# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001193125-26-071027
**Filing Date:** 2026-2
**Character Count:** 502577
**Document Hash:** 046d42a02c332feccc6cf393e710dc6b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-071027.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001193125-26-071027

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 26677611

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/PIMCO Income Fund (Series ID: S000058490)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000192062 | JNL/PIMCO Income Fund (A) |  |
| C000192063 | JNL/PIMCO Income Fund (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/PIMCO Income Fund

- **b. EDGAR series identifier (if any):** S000058490

- **c. LEI of Series:** 5493005E2UTORKLVJJ05

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5006748433.90

**Total Liabilities:** $3119422102.19

**Net Assets:** $1887326331.71

**Delayed Delivery Securities:** $2977363293.26

**Cash Not Reported:** $38656370.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6499.886167492585 | **1-Year:** -14878.876853530068 | **5-Year:** -37792.204207171600 | **10-Year:** -50631.783297278905 | **30-Year:** -771313.004896946643

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

- **3-Month:** -675.473225220655 | **1-Year:** -6546.600120627069 | **5-Year:** -21591.013446408630 | **10-Year:** -94127.819397781630 | **30-Year:** -19874.885537171737

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000192062 | 1.18%                | 0.70%                | 0.46%                |
| Class ID C000192063 | 1.23%                | 0.68%                | 0.53%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1561963.22              | $7993559.53                                |
| Month 2  | $-1618809.20             | $5255592.63                                |
| Month 3  | $-748278.33              | $-1440552.37                               |

**Designated Index Information**

- **Index Name:** Absolute VaR

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Jackson National Asset Management, LLC                                           | JNL Government Money Market Fund - Class SL                                      | CUSIP: 46628D395<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     3974860 | NS      | $3974859.50   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       71097 | PA      | $274.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2681013 | PA      | $424.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      759779 | PA      | $8973.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | TR        |    40385883 | PA      | $9381.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       22641 | PA      | $-122.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | TR        |    41204180 | PA      | $29493.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      367043 | PA      | $-600.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      686813 | PA      | $-12395.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |     3413655 | PA      | $2862.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     1063934 | PA      | $-36581.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      367043 | PA      | $225.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | GB        |       38566 | PA      | $948.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       94628 | PA      | $879.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     5326903 | PA      | $37207.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      902534 | PA      | $-56585.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     3891051 | PA      | $45404.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    18194404 | PA      | $6059.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    37652452 | PA      | $25089.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       10062 | PA      | $-51.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    34376956 | PA      | $27507.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |    12861591 | PA      | $-2753.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | GB        |      868434 | PA      | $19990.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      675890 | PA      | $6281.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     7397395 | PA      | $90693.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    38125739 | PA      | $-495203.91   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       22877 | PA      | $-206.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      667659 | PA      | $-11347.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      935974 | PA      | $-41857.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           2 | PA      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |     4040075 | PA      | $3967.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1163871 | PA      | $40055.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    13215680 | PA      | $7484.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     4332305 | PA      | $-37746.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    17361054 | PA      | $11188.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | TR        |    15354592 | PA      | $9198.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      946314 | PA      | $26778.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      351879 | PA      | $2910.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1627826 | PA      | $39061.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2177934 | PA      | $-73760.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1541624 | PA      | $-31594.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    18543456 | PA      | $12106.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      535323 | PA      | $-21138.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      772493 | PA      | $14447.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      135168 | PA      | $1331.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | AU        |     1750000 | PA      | $4515.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       71097 | PA      | $-4.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     1226845 | PA      | $-14249.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    34990829 | PA      | $7144.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    82943687 | PA      | $-95201.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | MX        |    31401538 | PA      | $48767.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    20712295 | PA      | $13383.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     3672099 | PA      | $-14704.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2271959 | PA      | $-51217.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       98108 | PA      | $-544.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      162042 | PA      | $-727.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      734170 | PA      | $-1143.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |           2 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |    10264272 | PA      | $9992.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |     3720781 | PA      | $-4584.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1545383 | PA      | $-27835.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      770278 | PA      | $24438.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |   444600000 | PA      | $9231.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1078588 | PA      | $-99169.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       10997 | PA      | $-84.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  1599232785 | PA      | $-49245.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | COLOMBIAN PESO                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CO        |  2863608031 | PA      | $-1733.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1253655 | PA      | $21914.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     3198792 | PA      | $17826.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |         229 | PA      | $-4.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     3168346 | PA      | $-7784.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |    33105907 | PA      | $-787897.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    15931780 | PA      | $15109.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    81716658 | PA      | $78203.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | ZA        |    48968072 | PA      | $40638.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |           3 | PA      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      812231 | PA      | $3804.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1542919 | PA      | $-30299.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | ZA        |    36477421 | PA      | $30583.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    24873826 | PA      | $14754.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1626642 | PA      | $-35323.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      842335 | PA      | $-47532.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      684817 | PA      | $-34629.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    11506116 | PA      | $-30821.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      714971 | PA      | $-9413.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       83949 | PA      | $-379.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       15620 | PA      | $139.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2155172 | PA      | $22587.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      579829 | PA      | $-25754.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |           8 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      135168 | PA      | $1465.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | NEW ZEALAND DOLLAR                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | NZ        |     6246000 | PA      | $10598.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      238041 | PA      | $-933.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      303905 | PA      | $6179.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     4647160 | PA      | $-72496.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       40836 | PA      | $-1031.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1646000 | PA      | $26934.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |        7801 | PA      | $-256.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      367043 | PA      | $2116.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      759779 | PA      | $6299.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1730867 | PA      | $-91933.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |    13677183 | PA      | $12809.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       22868 | PA      | $-186.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | JP        |   346792287 | PA      | $-12116.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    32601966 | PA      | $30807.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     1535683 | PA      | $-32671.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    64170417 | PA      | $48136.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    16644624 | PA      | $16260.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |     8430370 | PA      | $27098.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     1287229 | PA      | $36425.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      840377 | PA      | $-277.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | ZA        |    32662834 | PA      | $27099.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    39275715 | PA      | $37457.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  1856767291 | PA      | $-66052.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      263729 | PA      | $-457.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    68456538 | PA      | $19781.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      621222 | PA      | $-6120.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      753390 | PA      | $2825.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      367043 | PA      | $-1056.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      249158 | PA      | $-829.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2185082 | PA      | $-66613.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | ZA        |    43430077 | PA      | $31244.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |      938168 | PA      | $283.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     2716612 | PA      | $-160553.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ID        |   780237459 | PA      | $67.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | BR        |     3720781 | PA      | $10963.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      920549 | PA      | $-31913.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -1 | NC      | $172.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        1899 | NC      | $-233276.37   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |         656 | NC      | $668576.63    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -129 | NC      | $133575.87    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -265 | NC      | $523298.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -27 | NC      | $90255.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -31 | NC      | $118911.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     5400000 | PA      | $3542579.81   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2500000 | PA      | $1744692.33   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8220000 | PA      | $-4461.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   127110000 | PA      | $-4566816.58  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  6580000000 | PA      | $2046027.42   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        | 12430000000 | PA      | $3003266.38   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    22200000 | PA      | $-261413.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   276000000 | PA      | $385326.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $-45518.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1230000 | PA      | $69151.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     1600000 | PA      | $-10636.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      600000 | PA      | $-4716.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      100000 | PA      | $-798.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      600000 | PA      | $-7155.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      300000 | PA      | $-3478.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      300000 | PA      | $-3515.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     8200000 | PA      | $-130399.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   569400000 | PA      | $277885.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   520000000 | PA      | $-33394.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   130000000 | PA      | $194100.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2700000 | PA      | $-55813.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     8200000 | PA      | $-131566.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    11200000 | PA      | $-126053.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     5400000 | PA      | $-63505.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $-95377.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     6470000 | PA      | $-205529.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5540000 | PA      | $12243.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    25380000 | PA      | $-1365599.21  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    15900000 | PA      | $9494.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3300000 | PA      | $-26050.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2500000 | PA      | $-79982.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1600000 | PA      | $-7522.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1600000 | PA      | $-18441.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1600000 | PA      | $-15669.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2460000 | PA      | $-15764.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    23200000 | PA      | $3163621.65   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2620000 | PA      | $-34635.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     9880000 | PA      | $296115.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4040000 | PA      | $-11477.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    13500000 | PA      | $155879.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    65870000 | PA      | $486495.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2820000 | PA      | $44819.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    24300000 | PA      | $3444321.90   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   107380000 | PA      | $-82403.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4500000 | PA      | $10481.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $-10319.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-217088.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2810000 | PA      | $-38796.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    33500000 | PA      | $3082814.36   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    35800000 | PA      | $232821.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2000000 | PA      | $219921.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1600000 | PA      | $7030.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    63690000 | PA      | $262250.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4500000 | PA      | $-48838.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     5800000 | PA      | $-74350.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    69000000 | PA      | $8875302.12   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    19903000 | PA      | $-636779.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    59600000 | PA      | $-4878388.11  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $1188762.49   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1000000 | PA      | $-60421.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $268223.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $-97502.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $45138.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     4300000 | PA      | $2267014.10   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    10460000 | PA      | $-797267.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    59100000 | PA      | $4873066.22   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $497078.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $456017.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $244483.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    14824000 | PA      | $-2048198.50  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $-199347.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-126491.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1980000 | PA      | $119567.82    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    11500000 | PA      | $276736.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3600000 | PA      | $447953.13    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    20600000 | PA      | $-407919.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $35973.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5900000 | PA      | $785936.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $248345.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    11500000 | PA      | $5832565.09   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     7200000 | PA      | $-370339.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     8300000 | PA      | $203147.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     6200000 | PA      | $156098.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $-249837.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2000000 | PA      | $-235339.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3400000 | PA      | $-78986.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $-165327.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1300000 | PA      | $-145682.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-123980.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    33200000 | PA      | $-624756.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    50900000 | PA      | $-987156.17   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $-80424.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      600000 | PA      | $331395.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3100000 | PA      | $-308175.06   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    33100000 | PA      | $3856578.32   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $95481.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $196954.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    12800000 | PA      | $-5751371.52  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5700000 | PA      | $77600.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4800000 | PA      | $1553603.01   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $487498.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2700000 | PA      | $164083.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    34000000 | PA      | $-778219.54   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3600000 | PA      | $-82996.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1630000 | PA      | $-42966.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    18400000 | PA      | $-442863.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    51190000 | PA      | $-1020926.48  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $13947.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8320000 | PA      | $220735.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8400000 | PA      | $-78129.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    12600000 | PA      | $34257.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4200000 | PA      | $28860.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2900000 | PA      | $-389140.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    18900000 | PA      | $-190532.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     7300000 | PA      | $-103914.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4000000 | PA      | $11281.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     6000000 | PA      | $16864.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     2000000 | PA      | $5595.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     1600000 | PA      | $4486.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    29400000 | PA      | $-426413.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $7460.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     2400000 | PA      | $6771.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4100000 | PA      | $11745.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    19000000 | PA      | $-192302.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4100000 | PA      | $11782.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4100000 | PA      | $11761.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    19200000 | PA      | $-196787.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    15600000 | PA      | $-230160.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    12100000 | PA      | $-133658.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     6100000 | PA      | $-66670.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     8400000 | PA      | $25055.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4300000 | PA      | $12786.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4200000 | PA      | $11816.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |    10200000 | PA      | $28633.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4300000 | PA      | $12130.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4200000 | PA      | $11633.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    17500000 | PA      | $-261886.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     2300000 | PA      | $6468.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     7700000 | PA      | $21560.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     9500000 | PA      | $-101595.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     4300000 | PA      | $-63251.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     7700000 | PA      | $21183.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1600000 | PA      | $58208.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4600000 | PA      | $32825.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $22406.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $36163.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4700000 | PA      | $117616.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $80100.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     3000000 | PA      | $86384.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $76219.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-40863.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-35068.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      800000 | PA      | $-41401.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $87138.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2800000 | PA      | $87376.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $75023.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $187601.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2400000 | PA      | $-95934.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3680000 | PA      | $18882.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     6120000 | PA      | $60770.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2400000 | PA      | $-59463.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    53380000 | PA      | $-255419.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    16930000 | PA      | $-82727.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5570000 | PA      | $15043.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     8380000 | PA      | $-15157.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    11230000 | PA      | $326512.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5530000 | PA      | $174953.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1300000 | PA      | $-15186.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-15006.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-758.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-11278.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-6269.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $4589.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2400000 | PA      | $13737.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-4292.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $-3228.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-4521.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-4473.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      400000 | PA      | $-2651.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      400000 | PA      | $-2554.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $6520.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      200000 | PA      | $-785.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $-1990.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      400000 | PA      | $-1654.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $-2559.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $-4979.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $-3693.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      400000 | PA      | $-4086.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-7214.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-2755.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      200000 | PA      | $-1951.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      500000 | PA      | $-5197.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $4702.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $2889.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3707.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3891.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $932.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $-2286.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3523.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3595.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3529.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      300000 | PA      | $-3759.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      200000 | PA      | $-2440.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $-5099.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1100000 | PA      | $3321.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4600000 | PA      | $56845.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     6800000 | PA      | $119213.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $42485.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $1075.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | AU        |    26300000 | PA      | $-517696.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  1640000000 | PA      | $569795.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $33862.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     7530000 | PA      | $-92416.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1000000 | PA      | $14900.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    22760000 | PA      | $-276468.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    19260000 | PA      | $-227442.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    11540000 | PA      | $-136539.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    26950000 | PA      | $-314013.23   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     3880000 | PA      | $-45076.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    26920000 | PA      | $-306993.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    23090000 | PA      | $-271110.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    11500000 | PA      | $-134992.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    20480000 | PA      | $-226746.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2500000 | PA      | $45593.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2400000 | PA      | $28602.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $63363.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $64091.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     3600000 | PA      | $53675.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1600000 | PA      | $-8852.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2400000 | PA      | $29190.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $68324.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | NZ        |     9300000 | PA      | $215156.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1800000 | PA      | $31803.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    95990000 | PA      | $162440.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      460000 | PA      | $5354.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      460000 | PA      | $-6504.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  3190000000 | PA      | $469419.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3300000 | PA      | $-68731.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4000000 | PA      | $-39794.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $-22380.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $19699.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $10516.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      270000 | PA      | $27817.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      680000 | PA      | $76654.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      990000 | PA      | $8169.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2400000 | PA      | $54177.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1070000 | PA      | $-5068.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1500000 | PA      | $-7275.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $52266.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4300000 | PA      | $50847.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1750000 | PA      | $5249.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $29500.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      410000 | PA      | $52193.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1010000 | PA      | $155934.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3140000 | PA      | $32869.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     4340000 | PA      | $12534.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2600000 | PA      | $48378.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $33732.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2700000 | PA      | $39188.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2400000 | PA      | $55368.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1200000 | PA      | $43207.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4800000 | PA      | $159389.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3700000 | PA      | $135693.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3700000 | PA      | $130996.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $-78711.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $-100520.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2500000 | PA      | $-64291.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5200000 | PA      | $-129812.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $-51634.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2800000 | PA      | $-112248.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     7600000 | PA      | $-123533.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    10400000 | PA      | $24944.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     7700000 | PA      | $18122.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    14900000 | PA      | $39123.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    12800000 | PA      | $33898.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     5000000 | PA      | $16732.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $27102.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1100000 | PA      | $9322.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1400000 | PA      | $-80260.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     5000000 | PA      | $16785.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4900000 | PA      | $16553.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4900000 | PA      | $16773.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4900000 | PA      | $17021.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4900000 | PA      | $17076.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |    14900000 | PA      | $52114.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     6900000 | PA      | $24401.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |    24900000 | PA      | $94865.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    39400000 | PA      | $103567.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $36991.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $88886.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $49644.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4900000 | PA      | $131361.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $-26898.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     6600000 | PA      | $100705.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1300000 | PA      | $-54985.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1670000 | PA      | $2859.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2570000 | PA      | $14773.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1620000 | PA      | $26586.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   382000000 | PA      | $207274.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | AU        |    46200000 | PA      | $-1262728.10  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1300000 | PA      | $-44172.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1300000 | PA      | $46211.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4500000 | PA      | $-4381.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    19000000 | PA      | $-6829.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    28900000 | PA      | $-19330.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    20500000 | PA      | $-8746.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    37800000 | PA      | $-8715.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    33644000 | PA      | $-324097.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |       60000 | PA      | $-994.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    20170000 | PA      | $35218.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    76500000 | PA      | $-728663.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2500000 | PA      | $-43677.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    21630000 | PA      | $1478127.99   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    60300000 | PA      | $620877.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1540000 | PA      | $-87697.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3260000 | PA      | $11319.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8510000 | PA      | $38880.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    10246800 | PA      | $42980.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2700000 | PA      | $41326.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    16600000 | PA      | $-35208.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    45400000 | PA      | $-101924.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    25313300 | PA      | $5270.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     7713000 | PA      | $127138.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    46390000 | PA      | $63525.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    11710000 | PA      | $14872.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    17670000 | PA      | $-80.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5850000 | PA      | $-26.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5250000 | PA      | $22992.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8850000 | PA      | $5278.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    14600000 | PA      | $42685.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5260000 | PA      | $40057.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2080000 | PA      | $15253.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     2200000 | PA      | $-203137.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1300000 | PA      | $-148437.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     3100000 | PA      | $-165969.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1400000 | PA      | $-77009.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1100000 | PA      | $-121497.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1600000 | PA      | $-167918.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     3100000 | PA      | $-268242.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     -700096 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   -36300000 | PA      | $105007.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    -7497130 | PA      | $43190.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   -79500000 | PA      | $409761.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | BR        |   -10600000 | PA      | $25391.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -4500000 | PA      | $-32611.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -9024000 | PA      | $-709194.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | BR        |    -7200000 | PA      | $17246.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |    -6500000 | PA      | $-136525.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    -7797015 | PA      | $44918.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -12236000 | PA      | $616356.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DCR              | CORP              | CO        |    -1000000 | PA      | $984.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -2688000 | PA      | $-60967.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |    -1300000 | PA      | $68658.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | ZA        |    -1200000 | PA      | $8462.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | CO        |     -300000 | PA      | $-324.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | CO        |     -300000 | PA      | $-324.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |    -1500000 | PA      | $167781.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | CO        |     -200000 | PA      | $-216.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1600000 | PA      | $148351.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -485000 | PA      | $33942.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | CO        |     -100000 | PA      | $-310.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -300000 | PA      | $22715.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -294000 | PA      | $13867.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3900000 | PA      | $62420.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3700000 | PA      | $90143.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -900000 | PA      | $16897.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3800000 | PA      | $200597.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -99000 | PA      | $1455.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1200000 | PA      | $49796.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1700000 | PA      | $50273.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -5300000 | PA      | $15353.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | IL        |     -800000 | PA      | $12629.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | IL        |     -200000 | PA      | $3157.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3500000 | PA      | $-20341.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | JP        |    -1200000 | PA      | $-3946.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -100000 | PA      | $3083.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1500000 | PA      | $7785.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -7800000 | PA      | $-18120.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | IL        |    -6400000 | PA      | $46368.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1100000 | PA      | $-40338.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3700000 | PA      | $-3235.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -25860000 | PA      | $7999.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1100000 | PA      | $12186.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | XX        |    -9770000 | PA      | $11678.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -40500000 | PA      | $-9237.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | TR        |     -600000 | PA      | $-27248.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | FR        |    -3900000 | PA      | $11822.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP INDEX                                                        | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | XX        |     -500000 | PA      | $116944.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | CREDIT DEFAULT SWAP INDEX                                                        | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DCR              | CORP              | XX        |    -3300000 | PA      | $771833.07    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | CREDIT DEFAULT SWAP INDEX                                                        | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | XX        |    -2400000 | PA      | $561333.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      -15955 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | MX        |    -1811920 | PA      | $-9010.13     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | MX        |     -864780 | PA      | $-4527.01     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          15 | NC      | $2794.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        3832 | NC      | $-608397.83   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -581 | NC      | $507417.10    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -97 | NC      | $40037.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          54 | NC      | $-28179.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                                   | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         404 | NC      | $50815.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    35600000 | PA      | $36547016.96  | 1.94%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS, Inc.                                                                      | CWMBS, Inc.                                                                      | CUSIP: 126694M96<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-MBS          | CORP              | US        |     2080461 | PA      | $1792865.39   | 0.09%             | 2046-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2090000 | PA      | $2031981.60   | 0.11%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KYYA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        2604 | PA      | $2557.74      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       25212 | PA      | $24258.76     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9200000 | PA      | $8678214.64   | 0.46%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XCGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     8381094 | PA      | $8059019.10   | 0.43%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192587.50    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006FF13                                      | First Franklin Mortgage Loan Trust 2006FF13                                      | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6244562 | PA      | $3964027.18   | 0.21%             | 2036-10-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KD6F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        9225 | PA      | $8885.07      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KPG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       75446 | PA      | $72334.51     | 0.00%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140NBPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     3714795 | PA      | $3784031.25   | 0.20%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                | IndyMac MBS, Inc.                                                                | CUSIP: 45660LKB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      839365 | PA      | $510774.82    | 0.03%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                      | Nationwide Building Society                                                      | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1001671.80   | 0.05%             | 2029-03-08      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      900000 | PA      | $886286.34    | 0.05%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Certificates, Series 2018-1                         | United Airlines Pass Through Certificates, Series 2018-1                         | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      715656 | PA      | $688997.71    | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      300000 | PA      | $281793.00    | 0.01%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     7254500 | PA      | $7218010.59   | 0.38%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Pryvatne Aktsionerne Tovarystvo Natsionalna Enerhetychna Kompaniia Ukrenerho     | Pryvatne Aktsionerne Tovarystvo Natsionalna Enerhetychna Kompaniia Ukrenerho     | CUSIP: N/A<br>LEI: 8945009LCLS92V4AK321       | Long             | DBT              | CORP              | US        |      400000 | PA      | $342000.00    | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      502000 | PA      | $147929.52    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $94753.91     | 0.01%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Windstream Holdings, Inc.                                                        | Windstream Holdings, Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       25421 | NS      | $171091.24    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    20000000 | PA      | $17664062.00  | 0.94%             | 2056-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust 2023-B                                                | CPS Auto Receivables Trust 2023-B                                                | CUSIP: 12664WAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      284235 | PA      | $286635.28    | 0.02%             | 2029-07-16      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385SL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     1800000 | PA      | $1794988.08   | 0.10%             | 2026-01-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140BGLE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      723317 | PA      | $760681.34    | 0.04%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                               | GLP Financing, LLC                                                               | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      268000 | PA      | $272613.51    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2025-4 Trust                                          | SoFi Consumer Loan Program 2025-4 Trust                                          | CUSIP: 83405UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7259393 | PA      | $7263790.74   | 0.38%             | 2035-08-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust                                                        | CUSIP: 83611MGJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7190368 | PA      | $6565269.31   | 0.35%             | 2035-08-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3300000 | PA      | $3298723.89   | 0.17%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     3900000 | PA      | $4772340.26   | 0.25%             | 2032-07-11      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |   116800000 | PA      | $2700806.11   | 0.14%             | 2028-05-17      | Fixed         | 42.56%                | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      380300 | PA      | $110287.00    | 0.01%             | 2038-03-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-21                                    | CWABS Asset-Backed Certificates Trust 2006-21                                    | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      496047 | PA      | $485959.21    | 0.03%             | 2035-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BBPP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      203374 | PA      | $180381.79    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Israel, State of                                                                 | Israel, State of                                                                 | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | US        |     1300000 | PA      | $1350867.70   | 0.07%             | 2035-02-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      975500 | PA      | $962758.31    | 0.05%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Credicorp Capital Sociedad Titularizada S.A.                                     | Credicorp Capital Sociedad Titularizada S.A.                                     | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1000000 | PA      | $319360.92    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1193842 | PA      | $1218331.09   | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140MNN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      675185 | PA      | $598853.83    | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        6589 | PA      | $6337.69      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust, Series 2007-3                                    | PHH Alternative Mortgage Trust, Series 2007-3                                    | CUSIP: 69337MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2233605 | PA      | $2188289.91   | 0.12%             | 2037-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust                                                        | CUSIP: 83611MCR7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2810352 | PA      | $2728238.14   | 0.14%             | 2035-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages 2006-1 PLC                                                     | Mansard Mortgages 2006-1 PLC                                                     | CUSIP: 56418MAE9<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |     2999335 | PA      | $3910391.03   | 0.21%             | 2048-10-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                         | Eurosail-UK 2007-3BL PLC                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |    11954214 | PA      | $14534499.00  | 0.77%             | 2045-06-13      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Presidencia de la Republica de Chile                                             | Presidencia de la Republica de Chile                                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   120000000 | PA      | $129287.82    | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |      600000 | PA      | $54600.00     | 0.00%             | 2049-01-17      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      363000 | PA      | $113437.50    | 0.01%             | 2028-05-07      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 02377BAB2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |      384940 | PA      | $378677.42    | 0.02%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                            | Banco Santander, S.A.                                                            | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1280815.56   | 0.07%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Cornell University                                                               | Cornell University                                                               | CUSIP: 219207AF4<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1104973.32   | 0.06%             | 2035-06-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Eagle Funding LuxCo S.a r.l.                                                     | Eagle Funding LuxCo S.a r.l.                                                     | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8960196.08   | 0.47%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       13263 | PA      | $12744.56     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2024-CES7                                                    | RCKT Mortgage Trust 2024-CES7                                                    | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      884978 | PA      | $887919.31    | 0.05%             | 2028-09-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      800000 | PA      | $656000.00    | 0.03%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CQ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      600000 | PA      | $619500.00    | 0.03%             | 2028-10-24      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27700000 | PA      | $28964021.12  | 1.53%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      901739 | PA      | $801642.86    | 0.04%             | 2047-04-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Westmoreland Coal Co                                                             | Westmoreland Coal Co                                                             | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       23057 | PA      | $8992.35      | 0.00%             | 2029-03-15      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| AMSURG LLC                                                                       | AMSURG LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     2635202 | PA      | $2635201.58   | 0.14%             | 2026-07-20      | Floating      | 11.86%                | No            |                  3 | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1786257.15   | 0.09%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Mercury Aggregator LP                                                            | Mercury Aggregator LP                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      311500 | PA      | $16379.21     | 0.00%             | 2026-04-03      | Floating      | 19.00%                | No            |                  3 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |      300000 | PA      | $69600.00     | 0.00%             | 2037-04-12      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      733664 | PA      | $707074.67    | 0.04%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385TA4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      600000 | PA      | $597509.40    | 0.03%             | 2026-02-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X6S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     3005102 | PA      | $2707627.25   | 0.14%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2022-C                                          | SMB Private Education Loan Trust 2022-C                                          | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1657554 | PA      | $1681248.72   | 0.09%             | 2050-05-16      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     5600000 | PA      | $5578493.76   | 0.30%             | 2026-02-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3600000 | PA      | $3073950.33   | 0.16%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    80500000 | PA      | $4511526.67   | 0.24%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Syniverse Holdings, Inc.                                                         | Syniverse Holdings, Inc.                                                         | CUSIP: 87168TAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1484880 | PA      | $1426019.39   | 0.08%             | 2027-05-06      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                                              | Ameriquest Mortgage Securities Inc.                                              | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4660000 | PA      | $4335817.31   | 0.23%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3887851.22   | 0.21%             | 2029-01-21      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     6480000 | PA      | $6467639.40   | 0.34%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-AR2                                                | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: 23332UBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      968306 | PA      | $878473.91    | 0.05%             | 2045-01-19      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3131Y2FK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        8731 | PA      | $8353.70      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132AEPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       76554 | PA      | $73636.35     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385TQ9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     1200000 | PA      | $1193364.00   | 0.06%             | 2026-02-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      655619 | PA      | $668344.59    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Marex Group PLC                                                                  | Marex Group PLC                                                                  | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | US        |      300000 | PA      | $311337.90    | 0.02%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S4 Trust                                                       | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      588462 | PA      | $492919.12    | 0.03%             | 2037-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    36400000 | PA      | $34500375.00  | 1.83%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667GNJ8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |     1712179 | PA      | $1676314.03   | 0.09%             | 2035-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust, Series 2006-NC3                                  | Carrington Mortgage Loan Trust, Series 2006-NC3                                  | CUSIP: 144528AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7130000 | PA      | $5802438.21   | 0.31%             | 2036-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3157766.70   | 0.17%             | 2029-09-22      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     5805809 | PA      | $320985.17    | 0.02%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |     6400000 | PA      | $4480000.00   | 0.24%             | 2029-01-27      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QBJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      235508 | PA      | $226457.36    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust, Series 2007-1                                   | Novastar Mortgage Funding Trust, Series 2007-1                                   | CUSIP: 669971AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    34947792 | PA      | $10771943.96  | 0.57%             | 2037-03-25      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| People's Choice Home Loan Securities Trust Series 2005-3                         | People's Choice Home Loan Securities Trust Series 2005-3                         | CUSIP: 71085PCT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      276707 | PA      | $274752.44    | 0.01%             | 2035-08-25      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                  | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1788474.06   | 0.09%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     2400000 | PA      | $707232.75    | 0.04%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |     1332000 | PA      | $359640.00    | 0.02%             | 2034-12-31      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Arab Republic of Egypt                                                           | Arab Republic of Egypt                                                           | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |   208400000 | PA      | $4352174.92   | 0.23%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust 2006-2                                            | Accredited Mortgage Loan Trust 2006-2                                            | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1184241 | PA      | $1179618.39   | 0.06%             | 2036-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      308040 | PA      | $298860.41    | 0.02%             | 2030-10-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: —       |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1750069.04   | 0.09%             | 2029-10-19      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QB2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      214653 | PA      | $206403.91    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QS7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     6535804 | PA      | $6653534.06   | 0.35%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      114120 | PA      | $109806.24    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 14, Ltd.                                                | Anchorage Credit Funding 14, Ltd.                                                | CUSIP: 033295AA4<br>LEI: 5493004401VVOEJOJK67 | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $950109.00    | 0.05%             | 2040-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     4209730 | PA      | $2904713.72   | 0.15%             | 2041-07-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      700000 | PA      | $644251.93    | 0.03%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                    | Enbridge Inc.                                                                    | CUSIP: 29250NCN3<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | US        |      700000 | PA      | $699333.60    | 0.04%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        6077 | PA      | $5843.47      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140W1DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     2814899 | PA      | $2957887.21   | 0.16%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        7478 | PA      | $7345.03      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      800000 | PA      | $836000.00    | 0.04%             | 2030-07-17      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $233371.91    | 0.01%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    33800000 | PA      | $34214577.28  | 1.81%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LuxCo 3                                                                          | LuxCo 3                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | LU        |       21155 | NS      | $372920.34    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2006-AR9                                           | Citigroup Mortgage Loan Trust 2006-AR9                                           | CUSIP: 17310RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2134229 | PA      | $2238225.50   | 0.12%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                             | Clear Channel Outdoor Holdings, Inc.                                             | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      515136 | NS      | $1138450.56   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4500000 | PA      | $4489088.40   | 0.24%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385XS0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      450000 | PA      | $443240.06    | 0.02%             | 2026-06-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2016-JP4                              | JPMCC Commercial Mortgage Securities Trust 2016-JP4                              | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600000 | PA      | $2583516.78   | 0.14%             | 2026-11-18      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2021-L7                                           | Morgan Stanley Capital I Trust 2021-L7                                           | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2929000 | PA      | $2643464.97   | 0.14%             | 2038-12-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10300000 | PA      | $10288332.16  | 0.55%             | 2026-01-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |      400000 | PA      | $36400.00     | 0.00%             | 2026-01-31      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KG4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      196103 | PA      | $188444.80    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        2557 | PA      | $2474.92      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      660147 | PA      | $585722.19    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                  | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |      800000 | PA      | $809836.24    | 0.04%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2005-4                                    | Structured Asset Investment Loan Trust 2005-4                                    | CUSIP: 86358EJF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2835204 | PA      | $2740746.29   | 0.15%             | 2034-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11900000 | PA      | $11467695.61  | 0.61%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    47500000 | PA      | $2541234.04   | 0.13%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Departamento Administrativo De La Presidencia De La Republica                    | Departamento Administrativo De La Presidencia De La Republica                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |      600000 | PA      | $675392.13    | 0.04%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-9T1                                                  | Alternative Loan Trust 2006-9T1                                                  | CUSIP: 12668BBN2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      579058 | PA      | $496626.14    | 0.03%             | 2036-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      847196 | PA      | $806802.93    | 0.04%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2024-3                                                  | Octane Receivables Trust 2024-3                                                  | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2882001 | PA      | $2898770.68   | 0.15%             | 2027-08-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $966659.02    | 0.05%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     7000000 | PA      | $6992449.80   | 0.37%             | 2026-01-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      770000 | PA      | $729695.27    | 0.04%             | 2027-11-30      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     3314000 | PA      | $1028321.06   | 0.05%             | 2037-08-12      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Mercury Aggregator LP                                                            | Mercury Aggregator LP                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      578269 | PA      | $30406.39     | 0.00%             | 2026-04-03      | Floating      | 19.00%                | No            |                  3 | On Loan: No      |
| Altice France S.A.                                                               | Altice France S.A.                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     1000000 | PA      | $998540.00    | 0.05%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      500000 | PA      | $11730.58     | 0.00%             | 2026-08-19      | Fixed         | 42.56%                | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     7500000 | PA      | $174560.83    | 0.01%             | 2028-09-06      | Fixed         | 41.72%                | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      400000 | PA      | $106470.26    | 0.01%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       20922 | PA      | $20640.85     | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2013-2                                             | Citigroup Mortgage Loan Trust 2013-2                                             | CUSIP: 17319UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850472 | PA      | $1695259.78   | 0.09%             | 2037-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14000000 | PA      | $14470257.20  | 0.77%             | 2056-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross 2023-H1 Mortgage Trust                                                     | Cross 2023-H1 Mortgage Trust                                                     | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3947461 | PA      | $3968910.80   | 0.21%             | 2068-03-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1545031 | PA      | $1477449.03   | 0.08%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       90000 | PA      | $95557.54     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KHPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1126120 | PA      | $1085307.95   | 0.06%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140M8HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      224697 | PA      | $215149.69    | 0.01%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    14262086 | PA      | $14821513.76  | 0.79%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4VM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       32612 | PA      | $31359.08     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2007944.80   | 0.11%             | 2030-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31426LPZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      997566 | PA      | $1051559.73   | 0.06%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                     | MASTR Asset Backed Securities Trust 2006-AM1                                     | CUSIP: 57643LMP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7828101 | PA      | $4406136.78   | 0.23%             | 2035-11-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| Panama Infrastructure Receivable Purchaser PLC                                   | Panama Infrastructure Receivable Purchaser PLC                                   | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | US        |     6449000 | PA      | $5003261.25   | 0.27%             | 2032-04-05      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust 2006-3                                        | Renaissance Home Equity Loan Trust 2006-3                                        | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19851207 | PA      | $5973150.74   | 0.32%             | 2036-11-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3000000 | PA      | $2719921.80   | 0.14%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      210000 | PA      | $198556.64    | 0.01%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   119900000 | PA      | $7554816.46   | 0.40%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      300086 | PA      | $277900.60    | 0.01%             | 2030-01-04      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2700000 | PA      | $1967530.32   | 0.10%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       24400 | NS      | $171043.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F062630<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   166200000 | PA      | $172646731.80 | 9.15%             | 2056-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 023770AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     1422258 | PA      | $1394205.06   | 0.07%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        9226 | PA      | $8871.66      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       18142 | PA      | $17411.27     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HPMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       31160 | PA      | $29982.13     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     3086290 | PA      | $2890089.15   | 0.15%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22300000 | PA      | $21529954.24  | 1.14%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13006000 | PA      | $15958043.09  | 0.85%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5100000 | PA      | $6887636.66   | 0.36%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |      500000 | PA      | $117500.00    | 0.01%             | 2026-11-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XRH8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |     2223970 | PA      | $2153259.50   | 0.11%             | 2035-02-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14270000 | PA      | $12971207.39  | 0.69%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14400000 | PA      | $14017995.36  | 0.74%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        1966 | PA      | $1930.77      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                 | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DNF6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |     2992862 | PA      | $2774210.34   | 0.15%             | 2034-08-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables 2024-4 Owner Trust                                        | Honda Auto Receivables 2024-4 Owner Trust                                        | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7900000 | PA      | $7943839.47   | 0.42%             | 2028-01-18      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust 2024-2                                        | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4600000 | PA      | $4630952.02   | 0.25%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                                            | Rio Oil Finance Trust                                                            | CUSIP: 76716XAC6<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |      118750 | PA      | $122430.06    | 0.01%             | 2028-04-06      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2024-D                                          | SMB Private Education Loan Trust 2024-D                                          | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3215988 | PA      | $3190123.94   | 0.17%             | 2053-07-05      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     1200000 | PA      | $1189689.36   | 0.06%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17400000 | PA      | $16455914.28  | 0.87%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5400000 | PA      | $6374603.93   | 0.34%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BTZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      172872 | PA      | $176039.92    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XEBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      205736 | PA      | $196737.23    | 0.01%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      209759 | PA      | $215989.82    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Corporation                                                    | Meritage Mortgage Corporation                                                    | CUSIP: 59001FBF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2197814 | PA      | $2169604.26   | 0.11%             | 2035-01-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| METAL 2017-1 LLC                                                                 | METAL 2017-1 LLC                                                                 | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      868453 | PA      | $608003.77    | 0.03%             | 2042-10-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    12600000 | PA      | $778494.27    | 0.04%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667GZ30<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      175354 | PA      | $155814.85    | 0.01%             | 2035-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90746.53     | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     2913553 | PA      | $2799767.58   | 0.15%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       10925 | PA      | $10730.04     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust 2006-AR21                                       | IndyMac INDX Mortgage Loan Trust 2006-AR21                                       | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2028577 | PA      | $1315866.72   | 0.07%             | 2036-06-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | Morgan Stanley & Co. LLC                                                         | CUSIP: 61768HAW6<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $1679144.06   | 0.09%             | 2029-02-16      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     7889000 | PA      | $7866252.86   | 0.42%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2024-CES5                                                    | RCKT Mortgage Trust 2024-CES5                                                    | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3708860 | PA      | $3750650.30   | 0.20%             | 2028-07-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVIII, Ltd                                                      | Sound Point CLO XXVIII, Ltd                                                      | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8990983 | PA      | $8998121.50   | 0.48%             | 2032-01-26      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3096780.00   | 0.16%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    84400000 | PA      | $84189000.00  | 4.46%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 13, Ltd.                                                | Anchorage Credit Funding 13, Ltd.                                                | CUSIP: 03290AAA8<br>LEI: 549300N5JCR10GGBIT41 | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $954222.00    | 0.05%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Beignet Investments, LLC                                                         | Beignet Investments, LLC                                                         | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    32980000 | PA      | $34917057.21  | 1.85%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Encore Credit Receivables Trust                                                  | Encore Credit Receivables Trust                                                  | CUSIP: 29256PBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8175000 | PA      | $7438986.77   | 0.39%             | 2036-01-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QC66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      113770 | PA      | $109753.46    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667G2G7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      573821 | PA      | $415638.16    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QGCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       71079 | PA      | $68125.62     | 0.00%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385UU8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     4400000 | PA      | $4363553.48   | 0.23%             | 2026-03-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                          | Home Equity Asset Trust                                                          | CUSIP: 437084CZ7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-CBDO         | CORP              | US        |      629368 | PA      | $623961.58    | 0.03%             | 2034-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                    | CUSIP: 366651AK3<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      700000 | PA      | $700499.10    | 0.04%             | 2035-11-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-RPL3                                    | New Residential Mortgage Loan Trust 2019-RPL3                                    | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1401976.05   | 0.07%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       77285 | PA      | $74484.30     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HJZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      429300 | PA      | $411594.90    | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates, WaMu Series 200X-HEX Trust          | Washington Mutual Asset-Backed Certificates, WaMu Series 200X-HEX Trust          | CUSIP: 542514MG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      471979 | PA      | $512402.03    | 0.03%             | 2045-06-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      500000 | PA      | $497955.70    | 0.03%             | 2026-02-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                               | Republic of Panama                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |     3900000 | PA      | $4628945.28   | 0.25%             | 2027-04-01      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: N/A<br>LEI: 549300V3NU625PJUVA84       | Long             | EC               | CORP              | US        |      130492 | NS      | $879439.09    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-20                                    | CWABS Asset-Backed Certificates Trust 2006-20                                    | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12688962 | PA      | $11539879.00  | 0.61%             | 2035-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2579459.70   | 0.14%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140Q9T94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       75875 | PA      | $73006.84     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust, Series 2007-15N                                                 | Lehman XS Trust, Series 2007-15N                                                 | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1819965 | PA      | $1724068.01   | 0.09%             | 2047-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | US        |     2800000 | PA      | $1890000.00   | 0.10%             | 2042-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation Mortgage Loan Trust 2007-OSI             | Structured Asset Securities Corporation Mortgage Loan Trust 2007-OSI             | CUSIP: 863619AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11693401 | PA      | $7751860.80   | 0.41%             | 2037-06-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      330000 | PA      | $311953.13    | 0.02%             | 2027-12-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                               | Venture Global Calcasieu Pass, LLC                                               | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $1971800.67   | 0.10%             | 2029-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      200000 | PA      | $207168.00    | 0.01%             | 2029-02-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: N/A<br>LEI: 5493001ZMCICV4N02J21       | Long             | DBT              | CORP              | LU        |      308040 | PA      | $358623.83    | 0.02%             | 2029-11-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Bombardier Capital Inc.                                                          | Bombardier Capital Inc.                                                          | CUSIP: 09774XBF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6295807 | PA      | $338349.88    | 0.02%             | 2029-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2022-B                                          | SMB Private Education Loan Trust 2022-B                                          | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1741708 | PA      | $1749310.03   | 0.09%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91327BAA8<br>LEI: 549300V3NU625PJUVA84 | Long             | DBT              | CORP              | US        |      507000 | PA      | $487602.18    | 0.03%             | 2029-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC                                       | Avis Budget Rental Car Funding (AESOP) LLC                                       | CUSIP: 05377RJG0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |      790000 | PA      | $802383.57    | 0.04%             | 2027-10-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                   | Alternative Loan Trust 2005-45                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1181563 | PA      | $1123518.24   | 0.06%             | 2035-11-20      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Carval                                                                           | Carval                                                                           | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8350214 | PA      | $8356417.91   | 0.44%             | 2031-07-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3067000 | PA      | $3020487.10   | 0.16%             | 2027-11-02      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |     2800000 | PA      | $2782500.00   | 0.15%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      400000 | PA      | $395443.76    | 0.02%             | 2026-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    39000000 | PA      | $2007060.72   | 0.11%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     1000000 | PA      | $327463.93    | 0.02%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Lealand Finance Company B.V.                                                     | Lealand Finance Company B.V.                                                     | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       76529 | PA      | $58799.84     | 0.00%             | 2027-12-31      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |      600000 | PA      | $406254.00    | 0.02%             | 2043-09-16      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust                                              | Aegis Asset Backed Securities Trust                                              | CUSIP: 00764MBD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3351124 | PA      | $3290954.46   | 0.17%             | 2034-04-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8                  | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8                  | CUSIP: 1248P1AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4442898 | PA      | $3845254.99   | 0.20%             | 2036-10-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A             | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A             | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83149 | PA      | $79927.91     | 0.00%             | 2035-01-25      | Floating      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3000000 | PA      | $3028956.90   | 0.16%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2590000 | PA      | $2517890.52   | 0.13%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385XG6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     1600000 | PA      | $1577475.52   | 0.08%             | 2026-05-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JNRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       82478 | PA      | $79334.18     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC                                       | Avis Budget Rental Car Funding (AESOP) LLC                                       | CUSIP: 05377RGU2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $151819.38    | 0.01%             | 2027-02-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust                                                    | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1308843 | PA      | $1317349.99   | 0.07%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                              | CommonSpirit Health                                                              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |      400000 | PA      | $395711.12    | 0.02%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132ACYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       11296 | PA      | $10868.74     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XXV, Limited                                                           | Magnetite XXV, Limited                                                           | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | US        |     1400658 | PA      | $1401139.89   | 0.07%             | 2032-01-26      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                               | Specialty Underwriting & Residential Finance Trust                               | CUSIP: 84751VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15068555 | PA      | $7785949.40   | 0.41%             | 2037-06-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385US3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     3500000 | PA      | $3471674.85   | 0.18%             | 2026-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        3210 | PA      | $3101.56      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140Y6VF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     2478368 | PA      | $2607747.19   | 0.14%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2005-4                                    | Structured Asset Investment Loan Trust 2005-4                                    | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      774164 | PA      | $748024.14    | 0.04%             | 2035-07-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11400000 | PA      | $11994911.66  | 0.64%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust       | Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust       | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2313734 | PA      | $2126614.39   | 0.11%             | 2035-09-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Presidencia de la Republica de Chile                                             | Presidencia de la Republica de Chile                                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   645000000 | PA      | $732749.84    | 0.04%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                              | Newgate Funding PLC                                                              | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |     2133921 | PA      | $2820110.57   | 0.15%             | 2050-12-15      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Lealand Finance Company B.V.                                                     | Lealand Finance Company B.V.                                                     | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       21020 | PA      | $17446.23     | 0.00%             | 2027-06-30      | Floating      | 7.03%                 | No            |                  3 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      109766 | PA      | $78208.30     | 0.00%             | 2046-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                  | Avolon Holdings Funding Limited                                                  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |      984000 | PA      | $954454.12    | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2021-RISE                                                               | BX Trust 2021-RISE                                                               | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      773476 | PA      | $772766.08    | 0.04%             | 2036-11-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      113235 | PA      | $108742.18    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      686283 | PA      | $659910.09    | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      105867 | PA      | $101665.89    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      600000 | PA      | $629875.98    | 0.03%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9403439 | PA      | $8462391.13   | 0.45%             | 2037-12-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Ministerio De Hacienda Y Credito Publico                                         | Ministerio De Hacienda Y Credito Publico                                         | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 17005600000 | PA      | $4728464.52   | 0.25%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      900000 | PA      | $281250.00    | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | Yes           |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      144020 | PA      | $137359.08    | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KGKJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      248808 | PA      | $239246.81    | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K3AY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       55620 | PA      | $53412.96     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QC6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        8353 | PA      | $8006.14      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                 | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |     2965591 | PA      | $2683702.45   | 0.14%             | 2034-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HITR 2019-2A A1 144A 3MLIB+176BP                                                 | HITR 2019-2A A1 144A 3MLIB+176BP                                                 | CUSIP: 43133JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8558669 | PA      | $8518665.83   | 0.45%             | 2039-05-23      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp Mortgage Loan Trust                             | Structured Asset Securities Corp Mortgage Loan Trust                             | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15427702 | PA      | $12205118.90  | 0.65%             | 2037-05-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      563107 | PA      | $565406.28    | 0.03%             | 2039-09-30      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    31100000 | PA      | $31017429.50  | 1.64%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Stichting AK Rabobank Certificaten II                                            | Stichting AK Rabobank Certificaten II                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |     2701150 | PA      | $3567222.39   | 0.19%             | 2500-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Departamento Administrativo De La Presidencia De La Republica                    | Departamento Administrativo De La Presidencia De La Republica                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |     1000000 | PA      | $1137182.27   | 0.06%             | 2038-11-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                       | CSMC Mortgage-Backed Trust                                                       | CUSIP: 12642JEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237391 | PA      | $234714.99    | 0.01%             | 2036-08-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7210000 | PA      | $6710228.97   | 0.36%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Presidencia de la Republica de Chile                                             | Presidencia de la Republica de Chile                                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   315000000 | PA      | $342760.11    | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3541359 | PA      | $3010155.32   | 0.16%             | 2030-07-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3719523 | PA      | $2891929.14   | 0.15%             | 2038-01-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2009-RR13-II Trust                                                      | BCAP LLC 2009-RR13-II Trust                                                      | CUSIP: 05532KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3486604 | PA      | $1523561.73   | 0.08%             | 2037-04-26      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 1266732M3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3668875.60   | 0.19%             | 2035-08-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA17                                                 | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1156929 | PA      | $1058124.10   | 0.06%             | 2046-12-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2006-17                                          | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1186859 | PA      | $499262.39    | 0.03%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gobierno de la Republica de Costa Rica                                           | Gobierno de la Republica de Costa Rica                                           | CUSIP: 221597CY1<br>LEI: 549300DYYS8QPMR8OP36 | Long             | DBT              | NUSS              | CR        |     1500000 | PA      | $1786985.60   | 0.09%             | 2030-11-21      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      829471 | PA      | $862006.78    | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust 2006-A6                                       | J.P. Morgan Alternative Loan Trust 2006-A6                                       | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      757399 | PA      | $703704.09    | 0.04%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                                 | JNL Government Money Market Fund                                                 | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     4394029 | NS      | $4394028.64   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      216000 | PA      | $215979.39    | 0.01%             | 2026-01-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    12300000 | PA      | $12278136.75  | 0.65%             | 2026-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Jane Street Group, LLC                                                           | Jane Street Group, LLC                                                           | CUSIP: 47077DAM2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       46307 | PA      | $46054.84     | 0.00%             | 2031-12-10      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2700000 | PA      | $3326900.68   | 0.18%             | 2034-09-10      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Flora Food Management B.V.                                                       | Flora Food Management B.V.                                                       | CUSIP: N/A<br>LEI: 2549002VGA888UKFKS25       | Long             | DBT              | CORP              | NL        |     1100000 | PA      | $1285584.17   | 0.07%             | 2029-07-02      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    22400000 | PA      | $23126160.96  | 1.23%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                    | Enbridge Inc.                                                                    | CUSIP: 29250NCP8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | US        |      500000 | PA      | $504139.95    | 0.03%             | 2035-11-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      457616 | PA      | $437456.27    | 0.02%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      170089 | PA      | $166757.89    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KKHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      166978 | PA      | $160248.42    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JG6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       84056 | PA      | $80484.84     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      784794 | PA      | $754144.77    | 0.04%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2450000 | PA      | $2468627.68   | 0.13%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     1100000 | PA      | $325800.10    | 0.02%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |      400000 | PA      | $36400.00     | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K8NL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1357673 | PA      | $1302953.89   | 0.07%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X6S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      306199 | PA      | $287307.87    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-E                                                   | Fremont Home Loan Trust 2006-E                                                   | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12522452 | PA      | $6235666.21   | 0.33%             | 2037-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      124483 | NS      | $517849.28    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Saxon Asset Securities Trust 2004-3                                              | Saxon Asset Securities Trust 2004-3                                              | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      225429 | PA      | $191639.71    | 0.01%             | 2035-03-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US Inc.                                                       | Stellantis Finance US Inc.                                                       | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |      700000 | PA      | $722281.00    | 0.04%             | 2030-03-18      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797PD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    13200000 | PA      | $13173746.52  | 0.70%             | 2026-01-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      200000 | PA      | $198813.34    | 0.01%             | 2026-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19500000 | PA      | $20331786.01  | 1.08%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates WaMu Series 2007-HE2 Trust           | Washington Mutual Asset-Backed Certificates WaMu Series 2007-HE2 Trust           | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    34638851 | PA      | $11859861.20  | 0.63%             | 2037-04-25      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| Departamento Administrativo De La Presidencia De La Republica                    | Departamento Administrativo De La Presidencia De La Republica                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |      700000 | PA      | $770402.35    | 0.04%             | 2036-02-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Windstream Holdings, Inc.                                                        | Windstream Holdings, Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |         832 | NS      | $827423.17    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |     5400000 | PA      | $0.05         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| Banco Santander, S.A.                                                            | Banco Santander, S.A.                                                            | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1530905.40   | 0.08%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1268452.92   | 0.07%             | 2029-09-13      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JG5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       87686 | PA      | $83932.36     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      205016 | PA      | $195920.08    | 0.01%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      429283 | PA      | $420876.61    | 0.02%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables 2024-4 Owner Trust                                        | Honda Auto Receivables 2024-4 Owner Trust                                        | CUSIP: 43816DAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2366747 | PA      | $2369699.41   | 0.13%             | 2026-04-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Company LLC                                              | Nissan Motor Acceptance Company LLC                                              | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2583750.00   | 0.14%             | 2027-09-13      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $316027.27    | 0.02%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2631000 | PA      | $3372781.71   | 0.18%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    24000000 | PA      | $7922941.89   | 0.42%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| WestMet Group Holdings                                                           | WestMet Group Holdings                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        2400 | NS      | $1500.19      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       38995 | PA      | $37508.39     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $448482.49    | 0.02%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CommonBond Student Loan Trust 2020-A-GS                                          | CommonBond Student Loan Trust 2020-A-GS                                          | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2254010 | PA      | $2025882.57   | 0.11%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Seasoned Mortgage Trust 2024-1                                       | J.P. Morgan Seasoned Mortgage Trust 2024-1                                       | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      897159 | PA      | $863475.39    | 0.05%             | 2046-04-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1             | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1             | CUSIP: 251510HY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5232834 | PA      | $2264131.98   | 0.12%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                             | Spirit Airlines, LLC                                                             | CUSIP: 84858WAA4<br>LEI: 549300DCAFIXFNFR3304 | Long             | ABS-CBDO         | CORP              | US        |      240122 | PA      | $210211.17    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mr. Cooper Group Inc.                                                            | Mr. Cooper Group Inc.                                                            | CUSIP: 93936RAA2<br>LEI: 549300KD8C6DPXYC2M26 | Long             | ABS-MBS          | CORP              | US        |     1367890 | PA      | $1162671.30   | 0.06%             | 2047-05-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     3814771 | PA      | $3661021.68   | 0.19%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      360714 | PA      | $360509.46    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gaz Capital S.A.                                                                 | Gaz Capital S.A.                                                                 | CUSIP: N/A<br>LEI: 213800568PRHV2JR9650       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $680000.00    | 0.04%             | 2027-03-23      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| SVF II Finco Cayman LP                                                           | SVF II Finco Cayman LP                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     2698918 | PA      | $2714220.82   | 0.14%             | 2029-04-25      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| Nelnet Student Loan Trust 2023-A                                                 | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1716306 | PA      | $1792772.51   | 0.09%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2022-B                                          | SMB Private Education Loan Trust 2022-B                                          | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1741708 | PA      | $1706565.20   | 0.09%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     2187000 | PA      | $2185722.35   | 0.12%             | 2026-01-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133A7QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     2655103 | PA      | $2546432.69   | 0.13%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2024-VIS1                                             | J.P. Morgan Mortgage Trust 2024-VIS1                                             | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3797136 | PA      | $3836086.68   | 0.20%             | 2054-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust 2023-3                                  | Research-Driven Pagaya Motor Asset Trust 2023-3                                  | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2201222 | PA      | $2205478.78   | 0.12%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     7900000 | PA      | $7851768.13   | 0.42%             | 2026-03-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      100000 | PA      | $99753.82     | 0.01%             | 2026-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WSTN Trust                                                                       | WSTN Trust                                                                       | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $815033.44    | 0.04%             | 2039-09-08      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    37800000 | PA      | $2269749.16   | 0.12%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    16300000 | PA      | $15895683.39  | 0.84%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                             | Edison International                                                             | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3597061.32   | 0.19%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    38787853 | PA      | $39991455.73  | 2.12%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385VG8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      450000 | PA      | $445732.65    | 0.02%             | 2026-04-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133C2SZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      738282 | PA      | $723824.19    | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KYXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      171258 | PA      | $168369.60    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KNHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       57470 | PA      | $55225.43     | 0.00%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC                                         | Securitized Asset Backed Receivables LLC                                         | CUSIP: 81375WEV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      818046 | PA      | $733802.69    | 0.04%             | 2035-04-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      857000 | PA      | $867043.01    | 0.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Presidencia da Republica                                                         | Presidencia da Republica                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |   140400000 | PA      | $24769892.09  | 1.31%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                                  | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HWT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191478 | PA      | $190773.27    | 0.01%             | 2035-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Trust 2007-1                                          | Ellington Loan Acquisition Trust 2007-1                                          | CUSIP: 288542AF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    28000000 | PA      | $24279788.40  | 1.29%             | 2037-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     4062237 | PA      | $3906130.26   | 0.21%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132ADWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        9024 | PA      | $8683.23      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385UM6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |    70825000 | PA      | $70286312.13  | 3.72%             | 2026-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                     | MASTR Asset Backed Securities Trust 2006-AM1                                     | CUSIP: 57643LKD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2827578 | PA      | $2952973.58   | 0.16%             | 2035-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2025-C                                                 | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4587134 | PA      | $4575092.77   | 0.24%             | 2036-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8166000 | PA      | $10371364.18  | 0.55%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Ministerio De Hacienda Y Credito Publico                                         | Ministerio De Hacienda Y Credito Publico                                         | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 16863500000 | PA      | $4343078.22   | 0.23%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2200000 | PA      | $2691727.41   | 0.14%             | 2039-07-11      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Ministerio De Hacienda Y Credito Publico                                         | Ministerio De Hacienda Y Credito Publico                                         | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 16046000000 | PA      | $4131092.53   | 0.22%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CSMC Series 2009-5R                                                              | CSMC Series 2009-5R                                                              | CUSIP: 12641TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1629564 | PA      | $1294129.75   | 0.07%             | 2036-06-26      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140NH5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       68166 | PA      | $67193.19     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       86562 | PA      | $83262.81     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6434000 | PA      | $2063552.69   | 0.11%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1043751.00   | 0.06%             | 2031-01-14      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2140000 | PA      | $2137635.09   | 0.11%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      594584 | PA      | $570992.10    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K8YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       13642 | PA      | $13100.71     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      622722 | PA      | $595288.91    | 0.03%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Funding, LLC                                                             | Navient Funding, LLC                                                             | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-CBDO         | CORP              | US        |      850802 | PA      | $831332.79    | 0.04%             | 2039-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Preferred Residential Securities 05-2 PLC                                        | Preferred Residential Securities 05-2 PLC                                        | CUSIP: N/A<br>LEI: 213800GE8EY4CRT3E125       | Long             | ABS-MBS          | CORP              | GB        |      340965 | PA      | $458919.78    | 0.02%             | 2040-12-15      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1420000 | PA      | $1732898.67   | 0.09%             | 2031-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Westmoreland Coal Company                                                        | Westmoreland Coal Company                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         762 | NS      | $333.76       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |     1859000 | PA      | $515872.50    | 0.03%             | 2049-05-07      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |     2800000 | PA      | $1890000.00   | 0.10%             | 2042-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $976823.60    | 0.05%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F062622<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    71355000 | PA      | $74156240.32  | 3.93%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673QJ4<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     2450000 | PA      | $2147109.20   | 0.11%             | 2034-11-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2004-24CB                                                 | Alternative Loan Trust 2004-24CB                                                 | CUSIP: 12667FPE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1561887 | PA      | $1553708.51   | 0.08%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2022-4                                        | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8441930 | PA      | $8423194.61   | 0.45%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      280370 | PA      | $268982.80    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385RP3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     1300000 | PA      | $1299113.01   | 0.07%             | 2026-01-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QFWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       39608 | PA      | $38259.68     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4M60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        4355 | PA      | $4170.17      | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XCHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       79487 | PA      | $76482.22     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       59261 | PA      | $56909.43     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3177080.32   | 0.17%             | 2027-08-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU                  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU                  | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7390000 | PA      | $6832813.95   | 0.36%             | 2028-01-07      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables 2024-B Owner Trust                                       | Nissan Auto Receivables 2024-B Owner Trust                                       | CUSIP: 65479WAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2654716 | PA      | $2657286.43   | 0.14%             | 2027-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                     | Santander Holdings USA, Inc.                                                     | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      700000 | PA      | $715241.10    | 0.04%             | 2030-09-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK 2007-6NC PLC                                                         | Eurosail-UK 2007-6NC PLC                                                         | CUSIP: 29881HAG0<br>LEI: 213800IIPOCPT94J7N57 | Long             | ABS-MBS          | CORP              | GB        |       13708 | PA      | $18342.68     | 0.00%             | 2045-09-13      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Departamento Administrativo De La Presidencia De La Republica                    | Departamento Administrativo De La Presidencia De La Republica                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 14720700000 | PA      | $3954803.29   | 0.21%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWDG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      561933 | PA      | $537178.22    | 0.03%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140H83Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       14855 | PA      | $14372.32     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      240972 | PA      | $232539.87    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S6 Trust                                                       | RFMSI Series 2006-S6 Trust                                                       | CUSIP: 74957VAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1406421 | PA      | $1251800.41   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |      400000 | PA      | $36400.00     | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3100000 | PA      | $3083843.73   | 0.16%             | 2026-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KYXK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      239971 | PA      | $235698.45    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    11640643 | PA      | $11843051.48  | 0.63%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: 02090DAC2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      539070 | PA      | $510768.83    | 0.03%             | 2031-10-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        2373 | PA      | $2282.39      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        5278 | PA      | $5095.15      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                                     | SG Mortgage Securities Trust                                                     | CUSIP: 81879MAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4975000 | PA      | $4648793.73   | 0.25%             | 2035-10-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   144000000 | PA      | $142831353.60 | 7.57%             | 2026-03-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lugo Funding Designated Activity Company                                         | Lugo Funding Designated Activity Company                                         | CUSIP: N/A<br>LEI: 635400CPKWIBFGMQTE81       | Long             | ABS-MBS          | CORP              | IE        |    12047444 | PA      | $14138136.26  | 0.75%             | 2066-05-26      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Banca Monte dei Paschi di Siena S.p.A.                                           | Banca Monte dei Paschi di Siena S.p.A.                                           | CUSIP: N/A<br>LEI: J4CP7MHCXR8DAQMKIL78       | Long             | DBT              | CORP              | IT        |      100000 | PA      | $117474.17    | 0.01%             | 2026-01-09      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1200000 | PA      | $1242301.70   | 0.07%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Departamento Administrativo De La Presidencia De La Republica                    | Departamento Administrativo De La Presidencia De La Republica                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |     1200000 | PA      | $1366635.37   | 0.07%             | 2034-11-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2023-P3                                           | Carvana Auto Receivables Trust 2023-P3                                           | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3105472 | PA      | $3126097.72   | 0.17%             | 2026-11-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XEC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      439462 | PA      | $422299.53    | 0.02%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2862543.88   | 0.15%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust 2012-5                                                    | SLM Student Loan Trust 2012-5                                                    | CUSIP: 78447EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5123764 | PA      | $5106806.40   | 0.27%             | 2026-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XVIII Ltd                                                        | Sound Point CLO XVIII Ltd                                                        | CUSIP: 83609TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      230456 | PA      | $230514.57    | 0.01%             | 2031-01-21      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |      490000 | PA      | $115150.00    | 0.01%             | 2026-05-16      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $298124.10    | 0.02%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1393000 | PA      | $1404807.90   | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    10072000 | PA      | $3327185.16   | 0.18%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XWF6<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |       48492 | PA      | $48172.15     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2023-R4                                                                | CIM Trust 2023-R4                                                                | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4815147 | PA      | $4860585.14   | 0.26%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329PC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       82663 | PA      | $77408.32     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3100000 | PA      | $2989321.70   | 0.16%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      728000 | PA      | $969256.86    | 0.05%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Presidencia de la Republica de Chile                                             | Presidencia de la Republica de Chile                                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   215000000 | PA      | $247108.31    | 0.01%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 12, Ltd.                                                | Anchorage Credit Funding 12, Ltd.                                                | CUSIP: 03332DAA2<br>LEI: 5493008VFWRM4UWVV341 | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $970280.00    | 0.05%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2022-4                                                 | Towd Point Mortgage Trust 2022-4                                                 | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8956153 | PA      | $8629523.90   | 0.46%             | 2031-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3000000 | PA      | $3162109.43   | 0.17%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Amsurg Corp.                                                                     | Amsurg Corp.                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      101454 | NS      | $4556675.84   | 0.24%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    26725000 | PA      | $27421311.86  | 1.45%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. International Finance P.L.C.                                              | B.A.T. International Finance P.L.C.                                              | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3463607.40   | 0.18%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1559489.40   | 0.08%             | 2034-10-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      630000 | PA      | $646492.14    | 0.03%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4491406.04   | 0.24%             | 2027-12-22      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DMJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      217168 | PA      | $208415.73    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385SJ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |    31700000 | PA      | $31618036.48  | 1.68%             | 2026-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13600000 | PA      | $13848361.84  | 0.73%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1172421 | PA      | $1121504.25   | 0.06%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HJ4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      197305 | PA      | $188859.88    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     4100000 | PA      | $211193.74    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Park Place Securities, Inc.                                                      | Park Place Securities, Inc.                                                      | CUSIP: 70069FHY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4461000 | PA      | $3520488.71   | 0.19%             | 2035-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $467741.37    | 0.02%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |      400000 | PA      | $0.00         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Poseidon Bidco SASU                                                              | Poseidon Bidco SASU                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |     2100000 | PA      | $847903.27    | 0.04%             | 2030-07-22      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       32000 | PA      | $32091.80     | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HPWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      126525 | PA      | $121742.10    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Corporation                                                         | AFC Mortgage Corporation                                                         | CUSIP: 00105HEH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      975236 | PA      | $931982.33    | 0.05%             | 2030-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    24400000 | PA      | $23139969.36  | 1.23%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      450364 | PA      | $400823.96    | 0.02%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        3801 | PA      | $3656.44      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       64425 | PA      | $61828.18     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2025-CES4                                              | Towd Point Mortgage Trust 2025-CES4                                              | CUSIP: 89170UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4238143 | PA      | $4240912.63   | 0.22%             | 2029-10-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                                       | United Airlines Pass Through Trust 2020-1A                                       | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      918158 | PA      | $938888.42    | 0.05%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust 2006-6                                                | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      452721 | PA      | $198477.79    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-10                                    | CWABS Asset-Backed Certificates Trust 2007-10                                    | CUSIP: 23246BAL5<br>LEI: 549300Y4W8YZU6A6WI97 | Long             | ABS-CBDO         | CORP              | US        |     9900003 | PA      | $8113925.26   | 0.43%             | 2036-11-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140B8FP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1147315 | PA      | $1208266.52   | 0.06%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Thames Water Super Senior Issuer PLC                                             | Thames Water Super Senior Issuer PLC                                             | CUSIP: 88325AAA8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      504001 | PA      | $777747.74    | 0.04%             | 2027-10-10      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |      300000 | PA      | $69264.00     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      192802 | PA      | $189549.96    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust 2024-1                                            | Tesla Sustainable Energy Trust 2024-1                                            | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1800000 | PA      | $1812101.76   | 0.10%             | 2031-12-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |     1330000 | PA      | $1427643.28   | 0.08%             | 2029-04-26      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2400000 | PA      | $2333738.44   | 0.12%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       23538 | PA      | $22604.34     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1198824 | PA      | $1244378.81   | 0.07%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4300000 | PA      | $4422308.18   | 0.23%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5192370.00   | 0.28%             | 2030-01-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: —       |
| Alba 2006-2 PLC                                                                  | Alba 2006-2 PLC                                                                  | CUSIP: N/A<br>LEI: 2138004SAGUH3UKKW934       | Long             | ABS-MBS          | CORP              | GB        |      720660 | PA      | $906282.65    | 0.05%             | 2038-12-15      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     8600000 | PA      | $521352.46    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | US        |      769000 | PA      | $554777.42    | 0.03%             | 2035-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31426QSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      874915 | PA      | $920055.49    | 0.05%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2396800.08   | 0.13%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 Trust                                                             | CSMC 2021-RPL3 Trust                                                             | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $832749.70    | 0.04%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BANT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      393979 | PA      | $349438.36    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BASY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       96521 | PA      | $85609.19     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC                                       | Avis Budget Rental Car Funding (AESOP) LLC                                       | CUSIP: 05377RHC1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |      320000 | PA      | $325654.14    | 0.02%             | 2027-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO 2021-3 Ltd                                               | Bain Capital Credit CLO 2021-3 Ltd                                               | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6400000 | PA      | $6386784.00   | 0.34%             | 2034-07-24      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4000000 | PA      | $3595305.60   | 0.19%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |      850000 | PA      | $788518.74    | 0.04%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       33393 | PA      | $32037.00     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     5539511 | PA      | $5635832.35   | 0.30%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385SB3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      300000 | PA      | $299444.88    | 0.02%             | 2026-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385XZ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |    11300000 | PA      | $11122730.12  | 0.59%             | 2026-06-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      447000 | PA      | $441893.16    | 0.02%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     4571000 | PA      | $1470465.04   | 0.08%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Altice France S.A.                                                               | Altice France S.A.                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      307254 | PA      | $302952.44    | 0.02%             | 2028-04-30      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     1076000 | PA      | $298590.00    | 0.02%             | 2035-12-31      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                 | Pacific Gas and Electric Company                                                 | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3343000 | PA      | $3240579.84   | 0.17%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      693231 | PA      | $38305.62     | 0.00%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Altice France S.A.                                                               | Altice France S.A.                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      838746 | PA      | $837521.43    | 0.04%             | 2031-05-31      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1                                 | J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1                                 | CUSIP: 46626LAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3969629 | PA      | $3914350.56   | 0.21%             | 2035-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables 2024-A Owner Trust                                       | Toyota Auto Receivables 2024-A Owner Trust                                       | CUSIP: 89238DAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6848979 | PA      | $6895006.83   | 0.37%             | 2028-10-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1616800.00   | 0.09%             | 2028-06-01      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     8800000 | PA      | $2994026.48   | 0.16%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      125705 | PA      | $120592.58    | 0.01%             | 2032-03-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Bear Stearns Asset Backed Securities I Trust 2006-HE1                            | Bear Stearns Asset Backed Securities I Trust 2006-HE1                            | CUSIP: 073879MR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2673583 | PA      | $2715020.88   | 0.14%             | 2034-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-C1                                      | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5477568.25   | 0.29%             | 2026-05-12      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QRFZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      302351 | PA      | $308742.51    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE-WMC Mortgage Securities, L.L.C.                                               | GE-WMC Mortgage Securities, L.L.C.                                               | CUSIP: 367910AF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17748485 | PA      | $14096982.60  | 0.75%             | 2035-10-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2022-DCS1                                             | J.P. Morgan Mortgage Trust 2022-DCS1                                             | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3690224 | PA      | $3653284.30   | 0.19%             | 2033-12-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       98936 | PA      | $94948.44     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     9906984 | PA      | $9513887.97   | 0.50%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2017-1                                             | Mill City Mortgage Loan Trust 2017-1                                             | CUSIP: 59981HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1638438 | PA      | $1386729.69   | 0.07%             | 2033-04-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                  | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1250895.72   | 0.07%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     6900000 | PA      | $6868789.23   | 0.36%             | 2026-02-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31426KP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     6539415 | PA      | $6878751.34   | 0.36%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mitchells & Butlers Finance PLC                                                  | Mitchells & Butlers Finance PLC                                                  | CUSIP: N/A<br>LEI: 213800E7QA1U8BF34219       | Long             | DBT              | CORP              | GB        |       73671 | PA      | $100323.01    | 0.01%             | 2028-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Credicorp Capital Sociedad Titularizada S.A.                                     | Credicorp Capital Sociedad Titularizada S.A.                                     | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1700000 | PA      | $538218.86    | 0.03%             | 2045-03-05      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC                                       | Avis Budget Rental Car Funding (AESOP) LLC                                       | CUSIP: 05377RFV1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |      266667 | PA      | $267621.08    | 0.01%             | 2026-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BBF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      410488 | PA      | $364081.15    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XA2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       24007 | PA      | $23136.66     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       93994 | PA      | $90587.87     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-19                                                   | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4004517 | PA      | $1694996.39   | 0.09%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140N9S56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     3480373 | PA      | $3551766.57   | 0.19%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4226126.00   | 0.22%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                               | Venture Global Calcasieu Pass, LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85708.31     | 0.00%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    24300000 | PA      | $1361219.82   | 0.07%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Jane Street Group, LLC                                                           | Jane Street Group, LLC                                                           | CUSIP: 47077DAM2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      253693 | PA      | $252310.16    | 0.01%             | 2031-12-10      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2006-8                                            | HarborView Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4155542 | PA      | $2032423.83   | 0.11%             | 2036-07-21      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust 2006-A2                                       | J.P. Morgan Alternative Loan Trust 2006-A2                                       | CUSIP: 46628GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      784965 | PA      | $667657.62    | 0.04%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   105445000 | PA      | $105086655.70 | 5.57%             | 2056-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   157380000 | PA      | $161345236.30 | 8.55%             | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |     2770100 | PA      | $2847468.89   | 0.15%             | 2029-11-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     2445340 | PA      | $2751007.50   | 0.15%             | 2031-06-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1698611.21   | 0.09%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 3618N5C23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      689957 | PA      | $628133.01    | 0.03%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 3618N5ER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      989023 | PA      | $900323.84    | 0.05%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                     | GS Mortgage Securities Corp.                                                     | CUSIP: 362334GT5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |     3474767 | PA      | $1625230.19   | 0.09%             | 2036-03-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-3                                                | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4435150 | PA      | $4434729.94   | 0.23%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Jane Street Group, LLC                                                           | Jane Street Group, LLC                                                           | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208570.00    | 0.01%             | 2033-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| MFA 2023-NQM2 Trust                                                              | MFA 2023-NQM2 Trust                                                              | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11374195 | PA      | $11320358.26  | 0.60%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Avon Finance No.4 PLC                                                            | Avon Finance No.4 PLC                                                            | CUSIP: N/A<br>LEI: 213800G3HZHMDB8JPM54       | Long             | ABS-MBS          | CORP              | GB        |     5520019 | PA      | $7450429.93   | 0.39%             | 2049-12-28      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: 78307ADH3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | US        |      200000 | PA      | $135418.00    | 0.01%             | 2043-09-16      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      900000 | PA      | $898842.96    | 0.05%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       30000 | PA      | $22260.94     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thames Water Super Senior Issuer PLC                                             | Thames Water Super Senior Issuer PLC                                             | CUSIP: N/A<br>LEI: 635400LBEYCV7F4FC741       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $154649.01    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |      200000 | PA      | $163000.00    | 0.01%             | 2027-06-29      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| SES                                                                              | SES                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      123908 | NS      | $1868904.36   | 0.10%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    26950000 | PA      | $24811897.50  | 1.31%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673PT3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     3733128 | PA      | $3722653.71   | 0.20%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     1836303 | PA      | $1923362.13   | 0.10%             | 2030-06-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385TV8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     7700000 | PA      | $7653486.61   | 0.41%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XDXK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       17108 | PA      | $16451.00     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       91178 | NS      | $137678.78    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust 2020-2                                                | Navient Student Loan Trust 2020-2                                                | CUSIP: 63942HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4819099 | PA      | $4818374.78   | 0.26%             | 2033-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Prospect Mortgage, LLC                                                           | Prospect Mortgage, LLC                                                           | CUSIP: 68383NBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3738390 | PA      | $3613873.89   | 0.19%             | 2035-04-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4700000 | PA      | $4497496.27   | 0.24%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2900000 | PA      | $3475082.82   | 0.18%             | 2031-09-24      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | AMSURG LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    15976162 | PA      | $16455446.57  | 0.87%             | 2028-11-03      | Floating      | 11.86%                | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   126425000 | PA      | $128069511.10 | 6.79%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                   | Alternative Loan Trust 2005-45                                                   | CUSIP: 12668A4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5914837 | PA      | $5388205.50   | 0.29%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385SD9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     8400000 | PA      | $8382820.32   | 0.44%             | 2026-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385TH9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |    25650000 | PA      | $25525851.44  | 1.35%             | 2026-02-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133BSZQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      106800 | PA      | $108624.07    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3664380.47   | 0.19%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp.                                                            | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2828540 | PA      | $618083.04    | 0.03%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $291083.78    | 0.02%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $263115.11    | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      790000 | PA      | $889926.02    | 0.05%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SubCalidora 2 S.a r.l.                                                           | SubCalidora 2 S.a r.l.                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |     1200000 | PA      | $1415048.91   | 0.07%             | 2029-08-14      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| SVF II Finco Cayman LP                                                           | SVF II Finco Cayman LP                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      345387 | PA      | $347345.68    | 0.02%             | 2029-04-25      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      600000 | PA      | $14048.74     | 0.00%             | 2026-05-20      | Fixed         | 42.56%                | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3579798 | PA      | $2658000.39   | 0.14%             | 2035-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust 2025-1CON                                               | BHG Securitization Trust 2025-1CON                                               | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3188710 | PA      | $3206716.59   | 0.17%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132A5KB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       26942 | PA      | $25923.59     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        6756 | PA      | $6481.94      | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385VR4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      600000 | PA      | $593790.42    | 0.03%             | 2026-04-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JVD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        3487 | PA      | $3361.69      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K9TY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       25326 | PA      | $24305.42     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       51076 | PA      | $46832.93     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19800000 | PA      | $18470461.68  | 0.98%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   109400000 | PA      | $6462315.47   | 0.34%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1300000 | PA      | $1484493.82   | 0.08%             | 2037-05-30      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| BridgeCrest Lending Auto Securitization Trust 2024-4                             | BridgeCrest Lending Auto Securitization Trust 2024-4                             | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      463917 | PA      | $464065.15    | 0.02%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GSMSC Resecuritization Trust 2015-8R                                             | GSMSC Resecuritization Trust 2015-8R                                             | CUSIP: 36254WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23903759 | PA      | $5397746.12   | 0.29%             | 2037-04-28      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust 2006-3                                        | Renaissance Home Equity Loan Trust 2006-3                                        | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2933947 | PA      | $965142.95    | 0.05%             | 2036-11-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 11, Ltd.                                                | Anchorage Credit Funding 11, Ltd.                                                | CUSIP: 03330KAA8<br>LEI: 549300ZAIYJSUVDZF802 | Long             | ABS-CBDO         | CORP              | US        |     3223254 | PA      | $3149960.05   | 0.17%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    31400000 | PA      | $31588889.84  | 1.67%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EC               | CORP              | CH        |        4114 | NS      | $190175.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAB9<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |     1300000 | PA      | $1484478.55   | 0.08%             | 2030-03-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2091224 | PA      | $1936619.87   | 0.10%             | 2030-01-04      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       46888 | PA      | $43421.97     | 0.00%             | 2030-01-04      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | US        |      907529 | PA      | $587277.30    | 0.03%             | 2030-07-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASL1                    | ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASL1                    | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5533171 | PA      | $4812518.91   | 0.25%             | 2035-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Attentus CDO III, Ltd.                                                           | Attentus CDO III, Ltd.                                                           | CUSIP: 04973PAC3<br>LEI: 5493004RJP3DQLC3SN92 | Long             | ABS-CBDO         | CORP              | KY        |     5814321 | PA      | $5398620.05   | 0.29%             | 2042-10-11      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Edison International                                                             | Edison International                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      400000 | PA      | $418344.52    | 0.02%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KGQP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      339815 | PA      | $326756.04    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1125722 | PA      | $1084924.90   | 0.06%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2021-L7                                           | Morgan Stanley Capital I Trust 2021-L7                                           | CUSIP: 61772WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $932796.06    | 0.05%             | 2038-12-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    10900000 | PA      | $10863403.25  | 0.58%             | 2026-02-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     1250000 | PA      | $1246066.63   | 0.07%             | 2026-02-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      700000 | PA      | $692518.33    | 0.04%             | 2026-04-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Presidencia da Republica                                                         | Presidencia da Republica                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |   189300000 | PA      | $32339113.47  | 1.71%             | 2026-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                  | CUSIP: 89364MCA0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     9576372 | PA      | $9608931.59   | 0.51%             | 2031-02-28      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |       60000 | PA      | $15750.00     | 0.00%             | 2049-12-09      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer