# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0000933691-25-001183
**Filing Date:** 2025-8
**Character Count:** 506083
**Document Hash:** cbf042f015a144d616fa84d3c49d5d14
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000933691-25-001183.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0000933691-25-001183

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**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:** 251266079

**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:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3757059857.70

**Total Liabilities:** $2166869679.90

**Net Assets:** $1590190177.80

**Delayed Delivery Securities:** $2138304076.01

**Cash Not Reported:** $36588618.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1761.747614448778 | **1-Year:** -22834.919259570809 | **5-Year:** -48980.137474178824 | **10-Year:** -53414.977853754028 | **30-Year:** -690481.840759039041

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

- **3-Month:** -468.916712312300 | **1-Year:** -12241.684183407023 | **5-Year:** -30088.295281651368 | **10-Year:** -111737.954074203895 | **30-Year:** -25634.162185683940

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000192062 | 0.33%                | 0.33%                | 2.05%                |
| Class ID C000192063 | 0.40%                | 0.40%                | 2.09%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1502255.10             | $-1791567.39                               |
| Month 2  | $-2043916.18             | $-5015534.32                               |
| Month 3  | $-226087.97              | $21300633.17                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WestMet Group Holdings                                                           | WestMet Group Holdings                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        2400 | NS      | $5100.64      | 0.00%             |  |  |  | No            |                  3 | 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      | $44845.24     | 0.00%             | 2049-01-17      | Fixed         | 5.13%                 | Yes           |                  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      | $29794.96     | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1190066 | PA      | $1124338.41   | 0.07%             | 2048-09-01      | Fixed         | 4.00%                 | 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        |       92786 | PA      | $87255.21     | 0.01%             | 2048-10-01      | 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        |       91213 | PA      | $85719.27     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US Inc.                                                       | Stellantis Finance US Inc.                                                       | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |      400000 | PA      | $401820.60    | 0.03%             | 2035-03-18      | Fixed         | 6.45%                 | Yes           |                  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        |     3079798 | PA      | $2940758.34   | 0.18%             | 2034-06-25      | Floating      | 4.22%                 | 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        |      842779 | PA      | $803865.50    | 0.05%             | 2035-07-25      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities CORP Mortgage Loan Trust 2007-OSI                    | Structured Asset Securities CORP Mortgage Loan Trust 2007-OSI                    | CUSIP: 863619AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12078930 | PA      | $7929420.27   | 0.50%             | 2037-06-25      | Floating      | 0.67%                 | 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        |    15406473 | PA      | $11380758.63  | 0.72%             | 2037-05-25      | Floating      | 2.65%                 | 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      | $10203840.23  | 0.64%             | 2026-01-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13806000 | PA      | $16616394.75  | 1.04%             | 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        |     3700000 | PA      | $4906485.06   | 0.31%             | 2026-07-15      | Fixed         | 0.13%                 | 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      | $953202.96    | 0.06%             | 2027-01-15      | Fixed         | 0.38%                 | 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      | $3320335.81   | 0.21%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6620000 | PA      | $7775551.53   | 0.49%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  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      | $92875.00     | 0.01%             | 2027-10-31      | Fixed         | 0.50%                 | 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      | $715769.13    | 0.05%             | 2027-11-30      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      200000 | PA      | $217938.70    | 0.01%             | 2029-02-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3239757.63   | 0.20%             | 2032-02-01      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5464828.62   | 0.34%             | 2030-01-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-6                                                | Verus Securitization Trust 2022-6                                                | CUSIP: 92539AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4331318 | PA      | $4330500.44   | 0.27%             | 2067-06-25      | Variable      | 4.91%                 | 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        |     5027622 | PA      | $5028852.19   | 0.32%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Voyager Aviation Holdings, LLC                                                   | Voyager Aviation Holdings, LLC                                                   | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |     1141312 | PA      | $0.01         | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | Yes           |                  3 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                    | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                    | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2360970 | PA      | $2150828.56   | 0.14%             | 2035-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    35357660 | PA      | $12197728.05  | 0.77%             | 2037-04-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| WSTN Trust                                                                       | WSTN Trust                                                                       | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $811852.96    | 0.05%             | 2039-09-08      | Variable      | 6.52%                 | 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        |      944067 | PA      | $834325.17    | 0.05%             | 2047-04-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Mr. Cooper Group Inc.                                                            | Mr. Cooper Group Inc.                                                            | CUSIP: 93936RAA2<br>LEI: 549300KD8C6DPXYC2M26 | Long             | ABS-MBS          | CORP              | US        |     1388783 | PA      | $1168842.00   | 0.07%             | 2047-05-25      | Floating      | 3.61%                 | 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        |    10365241 | PA      | $9392127.66   | 0.59%             | 2037-12-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                            | Wells Fargo & Company                                                            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1901469.60   | 0.12%             | 2029-10-23      | Fixed         | 6.30%                 | 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        |      709299 | PA      | $969462.94    | 0.06%             | 2040-12-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      200000 | PA      | $181189.76    | 0.01%             | 2037-09-28      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Alba 2006-2 PLC                                                                  | Alba 2006-2 PLC                                                                  | CUSIP: N/A<br>LEI: 2138004SAGUH3UKKW934       | Long             | ABS-MBS          | CORP              | GB        |      748560 | PA      | $954997.16    | 0.06%             | 2038-12-15      | Floating      | 4.80%                 | Yes           |                  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      | $3953034.43   | 0.25%             | 2048-10-15      | Floating      | 5.54%                 | 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      | $38250.00     | 0.00%             | 2037-04-12      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding PLC                                                              | Newgate Funding PLC                                                              | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |     2401403 | PA      | $3218324.32   | 0.20%             | 2050-12-15      | Floating      | 4.67%                 | 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      | $14408894.17  | 0.91%             | 2045-06-13      | Floating      | 4.89%                 | 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: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     3314000 | PA      | $946890.02    | 0.06%             | 2037-08-12      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-6NC PLC                                                         | Eurosail-UK 2007-6NC PLC                                                         | CUSIP: 29881HAG0<br>LEI: 213800IIPOCPT94J7N57 | Long             | ABS-MBS          | CORP              | GB        |       16802 | PA      | $22852.97     | 0.00%             | 2045-09-13      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      380300 | PA      | $66077.13     | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | Yes           |                  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        |     2801150 | PA      | $3753313.73   | 0.24%             | 2500-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                               | Republic of Panama                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |     3900000 | PA      | $4594007.53   | 0.29%             | 2027-04-01      | Floating      | 4.80%                 | No            |                  3 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | US        |      998282 | PA      | $685666.64    | 0.04%             | 2030-07-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JAB Holdings B.V.                                                                | JAB Holdings B.V.                                                                | CUSIP: N/A<br>LEI: 529900RRNKUM3INJGF98       | Long             | DBT              | CORP              | NL        |     2900000 | PA      | $3472319.34   | 0.22%             | 2034-04-25      | Fixed         | 4.38%                 | 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        |    39000000 | PA      | $1889615.81   | 0.12%             | 2034-11-23      | Fixed         | 7.75%                 | 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        |    65541531 | PA      | $3089986.14   | 0.19%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |      200000 | PA      | $156000.00    | 0.01%             | 2027-06-29      | Fixed         | 3.00%                 | 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        |   215666487 | PA      | $11256600.95  | 0.71%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: N/A<br>LEI: 5493001ZMCICV4N02J21       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $98804.14     | 0.01%             | 2029-01-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Presidencia da Republica                                                         | Presidencia da Republica                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |     2400000 | PA      | $441493.08    | 0.03%             | 2025-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance                                                              | Ministry of Finance                                                              | CUSIP: N/A<br>LEI: 213800T8ZHTFZIBYPE21       | Long             | DBT              | NUSS              | US        |     2034000 | PA      | $1312275.78   | 0.08%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  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      | $29806.15     | 0.00%             | 2025-10-22      | Fixed         | 3.13%                 | Yes           |                  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      | $29789.68     | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |     6400000 | PA      | $4544000.00   | 0.29%             | 2029-01-27      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Kinbane 2022-RPL 1 Designated Activity Company                                   | Kinbane 2022-RPL 1 Designated Activity Company                                   | CUSIP: N/A<br>LEI: 635400VNYTGVRKAK3U86       | Long             | ABS-MBS          | CORP              | IE        |     7466165 | PA      | $8791159.39   | 0.55%             | 2062-09-25      | Floating      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Softbank Vision Fund II                                                          | Softbank Vision Fund II                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     3768288 | PA      | $3768287.70   | 0.24%             | 2025-12-21      | Floating      | 6.00%                 | No            |                  3 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | US        |      200000 | PA      | $144668.50    | 0.01%             | 2027-12-23      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        1073 | NS      | $2576.15      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         254 | NS      | $144.16       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      123908 | NS      | $4274427.51   | 0.27%             |  |  |  | No            |                  3 | On Loan: No      |
| Numericable US LLC                                                               | Numericable US LLC                                                               | CUSIP: 67053NAK0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      398980 | PA      | $345915.30    | 0.02%             | 2025-07-31      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Westmoreland Coal Co                                                             | Westmoreland Coal Co                                                             | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       23057 | PA      | $8761.78      | 0.00%             | 2029-03-15      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Lealand Finance Company B.V.                                                     | Lealand Finance Company B.V.                                                     | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       75379 | PA      | $37689.46     | 0.00%             | 2027-12-31      | Floating      | 8.44%                 | No            |                  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      | $13172.33     | 0.00%             | 2027-06-30      | Floating      | 7.44%                 | No            |                  3 | On Loan: No      |
| Syniverse Holdings, Inc.                                                         | Syniverse Holdings, Inc.                                                         | CUSIP: 87168TAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1492554 | PA      | $1409836.50   | 0.09%             | 2027-05-06      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| Hudsons Bay Co                                                                   | Hudsons Bay Co                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      826795 | PA      | $789779.57    | 0.05%             | 2026-09-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Altice France S.A.                                                               | Altice France S.A.                                                               | CUSIP: F6628DAN4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1089139 | PA      | $984157.33    | 0.06%             | 2028-08-31      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                  | CUSIP: 89364MCA0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     9624860 | PA      | $9641222.12   | 0.61%             | 2031-02-28      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | AMSURG LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     2591395 | PA      | $2395874.38   | 0.15%             | 2026-07-20      | Floating      | 11.11%                | No            |                  3 | On Loan: No      |
| AMSURG LLC                                                                       | AMSURG LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    15710581 | PA      | $16181898.40  | 1.02%             | 2028-11-03      | Floating      | 12.24%                | No            |                  3 | On Loan: No      |
| Poseidon BidCo                                                                   | Poseidon BidCo                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |     2100000 | PA      | $1666652.92   | 0.10%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SubCalidora 2 Sa rl                                                              | SubCalidora 2 Sa rl                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |     1200000 | PA      | $1427676.19   | 0.09%             | 2029-08-14      | Floating      | 8.11%                 | No            |                  3 | On Loan: No      |
| Thames Water Utils Ltd                                                           | Thames Water Utils Ltd                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |      252872 | PA      | $324542.88    | 0.02%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1469431 | PA      | $1458175.63   | 0.09%             | 2028-04-20      | Floating      | 6.52%                 | No            |                  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        |     2836949 | PA      | $2844519.42   | 0.18%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  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        |      363051 | PA      | $364020.33    | 0.02%             | 2049-12-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| The Arab Republic of Egypt                                                       | The Arab Republic of Egypt                                                       | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |   208400000 | PA      | $4083657.24   | 0.26%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      500000 | PA      | $12601.16     | 0.00%             | 2026-08-19      | Fixed         | 49.36%                | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      600000 | PA      | $15160.73     | 0.00%             | 2026-05-20      | Fixed         | 49.36%                | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |   116800000 | PA      | $2848238.89   | 0.18%             | 2028-05-17      | Fixed         | 49.36%                | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     7500000 | PA      | $179797.33    | 0.01%             | 2028-09-06      | Fixed         | 48.64%                | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |     1859000 | PA      | $299763.75    | 0.02%             | 2049-05-07      | Fixed         | 9.00%                 | 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      | $63978.75     | 0.00%             | 2028-05-07      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      900000 | PA      | $165375.00    | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | 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        |    21847177 | PA      | $1095536.18   | 0.07%             | 2034-08-24      | 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: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      400000 | PA      | $97736.85     | 0.01%             | 2040-08-12      | Fixed         | 5.35%                 | 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        |      300000 | PA      | $37983.50     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       18950 | PA      | $17826.87     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | 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        |     3965549 | PA      | $3730419.21   | 0.23%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       36718 | PA      | $34529.78     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | 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        |      291485 | PA      | $274110.49    | 0.02%             | 2050-07-01      | 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        |        7036 | PA      | $6616.87      | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | 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        |     1595275 | PA      | $1493706.79   | 0.09%             | 2051-10-01      | Fixed         | 4.00%                 | 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        |      612766 | PA      | $573561.23    | 0.04%             | 2052-01-01      | Fixed         | 4.00%                 | 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      | $507764.29    | 0.03%             | 2035-07-09      | Fixed         | 4.13%                 | 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      | $8250.00      | 0.00%             | 2049-12-09      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     1076000 | PA      | $173505.00    | 0.01%             | 2035-12-31      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      476313 | PA      | $445838.22    | 0.03%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1295860 | PA      | $1300711.33   | 0.08%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |    43991201 | PA      | $44895043.77  | 2.82%             | 2053-02-01      | Fixed         | 6.00%                 | 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        |      177350 | PA      | $169985.41    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | 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        |     6001342 | PA      | $6010679.58   | 0.38%             | 2053-10-01      | Fixed         | 5.50%                 | 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        |      381361 | PA      | $373851.04    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      146887 | PA      | $151649.83    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313385HP4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |      400000 | PA      | $399953.67    | 0.03%             | 2025-07-01      | 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        |     2683059 | PA      | $2522295.55   | 0.16%             | 2050-07-01      | Fixed         | 4.00%                 | 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        |      408652 | PA      | $354031.25    | 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        |      105315 | PA      | $91238.66     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | 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        |      423817 | PA      | $367168.83    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | 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        |      207893 | PA      | $180105.38    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | 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: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    24000000 | PA      | $7365286.66   | 0.46%             | 2031-08-12      | Fixed         | 6.95%                 | 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      | $1290999.37   | 0.08%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |     1332000 | PA      | $214785.00    | 0.01%             | 2034-12-31      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAB9<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |     1300000 | PA      | $1501673.87   | 0.09%             | 2030-03-30      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2101720 | PA      | $1974439.39   | 0.12%             | 2030-01-04      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      301592 | PA      | $283327.63    | 0.02%             | 2030-01-04      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| SCURAlpha 1503 Gmbh                                                              | SCURAlpha 1503 Gmbh                                                              | CUSIP: D7001LAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       47124 | PA      | $44269.95     | 0.00%             | 2030-01-04      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Corporation                                                         | AFC Mortgage Corporation                                                         | CUSIP: 00105HEH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      999600 | PA      | $940863.96    | 0.06%             | 2030-03-25      | Floating      | 5.07%                 | 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        |     1816901 | PA      | $1802136.36   | 0.11%             | 2036-09-25      | Floating      | 4.70%                 | 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        |     5526207 | PA      | $4729808.34   | 0.30%             | 2035-08-25      | Floating      | 2.51%                 | No            |                  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        |     3663372 | PA      | $3536141.89   | 0.22%             | 2034-04-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    20000000 | PA      | $17293760.00  | 1.09%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    13950000 | PA      | $12555546.84  | 0.79%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F032682<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    13000000 | PA      | $11698987.30  | 0.74%             | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    26000000 | PA      | $24168911.00  | 1.52%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040685<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    15000000 | PA      | $13942431.00  | 0.88%             | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    15300000 | PA      | $14625842.22  | 0.92%             | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   140425000 | PA      | $137539673.50 | 8.65%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    51575000 | PA      | $51554829.02  | 3.24%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    75000000 | PA      | $74920860.00  | 4.71%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3000000 | PA      | $3002980.20   | 0.19%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |      700000 | PA      | $685098.54    | 0.04%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     1550000 | PA      | $1407722.09   | 0.09%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   182925000 | PA      | $185733246.30 | 11.68%            | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     2850000 | PA      | $3101442.96   | 0.20%             | 2033-08-12      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |      300000 | PA      | $370923.81    | 0.02%             | 2033-11-15      | Fixed         | 9.02%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4517987.76   | 0.28%             | 2027-12-22      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3151779.60   | 0.20%             | 2029-09-22      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F062689<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   234000000 | PA      | $241202847.60 | 15.17%            | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F070682<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    14300000 | PA      | $14992039.92  | 0.94%             | 2055-08-15      | Fixed         | 7.00%                 | 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        |     4817399 | PA      | $4853077.75   | 0.31%             | 2068-03-25      | Variable      | 6.62%                 | 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        |      458032 | PA      | $212862.47    | 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        |     9841674 | PA      | $7896227.15   | 0.50%             | 2036-11-25      | Floating      | 3.45%                 | 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        |      998001 | PA      | $902659.37    | 0.06%             | 2045-01-19      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F070690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     3000000 | PA      | $3141872.10   | 0.20%             | 2055-09-15      | Fixed         | 7.00%                 | 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      | $1718589.79   | 0.11%             | 2037-08-25      | Fixed         | 6.50%                 | 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        |     5292359 | PA      | $2309063.26   | 0.15%             | 2035-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Diameter Credit Funding II Ltd                                                   | Diameter Credit Funding II Ltd                                                   | CUSIP: 25253YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      950000 | PA      | $934684.10    | 0.06%             | 2038-01-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2590000 | PA      | $2351061.60   | 0.15%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2090000 | PA      | $1810994.76   | 0.11%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4128922.26   | 0.26%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      300000 | PA      | $273670.68    | 0.02%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  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        |     6519079 | PA      | $6517691.02   | 0.41%             | 2027-06-15      | Fixed         | 4.51%                 | 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        |      641657 | PA      | $534084.21    | 0.03%             | 2037-04-25      | Floating      | 6.00%                 | 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      | $4623288.88   | 0.29%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  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      | $6524222.23   | 0.41%             | 2036-11-25      | Fixed         | 5.59%                 | 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      | $1054621.88   | 0.07%             | 2036-11-25      | Fixed         | 6.12%                 | 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        |     3284234 | PA      | $3310219.00   | 0.21%             | 2025-09-25      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                                            | Rio Oil Finance Trust                                                            | CUSIP: 76716XAC6<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |      139000 | PA      | $143583.91    | 0.01%             | 2028-04-06      | Fixed         | 8.20%                 | Yes           |                  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        |     9307391 | PA      | $9450490.73   | 0.59%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       32000 | PA      | $31982.82     | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89841.74     | 0.01%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Edison International                                                             | Edison International                                                             | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3369042.72   | 0.21%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     1000000 | PA      | $900075.56    | 0.06%             | 2027-02-01      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      400000 | PA      | $336713.50    | 0.02%             | 2028-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      700000 | PA      | $578065.97    | 0.04%             | 2029-01-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      200000 | PA      | $165140.09    | 0.01%             | 2029-07-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | US        |      200000 | PA      | $165697.63    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 023770AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |     1498560 | PA      | $1460361.80   | 0.09%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Edison International                                                             | Edison International                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      400000 | PA      | $406238.64    | 0.03%             | 2030-03-15      | Fixed         | 6.25%                 | 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      | $23997461.60  | 1.51%             | 2037-05-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    12600000 | PA      | $699881.95    | 0.04%             | 2030-01-31      | Fixed         | 8.00%                 | 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      | $63125.00     | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | 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        |     1100000 | PA      | $294720.82    | 0.02%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Encore Credit Receivables Trust                                                  | Encore Credit Receivables Trust                                                  | CUSIP: 29256PBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5905000 | PA      | $5380295.87   | 0.34%             | 2036-01-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1786150.56   | 0.11%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      761765 | PA      | $719692.61    | 0.05%             | 2048-05-01      | Fixed         | 4.00%                 | 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        |       98566 | PA      | $90215.13     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 02377BAB2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |      401530 | PA      | $387964.48    | 0.02%             | 2027-09-22      | Fixed         | 3.60%                 | 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      | $4271777.26   | 0.27%             | 2035-11-25      | Floating      | 5.38%                 | 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        |      118440 | PA      | $111898.70    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | 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        |     4527879 | PA      | $4267896.55   | 0.27%             | 2049-05-01      | Fixed         | 4.00%                 | 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        |      882631 | PA      | $823898.14    | 0.05%             | 2049-05-01      | Fixed         | 4.00%                 | 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        |       28091 | PA      | $26513.10     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | 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        |       11956 | PA      | $11284.00     | 0.00%             | 2048-10-01      | 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        |        9508 | PA      | $8967.63      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mitchells & Butlers Finance PLC                                                  | Mitchells & Butlers Finance PLC                                                  | CUSIP: N/A<br>LEI: 213800E7QA1U8BF34219       | Long             | DBT              | CORP              | GB        |       84448 | PA      | $116756.07    | 0.01%             | 2028-12-15      | Fixed         | 6.01%                 | 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      | $3603248.70   | 0.23%             | 2026-08-10      | Fixed         | 2.70%                 | 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      | $638780.07    | 0.04%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  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      | $962163.00    | 0.06%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3895495 | PA      | $3116396.10   | 0.20%             | 2030-07-09      | Fixed         | 0.75%                 | 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      | $943812.00    | 0.06%             | 2039-07-27      | Fixed         | 2.88%                 | 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      | $941270.00    | 0.06%             | 2040-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 2 Ltd                                                   | Anchorage Credit Funding 2 Ltd                                                   | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2300000 | PA      | $2258595.40   | 0.14%             | 2038-04-25      | Fixed         | 3.93%                 | 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        |     3450000 | PA      | $3358540.50   | 0.21%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                            | Banco Santander, S.A.                                                            | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1539652.50   | 0.10%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                            | Banco Santander, S.A.                                                            | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1278757.20   | 0.08%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2495559.88   | 0.16%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1268685.84   | 0.08%             | 2029-09-13      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3881715.14   | 0.24%             | 2029-01-21      | Fixed         | 6.25%                 | Yes           |                  2 | 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        |      335994 | PA      | $294294.74    | 0.02%             | 2035-03-25      | Floating      | 0.00%                 | 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        |      841870 | PA      | $746343.06    | 0.05%             | 2035-04-25      | Floating      | 0.00%                 | 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      | $4548963.89   | 0.29%             | 2035-10-25      | Floating      | 3.15%                 | 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      | $3091491.29   | 0.19%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      700000 | PA      | $640169.49    | 0.04%             | 2041-02-11      | Fixed         | 5.50%                 | 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        |    47500000 | PA      | $2407127.92   | 0.15%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      300000 | PA      | $270240.41    | 0.02%             | 2034-07-03      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3579798 | PA      | $2425313.48   | 0.15%             | 2035-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     3719523 | PA      | $2673407.16   | 0.17%             | 2038-01-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |     4209730 | PA      | $2641605.59   | 0.17%             | 2041-07-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      112380 | PA      | $74170.48     | 0.00%             | 2046-07-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      506660 | PA      | $426607.30    | 0.03%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Attentus CDO III, Ltd.                                                           | Attentus CDO III, Ltd.                                                           | CUSIP: 04973PAC3<br>LEI: 5493004RJP3DQLC3SN92 | Long             | ABS-CBDO         | CORP              | KY        |     5871359 | PA      | $5314930.58   | 0.33%             | 2042-10-11      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $91109.62     | 0.01%             | 2032-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    68100000 | PA      | $3538004.98   | 0.22%             | 2031-02-28      | Fixed         | 7.00%                 | 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        |     6514934 | PA      | $8960589.70   | 0.56%             | 2049-12-28      | Floating      | 5.26%                 | Yes           |                  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        |    13006015 | PA      | $15284103.43  | 0.96%             | 2066-05-26      | Floating      | 3.04%                 | 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        |      400000 | PA      | $402935.12    | 0.03%             | 2026-04-20      | Fixed         | 6.12%                 | 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      | $151888.77    | 0.01%             | 2027-02-20      | Fixed         | 5.44%                 | 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      | $326246.21    | 0.02%             | 2027-04-20      | Fixed         | 5.78%                 | No            |                  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      | $800076.77    | 0.05%             | 2027-10-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                  | Avolon Holdings Funding Limited                                                  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |     2240000 | PA      | $2129020.10   | 0.13%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  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        |     5700000 | PA      | $5980996.89   | 0.38%             | 2029-02-02      | Fixed         | 5.93%                 | 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      | $2959869.38   | 0.19%             | 2027-11-02      | Fixed         | 3.82%                 | 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      | $2383596.00   | 0.15%             | 2026-08-01      | Fixed         | 4.54%                 | 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        |     3484835 | PA      | $1575854.36   | 0.10%             | 2037-04-26      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1746537.38   | 0.11%             | 2029-10-19      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1538137.86   | 0.10%             | 2034-10-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BPCE                                                                             | BPCE                                                                             | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4554198.00   | 0.29%             | 2031-01-14      | Fixed         | 5.88%                 | 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        |      600000 | PA      | $406254.00    | 0.03%             | 2043-09-16      | Fixed         | 5.88%                 | 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        |   295574450 | PA      | $15442037.11  | 0.97%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                               | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2196560.96   | 0.14%             | 2036-10-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                               | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2400000 | PA      | $2395500.48   | 0.15%             | 2036-10-15      | Floating      | 6.32%                 | 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      | $6409043.20   | 0.40%             | 2034-07-24      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XRH8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |     2376956 | PA      | $2289251.49   | 0.14%             | 2035-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XWF6<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |       64540 | PA      | $63818.36     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | 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        |      300000 | PA      | $302935.05    | 0.02%             | 2029-07-16      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 1266732M3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $3739191.20   | 0.24%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673FL1<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |       72465 | PA      | $72361.59     | 0.00%             | 2034-07-25      | Floating      | 5.71%                 | 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        |     5400000 | PA      | $0.05         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Gaz Capital S.A.                                                                 | Gaz Capital S.A.                                                                 | CUSIP: N/A<br>LEI: 213800568PRHV2JR9650       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $648000.00    | 0.04%             | 2027-03-23      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673PT3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     3733128 | PA      | $3700833.95   | 0.23%             | 2034-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673QJ4<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |     2450000 | PA      | $2104562.25   | 0.13%             | 2034-11-25      | Floating      | 4.14%                 | 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        |     1702828 | PA      | $1689652.72   | 0.11%             | 2034-09-25      | Fixed         | 6.00%                 | 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        |      604159 | PA      | $445841.76    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | 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        |     1657406 | PA      | $1616839.42   | 0.10%             | 2035-07-25      | Floating      | 5.02%                 | 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        |      184665 | PA      | $163563.07    | 0.01%             | 2035-09-25      | Floating      | 5.04%                 | No            |                  2 | 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        |    13243627 | PA      | $12022875.82  | 0.76%             | 2035-09-25      | Floating      | 3.88%                 | No            |                  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        |      555396 | PA      | $539397.39    | 0.03%             | 2035-05-25      | Floating      | 4.28%                 | 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        |     6492386 | PA      | $5617567.92   | 0.35%             | 2035-10-25      | Floating      | 4.20%                 | 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        |     1234190 | PA      | $1155113.52   | 0.07%             | 2035-11-20      | Floating      | 3.73%                 | 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        |      612820 | PA      | $524919.75    | 0.03%             | 2036-02-25      | Floating      | 4.62%                 | 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        |     1221846 | PA      | $1107449.32   | 0.07%             | 2046-12-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CWMBS, Inc.                                                                      | CWMBS, Inc.                                                                      | CUSIP: 126694M96<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-MBS          | CORP              | US        |     2109254 | PA      | $1800551.52   | 0.11%             | 2046-04-25      | Floating      | 4.52%                 | 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      | $6288182.29   | 0.40%             | 2036-07-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Carval                                                                           | Carval                                                                           | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11422745 | PA      | $11434167.39  | 0.72%             | 2031-07-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     2285365 | PA      | $2706081.55   | 0.17%             | 2031-06-01      | Fixed         | 14.00%                | Yes           |                  2 | On Loan: No      |
| COLT 2022-5 Mortgage Loan Trust                                                  | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2932995 | PA      | $2952030.36   | 0.19%             | 2067-04-25      | Variable      | 4.55%                 | 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        |     2452326 | PA      | $2143654.92   | 0.13%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H030682<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4000000 | PA      | $3533855.60   | 0.22%             | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    15270000 | PA      | $13861311.96  | 0.87%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      400000 | PA      | $356202.59    | 0.02%             | 2032-01-24      | Fixed         | 2.63%                 | 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        |     4571000 | PA      | $1337246.86   | 0.08%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9900000 | PA      | $9200275.92   | 0.58%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14400000 | PA      | $13777459.20  | 0.87%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4500000 | PA      | $4416403.05   | 0.28%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Altice France Holding S.A.                                                       | Altice France Holding S.A.                                                       | CUSIP: N/A<br>LEI: 5493001ZMCICV4N02J21       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $423473.26    | 0.03%             | 2027-02-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    37800000 | PA      | $1857374.19   | 0.12%             | 2037-01-31      | Fixed         | 8.50%                 | 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        |       15190 | PA      | $14407.74     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | 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        |       81403 | PA      | $76906.60     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        2527 | PA      | $2381.60      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | 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        |       89618 | PA      | $84528.28     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | 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        |        3528 | PA      | $3327.43      | 0.00%             | 2049-07-01      | 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        |       58659 | PA      | $55217.47     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K8NL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1550360 | PA      | $1458919.22   | 0.09%             | 2050-02-01      | 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        |      200293 | PA      | $188354.45    | 0.01%             | 2048-07-01      | 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        |      452257 | PA      | $425300.01    | 0.03%             | 2048-05-01      | 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        |       32730 | PA      | $30891.57     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | 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        |      128239 | PA      | $120955.85    | 0.01%             | 2048-11-01      | 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        |       14480 | PA      | $13625.68     | 0.00%             | 2050-02-01      | 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        |       25590 | PA      | $24073.00     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QB2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      226398 | PA      | $213257.42    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QBJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      242570 | PA      | $228490.91    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KD6F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        9364 | PA      | $8820.12      | 0.00%             | 2050-05-01      | 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        |       60721 | PA      | $57101.90     | 0.00%             | 2050-10-01      | 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        |       76233 | PA      | $71617.64     | 0.00%             | 2050-10-01      | 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        |      226950 | PA      | $212943.82    | 0.01%             | 2051-07-01      | Fixed         | 4.00%                 | 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        |      697481 | PA      | $604254.64    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | 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        |     3698950 | PA      | $3717420.59   | 0.23%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |        8897 | PA      | $8346.98      | 0.00%             | 2050-03-01      | 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        |      821346 | PA      | $773416.14    | 0.05%             | 2049-12-01      | 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        |     3996181 | PA      | $4008642.53   | 0.25%             | 2053-02-01      | Fixed         | 5.50%                 | 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        |       68938 | PA      | $66290.79     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | 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        |       40178 | PA      | $38033.86     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | 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        |       75875 | PA      | $71210.07     | 0.00%             | 2050-12-01      | Fixed         | 4.00%                 | 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        |      328620 | PA      | $329850.55    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | 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        |     7066160 | PA      | $7077154.04   | 0.45%             | 2053-07-01      | Fixed         | 5.50%                 | 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        |        4424 | PA      | $4157.81      | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | 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        |       33145 | PA      | $31220.83     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       41914 | PA      | $39533.56     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | 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        |     3157069 | PA      | $2775540.12   | 0.17%             | 2050-03-01      | Fixed         | 3.00%                 | 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        |       80147 | PA      | $75644.96     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | 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        |        6801 | PA      | $6414.35      | 0.00%             | 2049-02-01      | 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        |      321662 | PA      | $293907.94    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | 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        |     3091426 | PA      | $2911024.24   | 0.18%             | 2050-03-01      | Fixed         | 4.00%                 | 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        |      466243 | PA      | $439034.80    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | 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        |       91586 | PA      | $86384.19     | 0.01%             | 2049-02-01      | 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        |        5564 | PA      | $5266.92      | 0.00%             | 2047-06-01      | 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        |       26482 | PA      | $24994.08     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       13998 | PA      | $13181.23     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | 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        |    12926338 | PA      | $6496241.00   | 0.41%             | 2037-01-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                               | GLP Financing, LLC                                                               | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      268000 | PA      | $270804.24    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                     | GS Mortgage Securities Corp.                                                     | CUSIP: 362334GT5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |     3556575 | PA      | $1678437.90   | 0.11%             | 2036-03-25      | Floating      | 1.21%                 | 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        |     3132954 | PA      | $2814997.98   | 0.18%             | 2034-06-25      | Floating      | 4.58%                 | 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        |      258100 | PA      | $244086.94    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | 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        |       25257 | PA      | $23861.74     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Romark Credit Funding I Ltd                                                      | Romark Credit Funding I Ltd                                                      | CUSIP: 77588EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1640629.20   | 0.10%             | 2038-04-28      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1982844.00   | 0.12%             | 2030-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2842532.84   | 0.18%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: —       |
| 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   | 0.12%             | 2042-04-04      | Fixed         | 5.63%                 | 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      |
| Navient Funding, LLC                                                             | Navient Funding, LLC                                                             | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-CBDO         | CORP              | US        |      943107 | PA      | $919249.93    | 0.06%             | 2039-12-15      | Floating      | 4.85%                 | 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        |    10425408 | PA      | $9810511.41   | 0.62%             | 2050-08-01      | 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        |     8852642 | PA      | $8338807.53   | 0.52%             | 2051-03-01      | 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-CBDO         | CORP              | US        |     2992862 | PA      | $2750089.37   | 0.17%             | 2034-08-25      | Variable      | 4.29%                 | 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      | $5702306.31   | 0.36%             | 2037-04-28      | Variable      | 2.36%                 | 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        |    17565209 | PA      | $14638112.96  | 0.92%             | 2035-10-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust 2023-2                                         | GLS Auto Receivables Issuer Trust 2023-2                                         | CUSIP: 379928AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3874331 | PA      | $3877853.83   | 0.24%             | 2027-11-15      | Fixed         | 5.52%                 | 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        |     5378096 | PA      | $5338112.64   | 0.34%             | 2026-03-25      | Floating      | 5.22%                 | 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        |     1846855 | PA      | $1862911.72   | 0.12%             | 2050-05-16      | Floating      | 6.15%                 | 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        |       82684 | PA      | $78039.45     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | 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        |       18282 | PA      | $17221.14     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp.                                                            | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2847282 | PA      | $800529.51    | 0.05%             | 2030-03-01      | Fixed         | 7.50%                 | 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        |     4287421 | PA      | $2128867.15   | 0.13%             | 2036-07-21      | Floating      | 2.10%                 | 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        |      220520 | PA      | $206480.32    | 0.01%             | 2052-01-01      | 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        |     3221228 | PA      | $2951338.58   | 0.19%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |       99808 | PA      | $94201.95     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | 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        |      120408 | PA      | $113644.77    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Harley Marine Financing LLC                                                      | Harley Marine Financing LLC                                                      | CUSIP: 41284LAG9<br>LEI: 5493005HW7HO5Y757M86 | Long             | ABS-CBDO         | CORP              | US        |       75000 | PA      | $76482.59     | 0.00%             | 2027-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Harley Marine Financing LLC                                                      | Harley Marine Financing LLC                                                      | CUSIP: 41284LAH7<br>LEI: 5493005HW7HO5Y757M86 | Long             | ABS-CBDO         | CORP              | US        |       75964 | PA      | $76370.08     | 0.00%             | 2027-12-15      | Fixed         | 9.75%                 | 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      | $1761397.20   | 0.11%             | 2028-11-03      | Fixed         | 3.82%                 | 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      | $798980.00    | 0.05%             | 2030-09-11      | Fixed         | 4.86%                 | 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        |      199216 | PA      | $129490.62    | 0.01%             | 2030-03-31      | Fixed         | 7.50%                 | Yes           |                  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        |     8909068 | PA      | $8864923.27   | 0.56%             | 2039-05-23      | Floating      | 6.35%                 | 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        |     1192956 | PA      | $1117468.80   | 0.07%             | 2051-08-01      | Fixed         | 4.00%                 | 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        |        3992 | PA      | $3762.74      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | 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      | $1234428.00   | 0.08%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                     | Santander Holdings USA, Inc.                                                     | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      700000 | PA      | $712627.51    | 0.04%             | 2030-09-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2024-5                                    | Santander Drive Auto Receivables Trust 2024-5                                    | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3784078 | PA      | $3783607.92   | 0.24%             | 2025-12-15      | Fixed         | 4.88%                 | 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      | $305920.30    | 0.02%             | 2027-12-31      | Fixed         | 0.63%                 | No            |                  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      | $228163.98    | 0.01%             | 2031-01-15      | Fixed         | 0.13%                 | 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      | $194807.80    | 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        |   129700000 | PA      | $7600038.67   | 0.48%             | 2026-12-21      | Fixed         | 10.50%                | 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      | $869685.30    | 0.05%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4400000 | PA      | $5104531.59   | 0.32%             | 2026-10-15      | Fixed         | 0.13%                 | 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        |       23497 | PA      | $22727.71     | 0.00%             | 2039-05-01      | 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        |      722403 | PA      | $680472.90    | 0.04%             | 2049-07-01      | Fixed         | 4.00%                 | 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      | $11338468.75  | 0.71%             | 2029-03-31      | Fixed         | 2.38%                 | 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      | $11736152.03  | 0.74%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  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      | $18265500.00  | 1.15%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28100000 | PA      | $28807868.86  | 1.81%             | 2033-07-15      | Fixed         | 1.38%                 | 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        |       62701 | PA      | $59022.70     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | 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        |       24807 | PA      | $23343.87     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | 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      | $3102823.79   | 0.20%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    33600000 | PA      | $33689248.32  | 2.12%             | 2026-03-31      | Fixed         | 4.50%                 | 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        |      111093 | PA      | $104540.51    | 0.01%             | 2050-03-01      | 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        |       67295 | PA      | $63305.29     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | 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      | $34219860.22  | 2.15%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25500000 | PA      | $26097420.95  | 1.64%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       40471 | NS      | $174834.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91327BAA8<br>LEI: 549300V3NU625PJUVA84 | Long             | DBT              | CORP              | US        |      507000 | PA      | $489809.54    | 0.03%             | 2029-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91327TAA9<br>LEI: 549300V3NU625PJUVA84 | Long             | DBT              | CORP              | US        |     1356000 | PA      | $1436732.27   | 0.09%             | 2028-02-15      | Fixed         | 10.50%                | Yes           |                  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      | $1981483.64   | 0.12%             | 2029-08-15      | Fixed         | 3.88%                 | 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      | $87385.81     | 0.01%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                         | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1652450.66   | 0.10%             | 2028-06-01      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      692314 | PA      | $601725.08    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |      680856 | PA      | $637081.93    | 0.04%             | 2052-02-01      | 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        |      215970 | PA      | $202016.94    | 0.01%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      204930 | PA      | $196685.94    | 0.01%             | 2042-08-01      | 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        |       11800 | PA      | $11325.30     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | 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        |        8013 | PA      | $7690.20      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | 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        |        2064 | PA      | $1981.13      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | 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        |      715948 | PA      | $718628.06    | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |      447500 | PA      | $428916.83    | 0.03%             | 2053-04-01      | Fixed         | 4.50%                 | 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        |      241426 | PA      | $246159.76    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | 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        |    12744421 | PA      | $12764250.19  | 0.80%             | 2053-10-01      | Fixed         | 5.50%                 | 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        |     1498598 | PA      | $1549063.39   | 0.10%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1077707 | PA      | $1113326.13   | 0.07%             | 2053-12-01      | Fixed         | 6.50%                 | 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        |    18425874 | PA      | $19034856.76  | 1.20%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2020-1                                        | Ellington Financial Mortgage Trust 2020-1                                        | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35459 | PA      | $35158.49     | 0.00%             | 2065-05-25      | Variable      | 2.01%                 | 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      | $3128444.48   | 0.20%             | 2027-08-17      | Fixed         | 4.13%                 | 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      | $187629.40    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | 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        |     8079899 | PA      | $4543943.88   | 0.29%             | 2035-11-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Corporation                                                    | Meritage Mortgage Corporation                                                    | CUSIP: 59001FBF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2506628 | PA      | $2461534.66   | 0.15%             | 2035-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| METAL 2017-1 LLC                                                                 | METAL 2017-1 LLC                                                                 | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      920314 | PA      | $596547.37    | 0.04%             | 2042-10-15      | Fixed         | 4.58%                 | Yes           |                  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      | $1363628.04   | 0.09%             | 2033-04-25      | Variable      | 3.75%                 | 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      | $1665071.46   | 0.10%             | 2029-02-16      | Fixed         | 4.07%                 | 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      | $2654642.03   | 0.17%             | 2038-12-15      | Floating      | 6.80%                 | 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      | $921442.73    | 0.06%             | 2038-12-15      | Floating      | 7.50%                 | 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        |      953486 | PA      | $916556.38    | 0.06%             | 2046-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                      | Nationwide Building Society                                                      | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $993833.20    | 0.06%             | 2029-03-08      | Fixed         | 4.30%                 | Yes           |                  2 | 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        |     5043530 | PA      | $5002170.59   | 0.31%             | 2033-02-25      | Floating      | 5.32%                 | No            |                  2 | 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        |     2033487 | PA      | $2115355.48   | 0.13%             | 2041-02-20      | Fixed         | 6.64%                 | 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      | $1386172.95   | 0.09%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| New York, City of                                                                | New York, City of                                                                | CUSIP: 64966SNH5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |      140000 | PA      | $146716.61    | 0.01%             | 2045-02-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| New York, City of                                                                | New York, City of                                                                | CUSIP: 64966SNJ1<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |      370000 | PA      | $384762.67    | 0.02%             | 2055-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1986422.82   | 0.12%             | 2025-09-17      | Fixed         | 3.52%                 | Yes           |                  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      | $2561219.78   | 0.16%             | 2027-09-13      | Variable      | 6.37%                 | Yes           |                  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        |    35739661 | PA      | $11067479.51  | 0.70%             | 2037-03-25      | Floating      | 0.68%                 | 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        |     4090942 | PA      | $4092587.85   | 0.26%             | 2027-08-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Prospect Mortgage, LLC                                                           | Prospect Mortgage, LLC                                                           | CUSIP: 68383NBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3738390 | PA      | $3609807.27   | 0.23%             | 2035-04-25      | Floating      | 4.74%                 | 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        |     2464199 | PA      | $2389030.39   | 0.15%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL8, LLC                                                              | PRET 2024-NPL8, LLC                                                              | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8264197 | PA      | $8311392.20   | 0.52%             | 2027-11-25      | Fixed         | 5.96%                 | No            |                  3 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10743000 | PA      | $8120010.61   | 0.51%             | 2045-03-15      | Fixed         | 4.30%                 | 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      | $436705.14    | 0.03%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  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      | $870873.48    | 0.05%             | 2027-12-01      | Fixed         | 3.30%                 | 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      | $946064.58    | 0.06%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  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      | $7079553.38   | 0.45%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  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      | $3171374.39   | 0.20%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  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      | $938443.70    | 0.06%             | 2032-03-01      | Fixed         | 4.40%                 | 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      | $606761.64    | 0.04%             | 2035-08-15      | Fixed         | 6.00%                 | 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      | $4643290.96   | 0.29%             | 2032-04-05      | Fixed         | 0.00%                 | Yes           |                  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      | $3370973.39   | 0.21%             | 2035-05-25      | Floating      | 0.78%                 | 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        |      837152 | PA      | $816961.43    | 0.05%             | 2035-08-25      | Floating      | 0.82%                 | 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: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6434000 | PA      | $1874065.73   | 0.12%             | 2032-08-12      | Fixed         | 6.15%                 | 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      | $133611.50    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     7889000 | PA      | $7344659.00   | 0.46%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $852337.50    | 0.05%             | 2060-01-28      | Fixed         | 6.95%                 | 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        |     4556422 | PA      | $4578679.99   | 0.29%             | 2028-07-25      | Variable      | 5.85%                 | 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        |     1104145 | PA      | $1098034.64   | 0.07%             | 2028-09-25      | Fixed         | 5.16%                 | 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        |     1445029 | PA      | $1277429.39   | 0.08%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |     1918196 | PA      | $1861967.70   | 0.12%             | 2055-02-16      | Fixed         | 3.94%                 | 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        |     1918196 | PA      | $1931401.04   | 0.12%             | 2055-02-16      | Floating      | 5.75%                 | No            |                  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        |     3465459 | PA      | $3465458.75   | 0.22%             | 2053-07-05      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                                                 | Societe Generale                                                                 | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | US        |      200000 | PA      | $213563.50    | 0.01%             | 2034-01-10      | Fixed         | 6.69%                 | Yes           |                  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        |     1436596 | PA      | $1437517.32   | 0.09%             | 2031-01-21      | Floating      | 5.65%                 | 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      | $2703753.79   | 0.17%             | 2035-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust                                                        | CUSIP: 83611MGJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7895783 | PA      | $7097018.40   | 0.45%             | 2035-08-25      | Floating      | 1.20%                 | 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        |    11097389 | PA      | $11098354.00  | 0.70%             | 2032-01-26      | Floating      | 5.56%                 | 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        |    15782847 | PA      | $8600903.51   | 0.54%             | 2037-06-25      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                             | Spirit Airlines, LLC                                                             | CUSIP: 84858WAA4<br>LEI: 549300DCAFIXFNFR3304 | Long             | ABS-CBDO         | CORP              | US        |      249789 | PA      | $217516.84    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US Inc.                                                       | Stellantis Finance US Inc.                                                       | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |      700000 | PA      | $706176.87    | 0.04%             | 2030-03-18      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Windstream Holdings, Inc.                                                        | Windstream Holdings, Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       21644 | NS      | $424260.95    | 0.03%             |  |  |  | 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        |      400000 | PA      | $0.00         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Pryvatne Aktsionerne Tovarystvo Natsionalna Energetychna Kompaniya Ukrenergo     | Pryvatne Aktsionerne Tovarystvo Natsionalna Energetychna Kompaniya Ukrenergo     | CUSIP: N/A<br>LEI: 8945009LCLS92V4AK321       | Long             | DBT              | CORP              | US        |      400000 | PA      | $326000.16    | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2800000 | PA      | $3323922.29   | 0.21%             | 2034-09-10      | Fixed         | 6.25%                 | 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   | 0.12%             | 2042-04-04      | Fixed         | 5.63%                 | 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      | $1315220.77   | 0.08%             | 2029-07-02      | Fixed         | 6.88%                 | Yes           |                  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        |      488553 | PA      | $483369.79    | 0.03%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| 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        |     2896701 | PA      | $2901530.39   | 0.18%             | 2034-12-25      | Floating      | 5.41%                 | 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        |     4297458 | PA      | $4295453.63   | 0.27%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2140000 | PA      | $2121483.65   | 0.13%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     6480000 | PA      | $6376807.94   | 0.40%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      630000 | PA      | $648490.69    | 0.04%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       90000 | PA      | $95094.32     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Boeing Company, The                                                              | Boeing Company, The                                                              | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      300000 | PA      | $325636.17    | 0.02%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Inc.                                                          | Bombardier Capital Inc.                                                          | CUSIP: 09774XBF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6295807 | PA      | $401879.61    | 0.03%             | 2029-12-15      | Variable      | 3.00%                 | No            |                  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        |     4233892 | PA      | $4236202.02   | 0.27%             | 2025-11-17      | Fixed         | 4.84%                 | No            |                  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      | $771542.75    | 0.05%             | 2036-11-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 Ltd                                                                  | CBAM 2018-5 Ltd                                                                  | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | US        |      544603 | PA      | $545093.41    | 0.03%             | 2031-04-17      | Floating      | 5.56%                 | 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        |     4613987 | PA      | $3891255.09   | 0.24%             | 2036-10-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2023-R4                                                                | CIM Trust 2023-R4                                                                | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5170626 | PA      | $5168534.68   | 0.33%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2009-5R                                                              | CSMC Series 2009-5R                                                              | CUSIP: 12641TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1647165 | PA      | $1298993.16   | 0.08%             | 2036-06-26      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                       | CSMC Mortgage-Backed Trust                                                       | CUSIP: 12642JEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      487041 | PA      | $475757.18    | 0.03%             | 2036-08-26      | Variable      | 4.36%                 | 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      | $819797.40    | 0.05%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust 2023-B                                                | CPS Auto Receivables Trust 2023-B                                                | CUSIP: 12664WAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       94397 | PA      | $94419.51     | 0.01%             | 2025-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     1836303 | PA      | $1931101.85   | 0.12%             | 2030-06-01      | Fixed         | 11.00%                | Yes           |                  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        |     5217834 | PA      | $5243802.67   | 0.33%             | 2026-11-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      700000 | PA      | $645822.10    | 0.04%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1698122.53   | 0.11%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                              | Centene Corporation                                                              | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2570943.00   | 0.16%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corporation                                                        | Expand Energy Corporation                                                        | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      500000 | PA      | $507976.25    | 0.03%             | 2035-01-15      | Fixed         | 5.70%                 | 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        |       88796 | PA      | $84700.55     | 0.01%             | 2035-01-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Chile Electricity Lux MPC II S.a r.l.                                            | Chile Electricity Lux MPC II S.a r.l.                                            | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      684254 | PA      | $685835.84    | 0.04%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  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        |     1186220 | PA      | $509562.60    | 0.03%             | 2036-12-25      | Fixed         | 6.00%                 | 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      | $5427840.55   | 0.34%             | 2026-05-12      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust                                                    | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1491251 | PA      | $1481616.35   | 0.09%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | 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        |     2459104 | PA      | $2554589.44   | 0.16%             | 2036-11-25      | Floating      | 5.14%                 | 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        |     2340479 | PA      | $2136890.17   | 0.13%             | 2037-11-25      | Variable      | 6.51%                 | 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      | $602709.12    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Home Equity Asset Trust                                                          | Home Equity Asset Trust                                                          | CUSIP: 437084CZ7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-CBDO         | CORP              | US        |      882378 | PA      | $870839.39    | 0.05%             | 2034-10-25      | Floating      | 5.22%                 | 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        |     6582323 | PA      | $6582398.21   | 0.41%             | 2026-04-15      | Fixed         | 4.56%                 | 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      | $7909564.53   | 0.50%             | 2028-01-18      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Hudson Pacific Properties, L.P.                                                  | Hudson Pacific Properties, L.P.                                                  | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      800000 | PA      | $767173.39    | 0.05%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      124483 | NS      | $219090.08    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       91178 | NS      | $93001.56     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| IndyMac MBS, Inc.                                                                | IndyMac MBS, Inc.                                                                | CUSIP: 45660LKB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      848089 | PA      | $517751.79    | 0.03%             | 2035-05-25      | Floating      | 4.83%                 | 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        |     2082911 | PA      | $1375928.86   | 0.09%             | 2036-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | US        |     8903000 | PA      | $9080497.15   | 0.57%             | 2030-03-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance                                                              | Ministry of Finance                                                              | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | US        |     2600000 | PA      | $2637460.80   | 0.17%             | 2035-02-19      | Fixed         | 5.63%                 | 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      | $6684622.28   | 0.42%             | 2028-01-07      | Fixed         | 1.97%                 | 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        |     4172993 | PA      | $4205481.11   | 0.26%             | 2054-09-01      | Variable      | 5.99%                 | 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        |     4749686 | PA      | $4647854.47   | 0.29%             | 2035-07-25      | Floating      | 5.51%                 | 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        |      805837 | PA      | $735800.32    | 0.05%             | 2036-10-25      | Floating      | 4.94%                 | 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        |     2713335 | NS      | $2713335.16   | 0.17%             |  |  |  | No            |                  1 | 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        |      871697 | PA      | $746773.28    | 0.05%             | 2036-05-25      | Floating      | 4.71%                 | 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      | $2552947.80   | 0.16%             | 2026-11-18      | Variable      | 3.65%                 | 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        |     3914063 | PA      | $3843274.72   | 0.24%             | 2033-12-25      | Variable      | 4.62%                 | 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        |     1932936 | PA      | $1829264.84   | 0.12%             | 2047-08-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Marex Group PLC                                                                  | Marex Group PLC                                                                  | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | US        |      300000 | PA      | $308665.65    | 0.02%             | 2029-11-04      | Fixed         | 6.40%                 | 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      | $2915421.08   | 0.18%             | 2035-06-25      | Floating      | 5.54%                 | 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      | $1722864.06   | 0.11%             | 2031-12-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      588933 | PA      | $576011.81    | 0.04%             | 2039-09-30      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: —       |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       53594 | PA      | $47296.32     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | Yes           |                  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        |     9638730 | PA      | $9157205.85   | 0.58%             | 2031-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      800000 | PA      | $599000.00    | 0.04%             | 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      | $600750.00    | 0.04%             | 2028-10-24      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |     1330000 | PA      | $1388543.94   | 0.09%             | 2029-04-26      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |     3400000 | PA      | $3230000.00   | 0.20%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | US        |      925000 | PA      | $973476.11    | 0.06%             | 2034-01-12      | Fixed         | 5.96%                 | Yes           |                  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        |      748318 | PA      | $700777.83    | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | 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        |     1073239 | PA      | $1092503.41   | 0.07%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                 | Gobierno Federal de los Estados Unidos Mexicanos                                 | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |      700000 | PA      | $709295.30    | 0.04%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     1102000 | PA      | $1097175.11   | 0.07%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3500000 | PA      | $3473047.55   | 0.22%             | 2025-09-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797PU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     7400000 | PA      | $7399143.82   | 0.47%             | 2025-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     5200000 | PA      | $5155748.00   | 0.32%             | 2025-09-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797QB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3250000 | PA      | $3242084.95   | 0.20%             | 2025-07-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797QC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     5700000 | PA      | $5681579.31   | 0.36%             | 2025-07-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     4700000 | PA      | $4657325.88   | 0.29%             | 2025-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    15100000 | PA      | $14914804.54  | 0.94%             | 2025-10-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      600000 | PA      | $561070.56    | 0.04%             | 2044-04-30      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $92310.69     | 0.01%             | 2031-04-30      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Altice France                                                                    | Altice France                                                                    | CUSIP: N/A<br>LEI: 5493001ZMCICV4N02J21       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $98576.80     | 0.01%             | 2029-10-15      | Fixed         | 4.25%                 | 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        |    80500000 | PA      | $4279735.77   | 0.27%             | 2029-03-01      | Fixed         | 8.50%                 | 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      | $61862.50     | 0.00%             | 2026-05-16      | Fixed         | 6.00%                 | 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      | $117211.98    | 0.01%             | 2026-01-09      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Presidencia da Republica                                                         | Presidencia da Republica                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |    81700000 | PA      | $14497404.03  | 0.91%             | 2025-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |     1700000 | PA      | $1276604.02   | 0.08%             | 2028-01-31      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2900000 | PA      | $3367002.30   | 0.21%             | 2031-09-24      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      200000 | PA      | $151072.17    | 0.01%             | 2032-01-31      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      119697 | PA      | $180224.57    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | 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      | $2719757.69   | 0.17%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1420000 | PA      | $1676721.10   | 0.11%             | 2031-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      700000 | PA      | $531844.72    | 0.03%             | 2031-01-18      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $75977.82     | 0.00%             | 2027-04-18      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1500000 | PA      | $1657941.98   | 0.10%             | 2037-05-30      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |     2250000 | PA      | $2985000.57   | 0.19%             | 2029-03-01      | Fixed         | 7.75%                 | 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        |     4100000 | PA      | $199003.75    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | 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      | $297784.90    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS Group AG                                                                     | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EC               | CORP              | CH        |        4114 | NS      | $139498.43    | 0.01%             |  |  |  | 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      | $302942.84    | 0.02%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1040000 | PA      | $1164427.78   | 0.07%             | 2036-02-22      | Fixed         | 5.63%                 | Yes           |                  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        |      131432 | PA      | $197646.62    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust 2021-ESH                                             | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |    11064688 | PA      | $11068150.11  | 0.70%             | 2038-07-15      | Floating      | 5.51%                 | 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        |     6433857 | PA      | $4098831.52   | 0.26%             | 2036-10-25      | Floating      | 4.22%                 | 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        |        9123 | PA      | $8560.52      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                       | WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                       | CUSIP: 542514MG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      961015 | PA      | $990731.98    | 0.06%             | 2045-06-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 Trust                                                              | MFA 2023-NQM2 Trust                                                              | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12082554 | PA      | $12021919.94  | 0.76%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Magnetite XXV, Limited                                                           | Magnetite XXV, Limited                                                           | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | US        |     2107640 | PA      | $2107645.92   | 0.13%             | 2032-01-26      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Marathon CLO XIII Ltd                                                            | Marathon CLO XIII Ltd                                                            | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7943089 | PA      | $7943176.68   | 0.50%             | 2032-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    12850000 | PA      | $12682092.91  | 0.80%             | 2025-10-21      | Fixed         | 0.00%                 | No            |                  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      | $292561.32    | 0.02%             | 2040-02-15      | Fixed         | 2.13%                 | 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      | $286235.27    | 0.02%             | 2041-02-15      | Fixed         | 2.13%                 | 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      | $439992.99    | 0.03%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  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      | $310394.28    | 0.02%             | 2043-02-15      | Fixed         | 0.63%                 | 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      | $461390.33    | 0.03%             | 2044-02-15      | Fixed         | 1.38%                 | 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      | $2432153.15   | 0.15%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  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      | $1228455.69   | 0.08%             | 2046-02-15      | Fixed         | 1.00%                 | 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      | $2305253.96   | 0.14%             | 2047-02-15      | Fixed         | 0.88%                 | 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      | $2959194.60   | 0.19%             | 2048-02-15      | Fixed         | 1.00%                 | 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      | $22181.25     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | 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      | $6656008.13   | 0.42%             | 2049-02-15      | Fixed         | 1.00%                 | 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      | $1951244.25   | 0.12%             | 2050-02-15      | Fixed         | 0.25%                 | 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      | $3074376.14   | 0.19%             | 2053-02-15      | Fixed         | 1.50%                 | 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      | $4480605.41   | 0.28%             | 2043-08-15      | Fixed         | 4.38%                 | 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      | $21662358.26  | 1.36%             | 2054-05-15      | Fixed         | 4.63%                 | 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      | $2740312.50   | 0.17%             | 2054-08-15      | Fixed         | 4.25%                 | 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      | $16587092.88  | 1.04%             | 2054-11-15      | Fixed         | 4.50%                 | 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      | $258696.11    | 0.02%             | 2027-07-15      | Fixed         | 0.38%                 | 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      | $10210041.80  | 0.64%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Presidencia da Republica                                                         | Presidencia da Republica                                                         | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |    26300000 | PA      | $4358591.28   | 0.27%             | 2026-04-01      | Fixed         | 0.00%                 | 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      | $489964.71    | 0.03%             | 2045-03-05      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     3900000 | PA      | $4631494.63   | 0.29%             | 2032-07-11      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Limited                                                   | Thames Water Utilities Limited                                                   | CUSIP: 882918AA3<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |       37027 | PA      | $41803.65     | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | 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      | $420046.90    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Kennedy Wilson Europe Real Estate Limited                                        | Kennedy Wilson Europe Real Estate Limited                                        | CUSIP: N/A<br>LEI: 213800WIL553Z1T6DZ52       | Long             | DBT              | CORP              | JE        |     1894737 | PA      | $2210435.38   | 0.14%             | 2025-11-12      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Thames Water Utilities Finance PLC                                               | Thames Water Utilities Finance PLC                                               | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $90766.46     | 0.01%             | 2028-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   119900000 | PA      | $6322788.64   | 0.40%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Westmoreland Coal Company                                                        | Westmoreland Coal Company                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         762 | NS      | $460.25       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Amsurg Corp.                                                                     | Amsurg Corp.                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      101454 | NS      | $4580309.95   | 0.29%             |  |  |  | No            |                  3 | On Loan: No      |
| Windstream Holdings, Inc.                                                        | Windstream Holdings, Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      108848 | NS      | $2133614.66   | 0.13%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        9730 | PA      | $9171.50      | 0.00%             | 2049-06-01      | 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        |       80507 | PA      | $75884.51     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DMJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      236247 | PA      | $222313.09    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | 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        |        6353 | PA      | $5983.97      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | 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        |      639244 | PA      | $601740.77    | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | 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        |      119671 | PA      | $112649.76    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | 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        |      120078 | PA      | $120257.04    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |      174617 | PA      | $175008.44    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |      798050 | PA      | $764910.35    | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KG4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      205197 | PA      | $193222.39    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KGKJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      251778 | PA      | $237164.15    | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | 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        |      417595 | PA      | $393356.56    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | 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        |      104573 | PA      | $98372.15     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | 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        |     1145774 | PA      | $1081418.30   | 0.07%             | 2049-01-01      | Fixed         | 4.00%                 | 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        |      168850 | PA      | $158837.96    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | 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        |      182614 | PA      | $175267.69    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | 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        |      256963 | PA      | $246625.53    | 0.02%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KYYA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        2835 | PA      | $2721.01      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | 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        |        3360 | PA      | $3180.66      | 0.00%             | 2047-03-01      | 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        |        2742 | PA      | $2598.09      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jackson National Asset Management, LLC                                           | JNL Government Money Market Fund - Class SL                                      | CUSIP: 46628D395<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     1721128 | NS      | $1721127.50   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     2915356 | PA      | $-41800.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      562145 | PA      | $-68229.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      187396 | PA      | $-2.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        7290 | PA      | $-9.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    17090673 | PA      | $3869.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       13772 | PA      | $-58.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | BR        |    93238423 | PA      | $1464742.98   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    10243826 | PA      | $36495.43     | 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        |     1612373 | PA      | $-21080.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     4406104 | PA      | $-717485.09   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |       45213 | PA      | $-564.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1118940 | PA      | $-45038.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |    38571734 | PA      | $-342607.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        2055 | PA      | $-13.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    21034942 | PA      | $3052.17      | 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      | $-32874.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     3450256 | PA      | $19934.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     1919752 | PA      | $-42398.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    32431572 | PA      | $14508.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      734851 | PA      | $-91590.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  2105888733 | PA      | $-40069.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        4795 | PA      | $-62.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     2077092 | PA      | $-21689.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    11168689 | PA      | $2350.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    66140710 | PA      | $160669.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     2785562 | PA      | $-46205.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    34690419 | PA      | $13860.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     2918201 | PA      | $-81652.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    36896685 | PA      | $6698.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |      279173 | PA      | $41.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      188414 | PA      | $4.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      377772 | PA      | $-42812.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      743168 | PA      | $-92321.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      867000 | PA      | $5716.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    33382469 | PA      | $14238.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |       66924 | PA      | $-1171.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     1891000 | PA      | $56666.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     1129730 | PA      | $-24007.69    | -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      | $-22245.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | AU        |       21000 | PA      | $57.62        | 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        |      810998 | PA      | $-29047.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |         362 | PA      | $2.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     3161744 | PA      | $20798.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |      189454 | PA      | $-0.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    34989001 | PA      | $15440.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | JP        |  2883331016 | PA      | $-22048.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    29662011 | PA      | $12705.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     2061591 | PA      | $-12534.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | PE        |     3714921 | PA      | $21652.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    54352016 | PA      | $12421.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    12675990 | PA      | $-527413.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |    13413358 | PA      | $-254011.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     2467688 | PA      | $-19083.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |      189392 | PA      | $-0.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    12673000 | PA      | $242115.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     8223837 | PA      | $-1340195.47  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | ID        |   777813997 | PA      | $284.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      671668 | PA      | $-83531.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | BR        |    16100000 | PA      | $54344.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      307414 | PA      | $-3177.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     1919752 | PA      | $-42398.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     1819168 | PA      | $-37467.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      212655 | PA      | $11.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |       31772 | PA      | $-277.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     4789720 | PA      | $-492715.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      455155 | PA      | $-52346.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      448535 | PA      | $-4300.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        2031 | PA      | $-20.11       | -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      | $-50555.53    | -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        |       27178 | PA      | $-26.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |    11729780 | PA      | $-171420.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    10200000 | PA      | $25058.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      789000 | PA      | $14425.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | GB        |      944000 | PA      | $24323.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      379184 | PA      | $-43284.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      225391 | PA      | $10.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      494576 | PA      | $-57354.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      848301 | PA      | $-107859.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     1726171 | PA      | $-64313.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |    37295331 | PA      | $-705102.64   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |      736593 | PA      | $5709.32      | 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        |    72793877 | PA      | $-2618523.54  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    65502355 | PA      | $29983.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     1175000 | PA      | $41221.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    16566910 | PA      | $2525.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       22743 | PA      | $-452.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    15402327 | PA      | $3425.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     2237879 | PA      | $-89447.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     4528000 | PA      | $149550.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |     3252832 | PA      | $720.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | NEW TURKISH LIRA                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | TR        |    34620660 | PA      | $13934.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |    45272719 | PA      | $808147.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |        5425 | PA      | $-36.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | GB        |    28345000 | PA      | $341264.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | GB        |     1114000 | PA      | $25440.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | IN        |      276069 | PA      | $28.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | GB        |     1090000 | PA      | $12836.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    16438818 | PA      | $39933.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     7367303 | PA      | $12653.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | JP        |   446162755 | PA      | $-3953.11     | -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        |    52520882 | PA      | $-817527.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      716780 | PA      | $-25591.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      644992 | PA      | $-78639.60    | -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        |      467907 | PA      | $-11868.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | ZA        |     6918000 | PA      | $7551.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      379235 | PA      | $-43731.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      187144 | PA      | $-5.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | AU        |     1732000 | PA      | $24587.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        7482 | PA      | $-56.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     1179459 | PA      | $-14234.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | OPTION                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | XX        |     8100000 | NC      | $35252.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | OPTION                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | XX        |    10100000 | NC      | $45255.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | OPTION                                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | XX        |    22300000 | NC      | $99920.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1900000 | PA      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1900000 | PA      | $-6408.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | XX        |    -1300000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | XX        |    -1300000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-1147.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |     -900000 | PA      | $-927.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |     -900000 | PA      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1900000 | PA      | $-19.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1900000 | PA      | $-6957.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -3700000 | PA      | $-3.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -3700000 | PA      | $-31834.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-19239.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-11.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-19.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-19971.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-252.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-9574.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -1300000 | PA      | $-2106.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | XX        |    -1300000 | PA      | $-1198.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2400000 | PA      | $-303.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -2400000 | PA      | $-15829.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -2400000 | PA      | $-906.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |    -2400000 | PA      | $-18107.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-2388.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |    -2200000 | PA      | $-9807.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1100000 | PA      | $-1435.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -1100000 | PA      | $-4241.69     | -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      | $210.55       | 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        |        1923 | NC      | $2422224.78   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |         888 | NC      | $2579396.61   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -127 | NC      | $71612.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | OPTION BOOKED AS A FUTURE                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -9 | NC      | $3369.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | OPTION BOOKED AS A FUTURE                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -9 | NC      | $601.73       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -263 | NC      | $289094.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -27 | NC      | $82493.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        -175 | NC      | $458183.96    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -23 | NC      | $106359.61    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -31 | NC      | $117554.94    | 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      | $3183056.25   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2500000 | PA      | $1567426.82   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      300000 | PA      | $3533.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8220000 | PA      | $108167.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   127110000 | PA      | $-5990041.83  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  6580000000 | PA      | $1567829.69   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        | 12430000000 | PA      | $2364660.46   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    22200000 | PA      | $25106.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   276000000 | PA      | $257223.06    | 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      | $-70731.67    | -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      | $59368.99     | 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      | $-9513.77     | -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      | $-4252.99     | -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      | $-720.37      | -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      | $-6553.29     | -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      | $-3182.78     | -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      | $-3217.99     | -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      | $-171989.16   | -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      | $152711.72    | 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      | $-30559.08    | -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      | $131444.53    | 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      | $-83274.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     8200000 | PA      | $-170178.55   | -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      | $-155128.50   | -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      | $-78302.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $-76867.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     6470000 | PA      | $-164161.35   | -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      | $29630.68     | 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      | $-952005.64   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    15900000 | PA      | $160142.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3300000 | PA      | $-42220.50    | -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      | $-77994.20    | -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      | $-13886.60    | -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      | $-21707.32    | -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      | $-18593.77    | -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      | $-26684.24    | -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      | $2373947.14   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2620000 | PA      | $-27980.66    | -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      | $281310.38    | 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      | $175.56       | 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      | $121693.82    | 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      | $573149.03    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2820000 | PA      | $40462.64     | 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      | $2608504.94   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   107380000 | PA      | $-441687.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4500000 | PA      | $11009.02     | 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      | $-11926.79    | -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      | $-174485.40   | -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      | $-31662.80    | -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      | $3446845.46   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    35800000 | PA      | $911056.11    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2000000 | PA      | $236527.67    | 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      | $7655.60      | 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      | $-4872.08     | -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      | $-36300.96    | -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      | $46727.52     | 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      | $9561480.21   | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    19903000 | PA      | $-960604.56   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    59600000 | PA      | $-5528227.17  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2300000 | PA      | $1134704.28   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1000000 | PA      | $-71172.66    | -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      | $255908.55    | 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      | $-114905.87   | -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      | $62450.80     | 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      | $2163264.82   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    10460000 | PA      | $-912261.18   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    59100000 | PA      | $5265395.07   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $522241.05    | 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      | $435400.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $256554.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    14824000 | PA      | $-2202402.05  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1700000 | PA      | $-210424.79   | -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      | $-118621.41   | -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      | $141100.23    | 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      | $435708.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3600000 | PA      | $482252.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    20600000 | PA      | $-660589.96   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $95712.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5900000 | PA      | $835232.73    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $261671.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    11500000 | PA      | $5568476.91   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     7200000 | PA      | $-442236.29   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     8300000 | PA      | $313082.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     6200000 | PA      | $238956.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2100000 | PA      | $-265572.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     2000000 | PA      | $-249987.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3400000 | PA      | $-124774.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $-175550.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1300000 | PA      | $-153790.71   | -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      | $-116031.16   | -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      | $-1024819.95  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    50900000 | PA      | $-1641960.75  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $-124620.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      600000 | PA      | $317729.31    | 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      | $-323853.03   | -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      | $4119536.63   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $118974.42    | 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      | $217473.51    | 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      | $-5443617.41  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5700000 | PA      | $171070.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4800000 | PA      | $1443493.65   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3800000 | PA      | $523455.35    | 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      | $196663.78    | 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      | $-1245269.38  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3600000 | PA      | $-131191.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     1630000 | PA      | $-44323.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | CA        |    24900000 | PA      | $512657.85    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    18400000 | PA      | $-441730.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    51190000 | PA      | $-1065359.91  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $17167.12     | 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      | $251090.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8400000 | PA      | $-48789.05    | -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      | $44533.81     | 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      | $47787.56     | 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      | $-279613.85   | -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      | $-178448.66   | -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      | $-95844.54    | -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      | $8936.67      | 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      | $13336.09     | 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      | $4414.90      | 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      | $3544.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    29400000 | PA      | $-393469.23   | -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      | $13677.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     2400000 | PA      | $5363.73      | 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      | $9371.82      | 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      | $-180113.68   | -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      | $9405.82      | 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      | $9381.69      | 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      | $-184328.93   | -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      | $-212459.22   | -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      | $-125241.03   | -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      | $-62468.79    | -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      | $20340.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     4300000 | PA      | $10360.12     | 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      | $9325.76      | 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      | $22573.03     | 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      | $9585.90      | 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      | $9108.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    17500000 | PA      | $-241815.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     2300000 | PA      | $5098.88      | 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      | $16958.16     | 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      | $-95182.44    | -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      | $-58382.91    | -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      | $16511.23     | 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      | $100445.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4600000 | PA      | $53797.96     | 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      | $33274.26     | 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      | $47404.17     | 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      | $143955.78    | 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      | $94286.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     3000000 | PA      | $127296.47    | 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      | $90173.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      700000 | PA      | $-12593.68    | -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      | $-6610.28     | -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      | $-8919.42     | -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      | $101719.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2800000 | PA      | $127621.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $85120.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3500000 | PA      | $212814.38    | 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      | $-111417.99   | -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      | $9538.93      | 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      | $34976.87     | 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      | $-73010.02    | -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      | $-302975.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    16930000 | PA      | $-126519.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     5570000 | PA      | $10339.45     | 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      | $-36523.83    | -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      | $387782.05    | 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      | $204572.84    | 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      | $-21617.95    | -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      | $-20999.05    | -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      | $-6002.47     | -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      | $-17086.96    | -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      | $-11808.27    | -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      | $-5208.40     | -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      | $3989.96      | 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      | $-5174.78     | -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      | $-3874.26     | -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      | $-5424.98     | -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      | $-5372.63     | -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      | $-3174.32     | -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      | $-3068.33     | -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      | $1574.26      | 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      | $-996.26      | -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      | $-2520.76     | -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      | $-2084.61     | -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      | $-3142.39     | -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      | $-6063.32     | -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      | $-4381.76     | -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      | $-4742.84     | -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      | $-8367.94     | -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      | $-3218.94     | -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      | $-2270.96     | -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      | $-6025.66     | -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      | $10290.67     | 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      | $6157.69      | 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      | $-4258.60     | -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      | $-4460.57     | -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      | $11222.53     | 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      | $7830.68      | 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      | $-4057.73     | -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      | $-4136.99     | -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      | $-4065.01     | -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      | $-4316.19     | -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      | $-2805.80     | -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      | $17.16        | 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      | $8482.65      | 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      | $81080.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     6800000 | PA      | $126614.03    | 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      | $45343.42     | 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      | $6748.86      | 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      | $10395.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  1640000000 | PA      | $34819.79     | 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      | $46877.18     | 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      | $-85036.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1000000 | PA      | $18637.34     | 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      | $-254329.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    19260000 | PA      | $-209093.60   | -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      | $-125529.79   | -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      | $-288588.95   | -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      | $-41423.52    | -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      | $-281992.02   | -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      | $-249204.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |    11500000 | PA      | $-124084.78   | -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      | $-208129.13   | -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      | $60295.70     | 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      | $57021.17     | 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      | $78025.18     | 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      | $78868.82     | 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      | $98604.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1600000 | PA      | $32749.61     | 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      | $58773.43     | 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      | $82958.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | NZ        |     9300000 | PA      | $217021.57    | 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      | $57245.52     | 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      | $63170.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      460000 | PA      | $4900.94      | 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      | $-3891.35     | -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      | $83786.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3300000 | PA      | $-89986.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4000000 | PA      | $-63465.32    | -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      | $-44068.56    | -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      | $173.92       | 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      | $-9528.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      270000 | PA      | $19022.25     | 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      | $54701.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    43100000 | PA      | $184381.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     1700000 | PA      | $47514.97     | 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      | $7570.45      | 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      | $-7145.13     | -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      | $-3859.38     | -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      | $-5608.21     | -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      | $34302.86     | 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      | $30110.02     | 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      | $3391.20      | 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      | $10383.46     | 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      | $39136.63     | 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      | $118047.60    | 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      | $30545.33     | 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      | $20004.19     | 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      | $36654.33     | 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      | $23448.57     | 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      | $26456.22     | 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      | $45091.64     | 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      | $38809.62     | 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      | $141123.79    | 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      | $122273.75    | 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      | $117341.43    | 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      | $-61745.93    | -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      | $-84544.79    | -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      | $-53690.02    | -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      | $-107568.97   | -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      | $-42612.15    | -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      | $-40445.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     7600000 | PA      | $-87425.76    | -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      | $27039.25     | 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      | $19628.85     | 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      | $42482.59     | 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      | $36831.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     5000000 | PA      | $7169.95      | 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      | $40949.17     | 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      | $16043.91     | 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      | $-45273.92    | -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      | $7199.79      | 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      | $7162.12      | 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      | $7397.80      | 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      | $7662.92      | 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      | $7721.79      | 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      | $23659.48     | 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      | $11243.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |    24900000 | PA      | $47773.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    39400000 | PA      | $112639.39    | 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      | $50837.54     | 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      | $113260.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1800000 | PA      | $62432.76     | 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      | $166004.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    76350000 | PA      | $751050.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2500000 | PA      | $-19359.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    38800000 | PA      | $1558056.21   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $-41507.51    | -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      | $-20825.97    | -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      | $3313.09      | 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      | $11011.86     | 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      | $18770.85     | 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      | $68877.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | AU        |    46200000 | PA      | $384005.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1300000 | PA      | $-9386.89     | -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      | $11034.85     | 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      | $24572.43     | 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      | $21309.83     | 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      | $-12811.33    | -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      | $-4380.31     | -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      | $46520.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    34075000 | PA      | $-314319.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    33644000 | PA      | $-475376.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    10258000 | PA      | $-241725.32   | -0.02%            |  |  |  | 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      | $-254297.57   | -0.02%            |  |  |  | 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      | $-178405.65   | -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      | $-245910.34   | -0.02%            |  |  |  | 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      | $-112312.27   | -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        |     1100000 | PA      | $-147040.85   | -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      | $-206373.88   | -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      | $-343894.48   | -0.02%            |  |  |  | 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        |   -17201998 | PA      | $11471.67     | 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      | $152616.09    | 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        |    -7500000 | PA      | $44624.63     | 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      | $280899.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -2944000 | PA      | $141757.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -192000 | PA      | $-13640.30    | -0.00%            |  |  |  | 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      | $50002.32     | 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      | $-13216.80    | -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      | $-544249.19   | -0.03%            |  |  |  | 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      | $33963.84     | 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      | $-104125.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |     -100000 | PA      | $415.90       | 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        |    -7800000 | PA      | $46409.61     | 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      | $611692.63    | 0.04%             |  |  |  | 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      | $-711.29      | -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      | $-13775.22    | -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      | $73880.32     | 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      | $4308.49      | 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      | $-925.48      | -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      | $-925.48      | -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      | $173263.51    | 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      | $-616.99      | -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      | $-14450.15    | -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      | $139319.39    | 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      | $37317.10     | 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      | $-789.80      | -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      | $20539.00     | 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      | $14400.36     | 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      | $70374.03     | 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      | $98097.56     | 0.01%             |  |  |  | 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      | $18066.61     | 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      | $599.12       | 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      | $161383.81    | 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      | $1417.56      | 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      | $34367.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -3300000 | PA      | $743.40       | 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      | $23749.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -14100000 | PA      | $22610.37     | 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      | $4536.46      | 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      | $1134.11      | 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        |    -2100000 | PA      | $-8028.28     | -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        |    -3500000 | PA      | $-11600.05    | -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        |    -2500000 | PA      | $-5214.52     | -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        |     -400000 | PA      | $-1147.10     | -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      | $32974.68     | 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      | $-5608.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | XX        |   -10700000 | PA      | $17966.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -25200000 | PA      | $115942.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -1200000 | PA      | $13413.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |   -37100000 | PA      | $981956.50    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |    -4400000 | PA      | $-5268.19     | -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        |    -6600000 | PA      | $3258.43      | 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        |    -1200000 | PA      | $37.69        | 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      | $39737.34     | 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        |      -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        |    -3364680 | PA      | $-6618.43     | -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        |    -1605870 | PA      | $-3978.72     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -500000 | PA      | $-4808.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          15 | NC      | $11582.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -59 | NC      | $-31343.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -35 | NC      | $-15312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -35 | NC      | $-26250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -59 | NC      | $-1843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -35 | NC      | $-4375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | OPTION                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -35 | NC      | $-1093.75     | -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        |        1744 | NC      | $3268628.20   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -463 | NC      | $-1921344.87  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          83 | NC      | $210625.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -61 | NC      | $-196438.30   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                                   | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         391 | NC      | $234110.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer