                        | CUSIP: 38382XSW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4288786 | PA      | $590981.00    | 0.12%             | 2051-08-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | GNMA_21-161                        | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2904816 | PA      | $404000.11    | 0.08%             | 2051-09-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | GNMA_21-156                        | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3097099 | PA      | $434350.18    | 0.09%             | 2051-09-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | GNMA_21-160                        | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5112801 | PA      | $30331.69     | 0.01%             | 2051-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | GNMA_21-160                        | CUSIP: 38383AZY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4358651 | PA      | $602765.73    | 0.12%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | GNMA_21-193                        | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     17668232 | PA      | $61655.06     | 0.01%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | GNMA_22-46                         | CUSIP: 38383PRL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2498744 | PA      | $31741.30     | 0.01%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | GNMA_22-90                         | CUSIP: 38383RH83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2598926 | PA      | $269497.69    | 0.05%             | 2050-01-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GNMA_23-47                         | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1776750 | PA      | $137798.35    | 0.03%             | 2053-03-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | GNMA_22-168                        | CUSIP: 38383YZB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4118088 | PA      | $374523.59    | 0.08%             | 2052-09-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GNMA_23-66                         | CUSIP: 38384AQY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4591671 | PA      | $195452.73    | 0.04%             | 2053-05-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GNMA_23-66                         | CUSIP: 38384ARD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1737698 | PA      | $157472.41    | 0.03%             | 2053-05-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | GNMA_23-115                        | CUSIP: 38384CL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3754999 | PA      | $208675.80    | 0.04%             | 2053-08-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                        | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1360070 | PA      | $108365.38    | 0.02%             | 2053-08-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                        | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3796287 | PA      | $431701.20    | 0.09%             | 2049-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | GNMA_23-141                        | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2532384 | PA      | $261464.61    | 0.05%             | 2049-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | GNMA_23-173                        | CUSIP: 38384GBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5157082 | PA      | $419148.51    | 0.09%             | 2053-11-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-51              | GNMA_24-51                         | CUSIP: 38384KWT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2877520 | PA      | $163442.84    | 0.03%             | 2054-03-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | GNMA_24-64                         | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3490515 | PA      | $186716.72    | 0.04%             | 2054-04-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.500000 16-JUN-2027 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     16500000 | OU      | $11540.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.500000 19-JUN-2030 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       200000 | OU      | $-566.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.000000 15-SEP-2027 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    278800000 | OU      | $503016.17    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.000000 15-SEP-2027 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       300000 | OU      | $541.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.500000 15-SEP-2027 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    163700000 | OU      | $154150.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 3.500000 09-SEP-2027 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    189500000 | OU      | $-796806.53   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 4.500000 13-SEP-2035 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     18900000 | OU      | $332635.57    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 4.500000 13-SEP-2035 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     17900000 | OU      | $315035.79    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 15-SEP-2027 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |  13615900000 | OU      | $365086.28    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.500000 19-SEP-2035 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      9600000 | OU      | $-141404.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.000000 15-SEP-2027 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     96600000 | OU      | $677959.45    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 18-SEP-2030 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1000000 | OU      | $-344.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.000000 19-SEP-2035 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     31400000 | OU      | $-71320.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 15-SEP-2055 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1700000 | OU      | $8945.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 19-SEP-2035 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     25600000 | OU      | $285933.81    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 19-SEP-2035 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     18000000 | OU      | $201047.23    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 4.000000 12-SEP-2035 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       400000 | OU      | $-3572.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 4.000000 12-SEP-2035 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      2100000 | OU      | $-18756.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 15-SEP-2027 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      2400000 | OU      | $-14.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 15-SEP-2027 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |   1262900000 | OU      | $-7496.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 2.500000 15-SEP-2027 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    314700000 | OU      | $277411.12    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 19-SEP-2035 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      7000000 | OU      | $2693.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NOK 4.000000 19-SEP-2035 6M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    139700000 | OU      | $53756.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 16-JUN-2027 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    242000000 | OU      | $8381.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 16-JUN-2027 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     68500000 | OU      | $2372.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 3.000000 19-SEP-2035 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     69300000 | OU      | $-218990.37   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 15-SEP-2027 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     75700000 | OU      | $47985.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 15-SEP-2027 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    128300000 | OU      | $81328.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      5000000 | OU      | $73755.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: AUD 3.500000 10-JUN-2027 AUD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    156600000 | OU      | $-547834.13   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.500000 18-SEP-2030 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       200000 | OU      | $-663.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 2.500000 18-SEP-2030 CAD | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       700000 | OU      | $-2323.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 18-SEP-2030 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      5600000 | OU      | $90581.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 15-SEP-2055 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       900000 | OU      | $20494.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 15-SEP-2055 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       100000 | OU      | $2277.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 16-JUN-2055 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      3800000 | OU      | $83879.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 3.500000 16-JUN-2027 SOF | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      4700000 | OU      | $15159.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI CANADA 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       648629 | OU      | $-5756.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI AUSTRALIA 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        51806 | OU      | $-144.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |    -41730865 | OU      | $-45143.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP:  MSCI AUSTRALIA 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       901430 | OU      | $-2519.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SOUTH AFRICA 06/18/25 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     21093682 | OU      | $-6510.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI AUSTRALIA 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       373005 | OU      | $-1042.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -30000000 | OU      | $-21684.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI AUSTRALIA 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        20723 | OU      | $-57.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SPAIN INDEX 06/18/25  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -307717 | OU      | $-3793.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       -92973 | OU      | $-100.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_23-1                               | COLT_23-1                          | CUSIP: 19688NAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $297020.34    | 0.06%             | 2068-04-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND      | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    243238297 | NS      | $243165325.86 | 49.47%            |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R03                   | CAS_21-R03                         | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       550000 | PA      | $573924.73    | 0.12%             | 2041-12-25      | Variable      | 9.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R02        | CAS_21-R02                         | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $840988.32    | 0.17%             | 2041-11-25      | Variable      | 10.52%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01        | CAS_22-R01                         | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       900000 | PA      | $944671.14    | 0.19%             | 2041-12-25      | Variable      | 10.32%                | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)              | CUSIP: 21H042661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15000000 | PA      | $14149491.30  | 2.88%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX_25-1NN                       | CUSIP: 280579103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       450000 | PA      | $440115.05    | 0.09%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX_25-1NN                       | CUSIP: 280579AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       400000 | PA      | $397119.44    | 0.08%             | 2031-01-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO VIII LTD ELMW8_21-1A                                 | ELMW8_24-1A                        | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |       250000 | PA      | $247687.75    | 0.05%             | 2037-04-20      | Variable      | 10.52%                | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-2A                   | EART_21-2A                         | CUSIP: 30165XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $881954.19    | 0.18%             | 2028-07-17      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-HE1                                         | FIGRE_25-HE1                       | CUSIP: 30191LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $149856.60    | 0.03%             | 2055-01-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1701625 | PA      | $1567906.74   | 0.32%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132E0B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1466359 | PA      | $1449605.08   | 0.29%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1725193 | PA      | $1722907.44   | 0.35%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                           | FNMA_13-101                        | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       582742 | PA      | $76201.51     | 0.02%             | 2043-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-81                                            | FNMA_17-81                         | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1643993 | PA      | $200846.67    | 0.04%             | 2047-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-64                                            | FNMA_18-64                         | CUSIP: 3136B23K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1558445 | PA      | $191614.91    | 0.04%             | 2048-09-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-5                                             | FNMA_19-5                          | CUSIP: 3136B3L40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1166696 | PA      | $119660.29    | 0.02%             | 2049-03-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | GB        |     -1062000 | OU      | $7553.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-22                                            | FNMA_20-22                         | CUSIP: 3136B9HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2610957 | PA      | $329759.66    | 0.07%             | 2050-04-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FNMA_20-38                         | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2638873 | PA      | $214519.03    | 0.04%             | 2050-06-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | DAX INDEX JUN 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |            5 | NC      | $-15268.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | DAX INDEX JUN 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |           -5 | NC      | $-110860.02   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | FNMA_20-34                         | CUSIP: 3136BAHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2617836 | PA      | $333814.18    | 0.07%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-54                                            | FNMA_20-54                         | CUSIP: 3136BBGH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1713552 | PA      | $202887.28    | 0.04%             | 2050-08-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | FNMA_22-90                         | CUSIP: 3136BPRP8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2895207 | PA      | $358146.06    | 0.07%             | 2050-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | FNMA_25-12                         | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1148845 | PA      | $1157956.68   | 0.24%             | 2055-03-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                           | FHLMC_4606                         | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2851522 | PA      | $305785.29    | 0.06%             | 2044-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | FHLMC_4987                         | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1124878 | PA      | $160723.98    | 0.03%             | 2050-06-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4979                                           | FHLMC_4979                         | CUSIP: 3137FTYA9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1464143 | PA      | $199218.17    | 0.04%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FHLMC_4993                         | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1680647 | PA      | $246462.97    | 0.05%             | 2050-07-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| STARC_19-CS02                                                    | STARC_19-CS02                      | CUSIP: 3137G0VZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $145786.65    | 0.03%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                      | CUSIP: 3137G0WA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $140181.81    | 0.03%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI CANADA 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       244766 | OU      | $-2172.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SPAIN INDEX 06/18/25  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -301035 | OU      | $-3711.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.500000 15-SEP-2055 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       400000 | OU      | $1918.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP:MSCI SWITZERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      1152985 | OU      | $14049.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                      | CUSIP: 3137G0WB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15245624 | PA      | $108637.27    | 0.02%             | 2029-02-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI FRANCE 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       370307 | OU      | $7098.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     22000000 | OU      | $115139.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SWITZERLAND 06/18/25  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      1411900 | OU      | $17204.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: NOK 4.000000 15-SEP-2027 6M  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    138000000 | OU      | $-819.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI NETHERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       863349 | OU      | $9063.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SPAIN 06/18/2025      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -315512 | OU      | $-3889.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 0.000000 15-SEP-2027 SAR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     40900000 | OU      | $287044.94    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: EUR 2.000000 15-SEP-2027 EUR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     35900000 | OU      | $64771.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SWEDEN 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -2755331 | OU      | $-4556.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI FRANCE 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       247002 | OU      | $4735.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.000000 18-SEP-2030 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1200000 | OU      | $-758.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 0.000000 18-SEP-2030 SAR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       300000 | OU      | $-189.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: EUR 2.000000 15-SEP-2027 EUR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     12500000 | OU      | $22552.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: EUR 2.500000 19-SEP-2035 EUR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      2700000 | OU      | $5335.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: EUR 2.500000 19-SEP-2035 EUR | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      6600000 | OU      | $13042.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 4.500000 15-SEP-2055 SON | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       200000 | OU      | $959.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 0.000000 19-JUN-2030 SAR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       400000 | OU      | $436.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SWEDEN 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4168322 | OU      | $-6892.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 4.000000 19-SEP-2035 SOF | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      7900000 | OU      | $88237.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 3.000000 15-SEP-2027 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |    156900000 | OU      | $-584827.71   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI NETHERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        92687 | OU      | $973.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 1.000000 15-SEP-2027 FTO | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   8245800000 | OU      | $221096.55    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: OIS 3.000000 20-JUN-2035 CAD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       300000 | OU      | $-1117.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI MEXICO 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -9686202 | OU      | $-2395.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SWITZERLAND 06/18/25  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        89002 | OU      | $1084.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      -572023 | OU      | $-618.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4289382 | OU      | $-4640.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SWEDEN 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3179228 | OU      | $-5257.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3440015 | OU      | $-3721.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI AUSTRALIA 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       891068 | OU      | $-2490.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: SEK 2.000000 15-SEP-2027 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     70000000 | OU      | $-8707.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4602970 | OU      | $-4979.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     10000000 | OU      | $55927.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: CAD 2.500000 15-SEP-2027 CAD | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     38900000 | OU      | $36630.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI NETHERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       469775 | OU      | $-636.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -5417173 | OU      | $-7416.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SINGAPORE 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        99823 | OU      | $-372.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI NETHERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       669353 | OU      | $-7966.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SINGAPORE 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       927978 | OU      | $134.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -1161637 | OU      | $-2944.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI NETHERLAND 06/18/2025 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |        87779 | OU      | $164.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SINGAPORE 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       902784 | OU      | $6523.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3473370 | OU      | $-5993.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI SINGAPORE 06/18/2025  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       915112 | OU      | $3120.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | JP        |  -1074828000 | OU      | $-34548.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | SWISS FRANC                        | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | CH        |      4772000 | OU      | $15860.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | NATURAL GAS JUL 25                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -10 | NC      | $51162.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS JUL 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -789 | NC      | $3014283.05   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS SEP 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          113 | NC      | $-425401.88   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |     34650000 | OU      | $155761.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |     18310000 | OU      | $118397.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |     24600000 | OU      | $621735.72    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                       | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $301866.60    | 0.06%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |     21234000 | OU      | $241603.33    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SWISS FRANC                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CH        |     10400000 | OU      | $766258.85    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN OIL JAN 26                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           74 | NC      | $-65575.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN OIL JUL 25                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           31 | NC      | $-34906.89    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                       | CUSIP: 92841WAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $206214.00    | 0.04%             | 2055-01-25      | Variable      | 9.49%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VSTA_25-CES1                       | CUSIP: 92842DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $246281.53    | 0.05%             | 2055-04-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | CORN JUL 25                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           48 | NC      | $-20848.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CORN JUL 25                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           64 | NC      | $-38566.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SWISS FRANC                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CH        |      9036000 | OU      | $-36550.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |     10450000 | OU      | $265972.70    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CORN JUL 25                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -645 | NC      | $1178831.48   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |      -625000 | OU      | $-58.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VSTA_25-CES1                       | CUSIP: 92842DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $147115.35    | 0.03%             | 2055-04-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL4               | VOLT_21-NPL4                       | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       156888 | PA      | $156519.66    | 0.03%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BRITISH POUND                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |      9000000 | OU      | $146608.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BRITISH POUND                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |      2193000 | OU      | $24974.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP                | WFCM_17-SMP                        | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $930160.30    | 0.19%             | 2034-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BIST 30 FUTURES JUN 25             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | TR        |         1356 | NC      | $-261290.61   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | IN        |    275855000 | OU      | $33209.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |   1305000000 | OU      | $145505.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE/JSE TOP 40 JUN 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ZA        |           31 | NC      | $42276.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE/JSE TOP 40 JUN 25             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | ZA        |          171 | NC      | $314169.67    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |   1855000000 | OU      | $-167838.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |    450635000 | OU      | $2467.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |      -500000 | OU      | $-98594.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -2000000 | OU      | $-394376.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NO        |    264000000 | OU      | $1058966.76   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NO        |    209179000 | OU      | $220857.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -1200000 | OU      | $-236625.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 20-JUN-2035 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      9200000 | OU      | $-1700.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |     14950000 | OU      | $94773.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |      2100000 | OU      | $-4363.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: EUR 2.500000 19-JUN-2030 EUR | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      5200000 | OU      | $90507.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |     -1000000 | OU      | $-170915.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SE        |    161500000 | OU      | $719749.24    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | TURKISH LIRA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | TR        |    102320000 | OU      | $73102.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | TURKISH LIRA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | TR        |    231430000 | OU      | $-32041.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | ZA        |    173810000 | OU      | $204985.29    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 1.000000 20-JUN-2035 FTO | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    106200000 | OU      | $17864.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN OIL JUL 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -87 | NC      | $115317.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS JAN 26                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          170 | NC      | $-400439.47   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS JUL 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           41 | NC      | $-200808.48   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN OIL JUL 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -295 | NC      | $-68214.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN OIL JUL 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -45 | NC      | $31660.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN OIL DEC 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          117 | NC      | $99471.98     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN MAR 26                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          108 | NC      | $-16327.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |       163228 | OU      | $42.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |       291728 | OU      | $-224.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | THAI BAHT                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TH        |    186000000 | OU      | $139195.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | THAI BAHT                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TH        |    107749106 | OU      | $-15819.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |    794565500 | OU      | $2314922.10   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |       166582 | OU      | $-12.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |     32331198 | OU      | $828.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |     39662398 | OU      | $-7489.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |    350418299 | OU      | $571728.24    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |      1999999 | OU      | $-394.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        | -22897794115 | OU      | $-447623.90   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |  -3682950022 | OU      | $11369.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    -58066524 | OU      | $7570.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |   -487827252 | OU      | $-1235097.90  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |   -124663623 | OU      | $22891.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     -3500000 | OU      | $-59.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    -30982559 | OU      | $14880.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |   -214500000 | OU      | $-994579.08   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    -14780865 | OU      | $6787.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |       -79500 | OU      | $205.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |    -36655749 | OU      | $-840897.39   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |      -160500 | OU      | $2.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |     -6575435 | OU      | $-27579.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PE        |     -3079226 | OU      | $-20181.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |    -81250001 | OU      | $8873.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |   -270349000 | OU      | $-154404.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |    -32500001 | OU      | $3512.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |     41695267 | OU      | $-42104.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |     11054680 | OU      | $10062.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |       134000 | OU      | $-355.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |     29102867 | OU      | $612967.18    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |     22242917 | OU      | $1072713.24   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |      6593993 | OU      | $-44165.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |       193374 | OU      | $878.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CL        |   5144887252 | OU      | $47595.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CL        |   5506109069 | OU      | $-50832.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CL        |   2360398528 | OU      | $-19069.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |    114177311 | OU      | $71007.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |     54595175 | OU      | $-8410.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |     40239620 | OU      | $-8855.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TRSWAP: MSCI BRAZIL 06/18/2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3597597 | OU      | $-3891.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        |  27359405120 | OU      | $129661.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        |   7239000140 | OU      | $-7438.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: NZD 3.500000 11-SEP-2030 3M  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       100000 | OU      | $-592.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FSWP: OIS 4.000000 18-SEP-2030 SON | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      1200000 | OU      | $11360.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        |   3356150049 | OU      | $4454.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        |  12374600199 | OU      | $-24103.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |    247525503 | OU      | $313867.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |     36000000 | OU      | $-9251.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COCOA SEP 25                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           50 | NC      | $237377.56    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COCOA SEP 25                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            2 | NC      | $-833.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |     21906249 | OU      | $2973.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     24862210 | OU      | $849667.15    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CAC40 10 EURO JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | FR        |           63 | NC      | $-40191.34    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAC40 10 EURO JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | FR        |          -60 | NC      | $34432.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     10376363 | OU      | $-61470.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |      2900815 | OU      | $14619.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CAC40 10 EURO JUN 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | FR        |          -31 | NC      | $26313.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE JAN 26                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           68 | NC      | $-38002.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |       774748 | OU      | $-1573.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     12330999 | OU      | $668093.78    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | WTI CRUDE JUL 25                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           17 | NC      | $8323.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE JUL 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           56 | NC      | $-131284.38   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |       231875 | OU      | $-432.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |       184000 | OU      | $1362.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |        64437 | OU      | $-125.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |   3238593083 | OU      | $432528.98    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE JUL 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -23 | NC      | $19356.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE JUL 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -18 | NC      | $-29217.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |    402500000 | OU      | $-1291.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |    792773270 | OU      | $14924.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |    527773270 | OU      | $-1567.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        |  63000000000 | OU      | $76190.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE SEP 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           34 | NC      | $-210408.76   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE NOV 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           14 | NC      | $25463.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        |   3250000000 | OU      | $-65.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        |  21366232433 | OU      | $-3842.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE NOV 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           20 | NC      | $-185559.38   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAN 10YR BOND SEP 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | CA        |          402 | NC      | $392501.67    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CAN 10YR BOND SEP 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | CA        |           43 | NC      | $10868.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) JAN 26           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           20 | NC      | $6642.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) JAN 26           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           54 | NC      | $-110365.74   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) MAR 26           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           37 | NC      | $-48411.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | BRENT CRUDE (ICE) AUG 25           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | GB        |          -20 | NC      | $29950.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) SEP 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -176 | NC      | $261256.34    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) NOV 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           37 | NC      | $-256403.69   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COTTON NO.2 MAR 26                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           19 | NC      | $-7832.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COTTON NO.2 JUL 25                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -10 | NC      | $9372.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |   -124663623 | OU      | $22923.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |     -3500000 | OU      | $-58.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |    -30982558 | OU      | $14895.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |   -214500002 | OU      | $-994479.04   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |    -14780865 | OU      | $6794.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |       -79500 | OU      | $205.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |    -36655744 | OU      | $-840792.09   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |      -160500 | OU      | $2.62         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |     -6575435 | OU      | $-27559.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PE        |     -3079226 | OU      | $-20176.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |    -71250000 | OU      | $7710.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |   -270349000 | OU      | $-154185.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PH        |    -32500000 | OU      | $3512.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PL        |      -395000 | OU      | $431.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PL        |    -73168503 | OU      | $-880459.80   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | PL        |    -12443247 | OU      | $-8210.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |    -17158187 | OU      | $9000.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |   -113033071 | OU      | $-537521.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SE        |    -16612221 | OU      | $8583.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |       -73729 | OU      | $54.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |    -28534106 | OU      | $-566742.70   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |     -2233561 | OU      | $2030.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |     -6319780 | OU      | $-9673.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TH        |    -14500000 | OU      | $1176.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TH        |   -343664882 | OU      | $-254689.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TH        |    -72749106 | OU      | $10693.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | OMXS30 INDEX JUN 25                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | SE        |          314 | NC      | $-116307.34   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | OMXS30 INDEX JUN 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SE        |         -348 | NC      | $140110.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COCOA FUTURE (LIFFE) JUL 25        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | GB        |            8 | NC      | $1654.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL JAN 26                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |            2 | NC      | $2645.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL JAN 26                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           27 | NC      | $-21895.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | GAS OIL JUL 25                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | GB        |           25 | NC      | $-57333.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL JUL 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           85 | NC      | $-167406.26   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL SEP 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           14 | NC      | $-80962.40    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL NOV 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |            6 | NC      | $9482.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL NOV 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |            8 | NC      | $-63728.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MSCI SING IX ETS JUN 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |          -30 | NC      | $4045.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | RUSSELL 2000 EMINI CME JUN 25      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |            2 | NC      | $5242.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BUND JUN 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          152 | NC      | $225922.61    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BUND JUN 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |           43 | NC      | $-2525.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN JAN 26                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           38 | NC      | $57360.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN JAN 26                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           67 | NC      | $-31638.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN JUL 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           15 | NC      | $-8535.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN JUL 25                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -90 | NC      | $-89181.04    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN JUL 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -90 | NC      | $54862.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN JUL 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -251 | NC      | $-167275.98   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SUGAR #11 JUL 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -313 | NC      | $142613.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SUGAR #11 JUL 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -178 | NC      | $112795.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SUGAR #11 OCT 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           60 | NC      | $-62354.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | THREE-MONTH SOFR FUTURE MAR 25     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -324 | NC      | $210038.79    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | THREE-MONTH SOFR FUTURE MAR 26     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          324 | NC      | $78261.37     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SILVER JUL 25                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            4 | NC      | $-2825.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SILVER JUL 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           20 | NC      | $-36294.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MEAL (CBT) JAN 26          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           98 | NC      | $37298.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN MEAL (CBT) JUL 25          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -30 | NC      | $3783.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MEAL (CBT) JUL 25          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -59 | NC      | $46540.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MEAL (CBT) JUL 25          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -43 | NC      | $-2091.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MEAL (CBT) DEC 25          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           99 | NC      | $-75081.09    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street                                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | SE        |   -219879000 | OU      | $57019.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     -1848502 | OU      | $3784.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |    -37938405 | OU      | $-677778.82   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE/MIB INDEX JUN 25              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IT        |            5 | NC      | $99618.08     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | FTSE/MIB INDEX JUN 25              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IT        |          -41 | NC      | $-604043.78   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE/MIB INDEX JUN 25              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | IT        |          -12 | NC      | $-335877.28   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley International                                     | SYN BOVESPA (IBOVESPA) IDX JUN 25  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | BR        |          148 | NC      | $-50331.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     -6082500 | OU      | $-2139.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |       774747 | OU      | $-1577.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     12331002 | OU      | $668014.35    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |       231873 | OU      | $-434.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COTTON NO.2 JUL 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -98 | NC      | $98585.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COTTON NO.2 JUL 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -31 | NC      | $8589.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COTTON NO.2 DEC 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           59 | NC      | $-21829.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IL        |    -36546208 | OU      | $-404168.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IL        |      -921000 | OU      | $974.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |   -530000000 | OU      | $30889.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |  -1426028866 | OU      | $-169905.32   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |    -49999998 | OU      | $424.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |    -34999999 | OU      | $-756.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |  -1203820113 | OU      | $37142.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |  -5469024413 | OU      | $-606729.34   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |      -624999 | OU      | $12.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |      -624999 | OU      | $-58.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | KW        | -22897794113 | OU      | $-447219.66   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | KW        |  -3682950022 | OU      | $11854.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |    -58066524 | OU      | $7585.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |   -487827250 | OU      | $-1234978.56  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |     43137498 | OU      | $7300.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |     49724999 | OU      | $-12342.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |    -53225001 | OU      | $12979.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |   -254368296 | OU      | $-353836.37   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |    -30365199 | OU      | $9486.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ZA        |     -2499999 | OU      | $-270.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL NOV 25                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           11 | NC      | $-87553.43    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME COPPER JUN 25                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |            5 | NC      | $-11134.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE MAR 26                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           11 | NC      | $-124845.33   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COFFEE JUL 25                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            2 | NC      | $-2469.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME COPPER SEP 25                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |            3 | NC      | $-7877.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC JAN 26                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           28 | NC      | $-9276.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE JUL 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -13 | NC      | $175778.08    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE JUL 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -44 | NC      | $-20219.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE DEC 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            6 | NC      | $7442.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE DEC 25                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           16 | NC      | $-64630.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC JUN 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           15 | NC      | $-31709.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC NOV 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           14 | NC      | $-87496.52    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | KOSPI2 INDEX JUN 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | KR        |           29 | NC      | $3481.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE MAR 26           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           27 | NC      | $16674.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MSCI EMER MKT INDEX (ICE) JUN 25   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          180 | NC      | $330376.18    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MSCI EAFE INDEX JUN 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           -1 | NC      | $-2286.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | WHEAT KCBT FUTURE JUL 25           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -48 | NC      | $45330.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE JUL 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -101 | NC      | $211685.54    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      8246886 | OU      | $-166971.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     20122723 | OU      | $-477878.05   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CH        |    -23750000 | OU      | $-353614.05   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |       802997 | OU      | $11739.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE JUL 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -28 | NC      | $-1849.45     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE SEP 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           29 | NC      | $-65695.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE DEC 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           56 | NC      | $-119152.05   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM JAN 26                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           57 | NC      | $38492.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM JUN 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -14 | NC      | $5918.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM JUL 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -186 | NC      | $130172.77    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     30078400 | OU      | $-1632766.36  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |       796436 | OU      | $854.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM JUL 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          -20 | NC      | $20558.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM SEP 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           29 | NC      | $-101853.72   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     21197549 | OU      | $-900549.02   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      3134360 | OU      | $-86929.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM SEP 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -16 | NC      | $14242.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME PRI ALUM NOV 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           29 | NC      | $-133527.22   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     23593133 | OU      | $-458258.37   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      9525898 | OU      | $-466030.41   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE FEB 26                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           20 | NC      | $4277.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | LIVE CATTLE AUG 25                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           21 | NC      | $-7435.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      2560138 | OU      | $-153540.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      4941702 | OU      | $-152561.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE AUG 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          -88 | NC      | $41640.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE AUG 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -30 | NC      | $-8908.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     20557592 | OU      | $-846511.60   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      6309643 | OU      | $-196072.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SE        |   -317751000 | OU      | $-349730.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |     12376930 | OU      | $-151360.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |      3331579 | OU      | $-242898.88   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_24-X2                    | AFFRM_24-X2                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4624 | PA      | $243106.80    | 0.05%             | 2029-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-C                              | AJAXM_21-C                         | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       169941 | PA      | $168492.83    | 0.03%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-E                              | AJAXM_21-E                         | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       465000 | PA      | $255043.01    | 0.05%             | 2060-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8000000 | PA      | $6805928.96   | 1.38%             | 2054-06-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25595420 | PA      | $22684510.22  | 4.61%             | 2055-06-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35500000 | PA      | $32520447.73  | 6.62%             | 2054-06-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37000000 | PA      | $34892936.95  | 7.10%             | 2054-06-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17000000 | PA      | $16453554.89  | 3.35%             | 2055-06-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2000000 | PA      | $1979822.98   | 0.40%             | 2025-06-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20000000 | PA      | $20195229.20  | 4.11%             | 2055-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-2                               | AOMT_19-2                          | CUSIP: 03463WAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2700000 | PA      | $2739932.73   | 0.56%             | 2049-03-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_21-5                               | AOMT_21-5                          | CUSIP: 03465HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       272180 | PA      | $234909.18    | 0.05%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_17-44A                                         | ARES_17-44A                        | CUSIP: 04016NAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $502536.50    | 0.10%             | 2034-04-15      | Variable      | 11.39%                | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_20-1                                  | ARRW_20-1                          | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1870000 | PA      | $1650991.96   | 0.34%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASPWP-29-1A                        | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1000000.00   | 0.20%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| BXP TRUST BXP_21-601L                                            | BXP_21-601L                        | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $780200.74    | 0.16%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | BARC_21-NPL1                       | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       251931 | PA      | $253796.31    | 0.05%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | IBEX 35 INDEX JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ES        |          110 | NC      | $539388.98    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BTP (ITALY GOVT) JUN 25       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          104 | NC      | $228157.66    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | KL COMPOSITE INDX JUN 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | MY        |           20 | NC      | $-7461.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | MEXICAN BOLSA INDEX FUTURE JUN 25  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | MX        |            5 | NC      | $5224.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | MEXICAN BOLSA INDEX FUTURE JUN 25  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | MX        |         -134 | NC      | $-122096.20   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JPN 10YR BOND (OSE) JUN 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |          -36 | NC      | $190531.54    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JPN 10YR BOND (OSE) JUN 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |          -71 | NC      | $-596009.40   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | JPN 10YR BOND (OSE) JUN 25         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | JP        |          -23 | NC      | $40059.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | IFSC NIFTY 50 JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IN        |          -17 | NC      | $2149.21      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | IFSC NIFTY 50 JUN 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | IN        |         -156 | NC      | $40067.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |     -1848498 | OU      | $3790.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |    -37938425 | OU      | $-677658.85   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |     -6082498 | OU      | $-2120.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |    -12736499 | OU      | $8207.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |    -80076721 | OU      | $-374236.52   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | BR        |     -1505955 | OU      | $1712.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |    -36071461 | OU      | $-893832.19   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |     -2690530 | OU      | $-11586.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |      -896000 | OU      | $3806.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |    -34172687 | OU      | $-2530101.40  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |     -3893968 | OU      | $-19168.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CL        |  -5160398528 | OU      | $56921.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CL        |  -2700000000 | OU      | $-88180.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | GNMA_19-103                        | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1716294 | PA      | $229967.38    | 0.05%             | 2049-08-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-98              | GNMA_19-98                         | CUSIP: 38381YAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6287777 | PA      | $758849.16    | 0.15%             | 2049-08-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | GNMA_19-120                        | CUSIP: 38381YSZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     16518555 | PA      | $167048.84    | 0.03%             | 2049-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | GNMA_20-3                          | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1894838 | PA      | $72770.50     | 0.01%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | GNMA_20-34                         | CUSIP: 38382DG94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1702992 | PA      | $224168.75    | 0.05%             | 2050-03-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78              | GNMA_20-78                         | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1923756 | PA      | $232797.72    | 0.05%             | 2050-06-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | GNMA_20-104                        | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1108716 | PA      | $141636.56    | 0.03%             | 2050-07-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                       | CUSIP: 00039GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       251927 | PA      | $252982.98    | 0.05%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                       | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $403555.96    | 0.08%             | 2069-02-25      | Variable      | 8.60%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |    -12736501 | OU      | $8196.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |    -80076718 | OU      | $-374304.42   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     -1505960 | OU      | $1710.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |    -36071460 | OU      | $-893959.20   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     -2690530 | OU      | $-11595.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |      -896000 | OU      | $3800.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | GNMA_20-138                        | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3929864 | PA      | $525325.32    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133             | GNMA_20-133                        | CUSIP: 38382JC46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4492716 | PA      | $559077.19    | 0.11%             | 2050-09-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | GNMA_20-164                        | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1746637 | PA      | $273714.80    | 0.06%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GNMA_20-175                        | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2735631 | PA      | $395589.41    | 0.08%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF2                                            | PRPM_24-RCF2                       | CUSIP: 693987AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $184784.30    | 0.04%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF2                                            | PRPM_24-RCF2                       | CUSIP: 693987AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       850000 | PA      | $754433.57    | 0.15%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-2                         | PAID_24-2                          | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227630 | PA      | $229710.80    | 0.05%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | PAID_24-10                         | CUSIP: 69544MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       399966 | PA      | $401040.39    | 0.08%             | 2032-06-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                             | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       259196 | PA      | $258078.14    | 0.05%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | GNMA_21-7                          | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1657270 | PA      | $377026.09    | 0.08%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GNMA_20-191                        | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1851640 | PA      | $376436.47    | 0.08%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | GNMA_21-24                         | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1678141 | PA      | $281296.04    | 0.06%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-25              | GNMA_21-25                         | CUSIP: 38382NTM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3409572 | PA      | $498767.91    | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL4                                                     | PRET_24-NPL4                       | CUSIP: 74143RAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       407000 | PA      | $407650.06    | 0.08%             | 2054-07-25      | Variable      | 9.44%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_24-NPL9                                            | PRET_24-NPL9                       | CUSIP: 74143TAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       600000 | PA      | $603503.88    | 0.12%             | 2054-12-25      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GNMA_21-42                         | CUSIP: 38382PZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2287472 | PA      | $303218.80    | 0.06%             | 2051-03-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GNMA_21-42                         | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3027578 | PA      | $427951.82    | 0.09%             | 2050-11-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| PROSPER MARKETPLACE ISSUANCE TRUST SERIES PMIT_24-1              | PMIT_24-1A                         | CUSIP: 74363CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109237 | PA      | $109395.74    | 0.02%             | 2029-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GNMA_21-119                        | CUSIP: 38382UM24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2734542 | PA      | $361247.23    | 0.07%             | 2051-07-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | GNMA_21-96                         | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2953508 | PA      | $41572.99     | 0.01%             | 2051-06-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | GNMA_21-97                         | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2859166 | PA      | $388211.79    | 0.08%             | 2051-06-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO_20-NQM1                      | CUSIP: 105699AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $292118.70    | 0.06%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO_20-NQM1                      | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       430000 | PA      | $416037.94    | 0.08%             | 2060-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2                     | BRAVO_21-HE2                       | CUSIP: 10569CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       338000 | PA      | $336980.86    | 0.07%             | 2069-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2                     | BRAVO_21-HE2                       | CUSIP: 10569CAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       353000 | PA      | $352956.72    | 0.07%             | 2069-11-25      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO_21-NQM2                      | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $178398.72    | 0.04%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO_21-NQM2                      | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $253610.40    | 0.05%             | 2060-03-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE_23-1                         | CUSIP: 12547QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       473000 | PA      | $472675.00    | 0.10%             | 2058-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE_23-1                         | CUSIP: 12547QAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $296986.89    | 0.06%             | 2058-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-NQM1                               | CHNGE_22-NQM1                      | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $248705.15    | 0.05%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                        | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $635009.30    | 0.13%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CHNGE_23-2                         | CUSIP: 169926AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $200170.86    | 0.04%             | 2058-06-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE_23-3                         | CUSIP: 17030AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $810514.48    | 0.16%             | 2058-07-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE_23-3                         | CUSIP: 17030AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $300821.04    | 0.06%             | 2058-07-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                         | CUSIP: 17030JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       350000 | PA      | $294493.29    | 0.06%             | 2067-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                         | CUSIP: 17030JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       650000 | PA      | $539913.79    | 0.11%             | 2067-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                         | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $366919.55    | 0.07%             | 2067-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                       | CUSIP: 17323TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       997557 | PA      | $712823.51    | 0.15%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CMLTI_18-RP3                       | CUSIP: 17327DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $494049.08    | 0.10%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-4                               | COLT_22-4                          | CUSIP: 19685GAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $356927.72    | 0.07%             | 2067-03-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT_21-3                          | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       437845 | PA      | $371719.44    | 0.08%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT_21-3                          | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $136261.12    | 0.03%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                               | COLT_21-4                          | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $298300.32    | 0.06%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                       | COLT_20-2                          | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $199572.34    | 0.04%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-46                 | FNMA_23-46                         | CUSIP: 3136BQLL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4389103 | PA      | $474137.63    | 0.10%             | 2050-06-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-16                 | FNMA_25-16                         | CUSIP: 3136BU5N6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       723003 | PA      | $720794.04    | 0.15%             | 2055-01-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10                 | FNMA_25-10                         | CUSIP: 3136BUS68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       708343 | PA      | $693947.05    | 0.14%             | 2055-02-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| HTAP HTAP_24-1                                                   | HTAP_24-2                          | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       648824 | PA      | $641145.49    | 0.13%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_24-2                                             | HTAP_24-2                          | CUSIP: 40444WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $287134.65    | 0.06%             | 2042-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HTAP HTAP_24-1                                                   | HTAP_24-1                          | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       498653 | PA      | $498096.60    | 0.10%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_25-1                                             | HTAP_25-1                          | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       295710 | PA      | $289763.82    | 0.06%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                        | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $34183.94     | 0.01%             | 2035-11-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_19-2                          | HPA_19-2                           | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       327875 | PA      | $312183.03    | 0.06%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2                     | HOF_20-2                           | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $252664.38    | 0.05%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | IMPRL_21-NQM3                      | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $389562.10    | 0.08%             | 2056-11-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | IMPRL_22-NQM3                      | CUSIP: 45276KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       350000 | PA      | $278041.75    | 0.06%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM5                       | IMPRL_22-NQM5                      | CUSIP: 45276QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       103580 | PA      | $100115.85    | 0.02%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME_24-RTL1                      | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $403753.00    | 0.08%             | 2029-01-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME_24-RTL1                      | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $303984.12    | 0.06%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_23-RTL3                               | LHOME_23-RTL3                      | CUSIP: 50205TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       600000 | PA      | $603136.98    | 0.12%             | 2028-08-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL5                               | LHOME_24-RTL5                      | CUSIP: 50205WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $296389.50    | 0.06%             | 2039-09-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                          | LMAT_21-GS1                        | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       321353 | PA      | $321604.86    | 0.07%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| LENDING CLUB RECEIVABLES TRUST LCRT_20-2                         | LCRT_20-2                          | CUSIP: 52605L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        85000 | PA      | $8500.00      | 0.00%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1                | LDPT_21-1                          | CUSIP: 52607DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115417 | PA      | $115209.46    | 0.02%             | 2027-04-15      | Fixed         | 7.23%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_21-1A                                 | MFT_21-1A                          | CUSIP: 57110NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21231 | PA      | $21081.11     | 0.00%             | 2031-06-16      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO_24-SD1                       | CUSIP: 58550DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $448078.40    | 0.09%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-BPL1                             | NYMT_24-BPL1                       | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $501395.20    | 0.10%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-RR1                              | NYMT_24-RR1                        | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       926886 | PA      | $929803.57    | 0.19%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| ENVA_23-A                                                        | ENVA_23-A                          | CUSIP: 64110XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164232 | PA      | $165302.68    | 0.03%             | 2027-12-20      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3                 | NRZT_19-RPL3                       | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       750000 | PA      | $528153.00    | 0.11%             | 2059-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NRZT_22-NQM2                       | CUSIP: 64831MAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2570000 | PA      | $2020005.09   | 0.41%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE OCT 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           21 | NC      | $115689.21    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE DEC 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           41 | NC      | $183467.98    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LEAN HOGS FEB 26                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           30 | NC      | $26703.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC JUL 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          126 | NC      | $-277159.68   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC JUL 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |           20 | NC      | $-51521.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC SEP 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           23 | NC      | $-90457.18    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO BUXL 30YR BOND JUN 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |            5 | NC      | $-3831.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | XX        |     -4396000 | OU      | $8528.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US LONG BOND SEP 25                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -251 | NC      | $-617010.09   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO STOXX 50 JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |         -306 | NC      | $-270976.46   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO STOXX 50 JUN 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |           -9 | NC      | $-45203.94    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT MAR 26                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           42 | NC      | $25564.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | WHEAT JUL 25                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           12 | NC      | $2581.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT JUL 25                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -306 | NC      | $238502.28    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT SEP 25                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           46 | NC      | $-76287.73    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT DEC 25                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           87 | NC      | $-102252.98   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | CA        |     -7365000 | OU      | $-16710.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | XX        |     -1821000 | OU      | $-17121.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | NZ        |    -38760000 | OU      | $75000.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | NZ        |      -643000 | OU      | $-1040.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo                                                      | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | AU        |     30671000 | OU      | $385.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo                                                      | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | JP        |   3176652000 | OU      | $134133.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US ULTRA T-BOND SEP 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          -17 | NC      | $-40948.86    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STAR_20-3                                                        | STAR_20-3                          | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $226188.10    | 0.05%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_25-RRTL1                               | TRK_25-RRTL1                       | CUSIP: 89053JAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $201294.16    | 0.04%             | 2040-02-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA T-BOND SEP 25             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |          -61 | NC      | $-8788.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB JAN 26               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |           21 | NC      | $-23032.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL1                               | TRK_24-RRTL1                       | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       524000 | PA      | $531639.13    | 0.11%             | 2039-02-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2                | TMIR_21-2                          | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       650000 | PA      | $681200.78    | 0.14%             | 2033-10-25      | Variable      | 11.94%                | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | GASOLINE RBOB JUL 25               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           14 | NC      | $-34741.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB JUL 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          110 | NC      | $157135.87    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB JUL 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           24 | NC      | $-112659.26   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB SEP 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |            9 | NC      | $-59531.73    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |   6526159811 | OU      | $1093689.73   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |   1367881748 | OU      | $-97331.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | AUST 10YR BOND JUN 25              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | AU        |          194 | NC      | $125531.13    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | AUST 10YR BOND JUN 25              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |         -676 | NC      | $-570655.84   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |    866223513 | OU      | $61509.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS NOV 25                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          101 | NC      | $-647973.69   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | NIKKEI 225 (OSE) JUN 25            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | JP        |           -8 | NC      | $-53014.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NASDAQ 100 E-MINI JUN 25           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |            2 | NC      | $9004.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-OAT JUN 25                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          130 | NC      | $302077.57    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-OAT JUN 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |          172 | NC      | $132101.49    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BOBL JUN 25                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |           15 | NC      | $1539.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | PALLADIUM SEP 25                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           -1 | NC      | $4382.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | PLATINUM JUL 25                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -39 | NC      | $16278.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | S&P/TSE 60 INDEX JUN 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | CA        |           37 | NC      | $481911.21    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | S&P/TSE 60 INDEX JUN 25            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | CA        |            8 | NC      | $12684.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | S&P/TSE 60 INDEX JUN 25            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | CA        |          -46 | NC      | $-321657.13   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SPI 200 JUN 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | AU        |           51 | NC      | $243323.60    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SPI 200 JUN 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | AU        |          -57 | NC      | $-340526.79   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE CHINA A50 JUN 25              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |         -136 | NC      | $29088.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | AUST 3YR BOND JUN 25               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |           58 | NC      | $20017.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | FTSE 100 INDEX JUN 25              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | GB        |          -34 | NC      | $-79816.84    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | FTSE 100 INDEX JUN 25              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | GB        |          -28 | NC      | $-44781.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE 100 INDEX JUN 25              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | GB        |          -49 | NC      | $-52932.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131             | GNMA_19-131                        | CUSIP: 38380NPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2585852 | PA      | $147441.94    | 0.03%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GNMA_19-21                         | CUSIP: 38381B6Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1950692 | PA      | $242298.33    | 0.05%             | 2046-10-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | GNMA_19-92                         | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2136824 | PA      | $266099.58    | 0.05%             | 2049-07-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |    -61288462 | OU      | $11061.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |    -99389353 | OU      | $-116255.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |     -6661607 | OU      | $1677.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        | -11661504959 | OU      | $22230.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CO        |  -9656150049 | OU      | $-58455.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |     -8000000 | OU      | $164.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |   -309832254 | OU      | $-801157.17   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CZ        |    -54212998 | OU      | $-4806.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     -2694261 | OU      | $17531.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -31846421 | OU      | $-1352830.51  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     -2087514 | OU      | $-8650.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |       -64937 | OU      | $120.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |    -12916249 | OU      | $-497394.76   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     -2726499 | OU      | $7596.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |   -501523270 | OU      | $1338.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |  -2601523269 | OU      | $-178546.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |   -218750000 | OU      | $766.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | HU        |   -218750000 | OU      | $-4697.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        |  -3683116217 | OU      | $2.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        | -58450651349 | OU      | $-31884.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | ID        |  -3250000000 | OU      | $482.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |   -304544017 | OU      | $131197.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | TW        |   -488309255 | OU      | $-1059379.98  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer