# EDGAR Filing Document

**Accession Number:** 0000875186
**File Stem:** 0001003715-25-000978
**Filing Date:** 2025-10
**Character Count:** 134780
**Document Hash:** 285c7a5824a0e97e36ded7dd6a6293bd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001003715-25-000978.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0001003715-25-000978

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY PATHWAY FUNDS
- **CENTRAL INDEX KEY:** 0000875186

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06318
- **FILM NUMBER:** 251421848

**BUSINESS ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577
- **BUSINESS PHONE:** 8883749999

**MAIL ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CONSULTING GROUP CAPITAL MARKETS FUNDS
- **DATE OF NAME CHANGE:** 19950125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUST FOR TRAK INVESTMENTS
- **DATE OF NAME CHANGE:** 19920929

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSTITUTIONAL ADVISORS PORTFOLIOS
- **DATE OF NAME CHANGE:** 19600201

## Series and Classes Contracts Data

### Inflation-Linked Fixed Income Fund (Series ID: S000052236)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000164312 | Inflation-Linked Fixed Income Fund | TILUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY PATHWAY FUNDS

- **b. Investment Company Act file number:** 811-06318

- **c. CIK number of Registrant:** 0000875186

- **d. LEI of Registrant:** 549300P3RUTI9W6SLI87

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

  - **Street Address 1:** 2000 Westchester Avenue

  - **City:** Purchase

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10577

  - **Telephone number:** 888-454-3965

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

- **a. Name of Series:** Inflation-Linked Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000052236

- **c. LEI of Series:** 549300Y5STFD97ES4K03

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $254140402.50

**Total Liabilities:** $115757291.47

**Net Assets:** $138383111.03

**Cash Not Reported:** $22513340.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -91.49187627 | **1-Year:** -1623.19586214 | **5-Year:** -3341.65227869 | **10-Year:** -4788.30746827 | **30-Year:** -1576.10316842

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

- **3-Month:** -10.05569057 | **1-Year:** -173.42332144 | **5-Year:** -460.25109717 | **10-Year:** -443.63449917 | **30-Year:** -37.06934063

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000164312 | 1.37%                | 0.06%                | 1.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-568089.77              | $1922413.17                                |
| Month 2  | $-251927.56              | $-606044.67                                |
| Month 3  | $-107726.81              | $2154233.37                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** SEC_PORT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CASH COLLATERAL LCH FOB WFS              | CASH COLLATERAL LCH FOB WFS 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    641000 | PA      | $641000.00    | 0.46%             | 2049-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TRAL 2019-6A A1R V/R 10/25/32            | TRALEE CLO VI LTD SER 2019-6A CL A1RR V/R REGD 144A P/P 5.53846000                               | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    454684 | PA      | $454809.83    | 0.33%             | 2032-10-25      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| CBASS 2007-CB6 A V/R 07/25/37            | CREDIT-BASED ASSET SERVICING AND SECURITI SER 2007-CB6 CL A3 V/R REGD 144A P/P 4.65368000        | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    615751 | PA      | $405088.10    | 0.29%             | 2037-07-25      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | BRL/USD FWD 20250903 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1774.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20250902 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1562.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | USD/ZAR FWD 20250918 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-202.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | USD/ZAR FWD 20251020 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-412.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 3.0 5/15/22-5Y LCH /FIXED/                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $3652.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | PLN/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1038.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250929 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1110.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | EUR/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-40539.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INR/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-256.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/           | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E* 1.00000000                                      | CUSIP: K741813A2<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | JPY/USD FWD 20251002 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-129.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKRE 1% 10/01/50/DKK/           | JYSKE REALKREDIT A/S /DKK/ REGD REG S SER CCE 1.00000000                                         | CUSIP: K5S69JAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.23         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | TWD/USD FWD 20251020 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $17046.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICAN UDIBO 4% 08/24/34/MXN/           | MEXICAN UDIBONOS /MXN/ REGD SER S 4.00000000                                                     | CUSIP: P4R07X5G7<br>LEI: N/A                  | Long             | DBT              | UST               | MX        |    145156 | PA      | $7266.04      | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR ULTRA FUT DEC25              | FUTURE CONTRACT ON           US 10YR ULTRA FUT DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        44 | NC      | $5033875.00   | 3.64%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1213.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CHF/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/53/DKK/           | REALKREDIT DANMARK /DKK/ REGD REG S 1.00000000                                                   | CUSIP: K8094KYD9<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.18         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1149.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.25% 02/15/50                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000                                        | CUSIP: 912810SM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1204454 | PA      | $686554.29    | 0.50%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| NRZT 2018-3A A1 V/R 05/25/58             | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000        | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25583 | PA      | $25064.54     | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | PLN/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4993.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS PMUTKR00.30 09/20/27 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $527.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.842 02/13/25-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-3187.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250917 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1171.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 01/15/35                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 91282CML2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4599450 | PA      | $4727722.22   | 3.42%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.3525 05/09/18-10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-43248.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAUL 4A AR V/R 04/25/30 /EUR/           | ST PAUL'S CLO IV DAC SER 4A CL ARR1 V/R REGD 144A P/P /EUR/ 2.76900000                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    458940 | PA      | $535972.85    | 0.39%             | 2030-04-25      | Variable      | 2.77%                 | Yes           |                  2 | On Loan: No      |
| TIA 2018-1A A1AR V/R 01/20/32            | TIAA CLO IV LTD SER 2018-1A CL A1AR V/R REGD 144A P/P 5.46549000                                 | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    369151 | PA      | $369443.26    | 0.27%             | 2032-01-20      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 3.375% 04/15/32                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.37500000                                        | CUSIP: 912810FQ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     43614 | PA      | $49156.41     | 0.04%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL WFS USD                  | CASH COLLATERAL WFS USD 4.23000000                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     68000 | PA      | $68000.00     | 0.05%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.875% 01/15/29                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000                                        | CUSIP: 9128285W6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3180875 | PA      | $3173206.25   | 2.29%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                      | DKK/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1178.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CAD/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6363.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 1.875% 07/15/35                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.87500000                                        | CUSIP: 91282CNS6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1707752 | PA      | $1718024.03   | 1.24%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/53/DKK/           | REALKREDIT DANMARK /DKK/ REGD REG S SER . 1.00000000                                             | CUSIP: K8094KYE7<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     17730 | PA      | $2170.40      | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK2298 4% 03/01/50                | FANNIE MAE POOL UMBS P#BK2298 4.00000000                                                         | CUSIP: 3140HFRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32195 | PA      | $30523.33     | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | JPY/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2951.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LXS 2007-20N A1 V/R 12/25/37             | LEHMAN XS TRUST SERIES 2007-20N SER 2007-20N CL A1 V/R REGD 6.73703000                           | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    165856 | PA      | $161988.32    | 0.12%             | 2037-12-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| RC R/P BARCLA  4.530% 09/03/25           | RC R/P BARCLA  4.530% 09/03/25 4.53000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -21023488 | PA      | $-21023487.50 | -15.19%           |  |  |  | No            |                  2 | On Loan: No      |
| BSABS 2004-1 M1 V/R 06/25/34             | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-1 SER 2004-1 CL M1 V/R REGD 5.41203000           | CUSIP: 07384YSY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79461 | PA      | $89159.04     | 0.06%             | 2034-06-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $393.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | MXN/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6728.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP GB NI 3.5 08/15/24-10Y LCH /FLOAT/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9928.81      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 03/01/26/EUR/           | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F43750LD2<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    733206 | PA      | $853221.56    | 0.62%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | IRS RMUTKP00.55 09/14/28 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $6565.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | AUD/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2990.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | BRL/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $277.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS R02.34PSOFR 11/21/28 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-134520.31   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LUX 2023-LION A V/R 08/15/25             | LUX 2023-LION SER 2023-LION CL A V/R REGD 144A P/P 7.05378000                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $608115.42    | 0.44%             | 2040-08-15      | Variable      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 0.125% 04/15/26                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CCA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2828931 | PA      | $2810367.70   | 2.03%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 10/15/29                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CLV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4408016 | PA      | $4522105.77   | 3.27%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.375% 07/15/33                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000                                        | CUSIP: 91282CHP9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7115936 | PA      | $7018670.83   | 5.07%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ELAT 2007-1 A1 V/R 05/25/37              | ELLINGTON LOAN ACQUISITION TRUST 2007-1 SER 2007-1 CL A1 V/R REGD 144A P/P 5.53703000            | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    409062 | PA      | $400845.61    | 0.29%             | 2037-05-25      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| BSARM 2003-3 3A2 V/R 05/25/33            | BEAR STEARNS ARM TRUST 2003-3 SER 2003-3 CL 3A2 V/R REGD 6.64214000                              | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10780 | PA      | $10355.97     | 0.01%             | 2033-05-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| CRNCL 2018- V/R 10/15/31 /EUR/           | CAIRN CLO X DAC SER 2018-10A CL AR V/R REGD 144A P/P /EUR/ 2.80600000                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    174758 | PA      | $204306.59    | 0.15%             | 2031-10-15      | Variable      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/28                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 912810PV4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2150961 | PA      | $2194986.01   | 1.59%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8225 3% 07/01/52                | FREDDIE MAC POOL UMBS P#SD8225 3.00000000                                                        | CUSIP: 3132DWD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84795 | PA      | $73695.62     | 0.05%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT DEC25              | FUTURE CONTRACT ON           US ULTRA BOND CBT DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        23 | NC      | $2680937.50   | 1.94%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250930 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $700.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | TWD/USD FWD 20250930 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP04.10 11/15/52 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-768.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 04/15/29                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 91282CKL4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1147135 | PA      | $1191737.71   | 0.86%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.7 04/15/23-  30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $31304.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | JPY/USD FWD 20251002 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5402.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRZT 2019-RPL3 A V/R 07/25/59            | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118998 | PA      | $114922.50    | 0.08%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| CWL 2007-8 1A1 V/R 11/25/37              | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-8 SER 2007-8 CL 1A1 V/R REGD 4.62703000               | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    227917 | PA      | $217047.13    | 0.16%             | 2037-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| SEMT 6 A V/R 04/19/27                    | SEQUOIA MORTGAGE TRUST 6 SER 6 CL A V/R REGD 5.10773000                                          | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29952 | PA      | $29639.73     | 0.02%             | 2027-04-19      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250930 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $186.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 02/15/43                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 912810RA8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1809844 | PA      | $1346640.51   | 0.97%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JYSKE REALK 1.5% 10/01/53/DKK/           | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000                                               | CUSIP: K5S69JBQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CCMFC 2004-A A1 V/R 03/25/35             | CHEVY CHASE FUNDING LLC MORTGAGE-BACKED SER 2004-A CL A1 V/R REGD 144A P/P 4.79703000            | CUSIP: 16678RBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19018 | PA      | $18887.81     | 0.01%             | 2035-03-25      | Variable      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | NOK/USD FWD 20250902 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1307.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-54.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | AUD/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1500.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RMUTKP00.50 12/15/31 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $20343.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#MA4784 4.5% 10/01/52              | FANNIE MAE POOL UMBS P#MA4784 4.50000000                                                         | CUSIP: 31418EJ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79996 | PA      | $77457.79     | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CWL 2004-7 MV5 V/R 11/25/34              | CWABS ASSET-BACKED CERTIFICATES TRUST 2004-7 SER 2004-7 CL MV5 V/R REGD 6.16203000               | CUSIP: 126673EG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149011 | PA      | $133293.47    | 0.10%             | 2034-11-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 1.38 03/15/21-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-157182.77   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.55 11/30/29 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-10447.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-154.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA9961 3.5% 10/20/54           | GINNIE MAE II POOL P#MA9961 3.50000000                                                           | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3990400 | PA      | $3639393.18   | 2.63%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRNTS 2020-14A A V/R 01/25/34            | TRINITAS CLO XIV LTD SER 2020-14A CL A1R V/R REGD 144A P/P 5.65846000                            | CUSIP: 89641QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600030.00    | 0.43%             | 2034-01-25      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | INR/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1292.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.50 06/20/54 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $72674.66     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.375% 10/15/28                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000                                        | CUSIP: 91282CJH5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5897416 | PA      | $6178122.45   | 4.46%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/41                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810QP6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    957411 | PA      | $942282.87    | 0.68%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.736 10/15/23-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $17023.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.375% 02/15/55                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000                                        | CUSIP: 912810UH9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    817776 | PA      | $774347.00    | 0.56%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 02/15/51                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912810SV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1486728 | PA      | $793859.08    | 0.57%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 07/15/28                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912828Y38<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4638922 | PA      | $4637852.33   | 3.35%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                      | TWD/USD FWD 20251020 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14572.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 07/25/38/EUR/           | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F26348BE5<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    120170 | PA      | $113575.89    | 0.08%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | DKK/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $211.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CNH/USD FWD 20250915 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1895.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P THE BA  4.460% 09/03/25           | RC R/P THE BA  4.460% 09/03/25 4.46000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -714139 | PA      | $-714138.75   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) DEC25              | FUTURE CONTRACT ON           US 5YR NOTE (CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        51 | NC      | $5582906.25   | 4.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SABR 2006-FR3 A3 V/R 05/25/36            | SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-FR3 CL A3 V/R REGD 4.93703000             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    410231 | PA      | $221467.93    | 0.16%             | 2036-05-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                      | USD/ZAR FWD 20250918 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-222.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLD 6% 03/29/40 /GBP/              | HSBC HOLD 6% 03/29/40 /GBP/ 6.00000000                                                           | CUSIP: G463DAAD8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $128087.94    | 0.09%             | 2040-03-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.573 08/26/21-7Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9021.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-BUXL 30Y BND SEP25              | FUTURE CONTRACT ON           EURO-BUXL 30Y BND SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -12 | NC      | $-1599930.02  | -1.16%            |  |  |  | No            |                  1 | On Loan: No      |
| SABR 2006-HE2 A2 V/R 07/25/36            | SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-HE2 CL A2C V/R REGD 4.73703000            | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86757 | PA      | $33877.25     | 0.02%             | 2036-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                      | GBP/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1717.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/30                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912828Z37<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2432217 | PA      | $2333581.92   | 1.69%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| OOMLT 2007-2 1A1 V/R 03/25/37            | OPTION ONE MORTGAGE LOAN TRUST 2007-2 SER 2007-2 CL 1A1 V/R REGD 4.57703000                      | CUSIP: 68401TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71989 | PA      | $47866.09     | 0.03%             | 2037-03-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/           | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724JZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GCBSL 2020-50A A V/R 04/20/35            | GOLUB CAPITAL PARTNERS CLO 50B-R LTD SER 2020-50A CL A1R2 V/R REGD 144A P/P 0.00000000           | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    700000 | PA      | $700525.00    | 0.51%             | 2035-04-20      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 3.875% 04/15/29                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.87500000                                        | CUSIP: 912810FH6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2446776 | PA      | $2694773.34   | 1.95%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                      | ILS/USD FWD 20251015 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3840.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.421 05/15/22-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $178.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP02.86 02/13/54 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $302910.11    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.38 10/15/24-1Y LCH /FLOAT/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-3686.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | GBP/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1716.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2023-H19 FA V/R 08/20/73             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2023-H19 CL FA V/R 5.24503000                       | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2534120 | PA      | $2547695.23   | 1.84%             | 2073-08-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.59  03/15/22-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9402.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 1.76 11/04/19-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-225821.93   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/32                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4421794 | PA      | $4085520.99   | 2.95%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP02.23 11/21/53 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $287443.49    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250917 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-976.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 04/15/27                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CEJ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2856075 | PA      | $2818827.75   | 2.04%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | ILS/USD FWD 20251113 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $39.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN G 4.25% 12/01/26/CAD/           | CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 4.25000000                                            | CUSIP: 135087VS0<br>LEI: N/A                  | Long             | DBT              | UST               | CA        |    561567 | PA      | $427572.42    | 0.31%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.034 09/15/24 -10Y LCH /FIXED/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-4617.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/           | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.00000000                                       | CUSIP: K741812Z8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/54                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810TY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1786734 | PA      | $1599570.56   | 1.16%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | MXN/USD FWD 20251217 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-60.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 1.636 06/15/25-2Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $6817.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | ILS/USD FWD 20251015 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1585.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B 1.000% 2/15/46           | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810RR1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2028397 | PA      | $1522305.14   | 1.10%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | PEN/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1858.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCMLF 1A A V/R 04/20/31                  | LCM LOAN INCOME FUND I LTD SER 1A CL A V/R REGD 144A P/P 5.61710000                              | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     55203 | PA      | $55258.60     | 0.04%             | 2031-04-20      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 1% 02/15/48                      | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810SB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1203406 | PA      | $875151.51    | 0.63%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2004-HYB2  V/R 03/25/34            | CITIGROUP MORTGAGE LOAN TRUST 2004-HYB2 SER 2004-HYB2 CL 2A V/R REGD 6.75279500                  | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2614 | PA      | $2415.64      | 0.00%             | 2034-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHMS KBX1 A2 2.92% 01/25/26              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KBX1 CL A2 2.92000000           | CUSIP: 3137F4CZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    117617 | PA      | $116735.25    | 0.08%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-HYB6 2 V/R 10/20/35            | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB6 SER 2005-HYB6 CL 2A1 V/R REGD 4.82853600               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    390165 | PA      | $369247.94    | 0.27%             | 2035-10-20      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/31                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CCM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7473673 | PA      | $7010109.37   | 5.07%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/29/JPY/           | JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000                                               | CUSIP: J2S39K4F0<br>LEI: N/A                  | Long             | DBT              | UST               | JP        | 154961580 | PA      | $1086813.66   | 0.79%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CWL 2007-1 1A V/R 07/25/37               | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-1 SER 2007-1 CL 1A V/R REGD 4.57703000                | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    213158 | PA      | $199311.29    | 0.14%             | 2037-07-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| CANYC 2020-1A AR V/R 07/15/34            | CANYON CLO 2020-1 LTD SER 2020-1A CL AR2 V/R REGD 144A P/P 5.39755000                            | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500225.00    | 0.36%             | 2034-07-15      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| F/C US 10YR NOTE (CBT)DEC25              | FUTURE CONTRACT ON           US 10YR NOTE (CBT)DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -117 | NC      | $-13162500.00 | -9.51%            |  |  |  | No            |                  1 | On Loan: No      |
| PSTET 2023- V/R 05/15/33 /EUR/           | PALMER SQUARE EUROPEAN LOAN FUNDING  SER 2023-3A CL AR V/R REGD 144A P/P /EUR/ 3.00600000        | CUSIP: G6878ZAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    360800 | PA      | $422490.69    | 0.31%             | 2033-05-15      | Variable      | 3.01%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | MXN/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-194.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2018-H15 FG V/R 08/20/68             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H15 CL FG V/R 5.46121000                       | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    204422 | PA      | $204722.45    | 0.15%             | 2068-08-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-93.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% OCT 25                | FNMA 30YR TBA 6.5% OCT 25      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2070762.04   | 1.50%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.645 09/10/21-7Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8196.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $428.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMCC 2019-FL12  V/R 04/15/21            | JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-FL12 CL A V/R REGD 144A P/P 5.86101000           | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55130 | PA      | $54932.97     | 0.04%             | 2031-12-15      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| F/C US LONG BOND(CBT) DEC25              | FUTURE CONTRACT ON           US LONG BOND(CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         5 | NC      | $571250.00    | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| IRO EUR 2Y P 2.44000 L 01/25/27 BRC      | IRO EUR 2Y P 2.44000 L 01/25/27 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6900000 | NC      | $-32045.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2007-1 A1 6% 03/25/37               | CHL MORTGAGE PASS-THROUGH TRUST 2007-1 SER 2007-1 CL A1 REGD 6.00000000                          | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116414 | PA      | $50993.70     | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 1.8825 11/20/19-10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-263749.04   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/26                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912828S50<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6237227 | PA      | $6213165.82   | 4.49%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HVMLT 2005-9 2A1 V/R 06/20/35            | HARBORVIEW MORTGAGE LOAN TRUST 2005-9 SER 2005-9 CL 2A1A V/R REGD 5.13490000                     | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2579 | PA      | $2464.18      | 0.00%             | 2035-06-20      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4362.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/40                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810QF8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    865575 | PA      | $862936.13    | 0.62%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.125% 01/15/33                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000                                        | CUSIP: 91282CGK1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10936987 | PA      | $10625103.61  | 7.68%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL CME WFS                  | CASH COLLATERAL CME WFS        /CCWFSXUS7 4.23000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    310000 | PA      | $310000.00    | 0.22%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| JYSKE REALK 1.5% 10/01/53/DKK/           | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000                                               | CUSIP: K5S69JBP7<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     98654 | PA      | $12134.18     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | MXN/USD FWD 20250917 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-528.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | USD/ZAR FWD 20251020 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RASC 2006-KS3 M1 V/R 04/25/36            | RASC SERIES 2006-KS3 TRUST SER 2006-KS3 CL M1 V/R REGD 4.93203000                                | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58336 | PA      | $57920.34     | 0.04%             | 2036-04-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 07/25/31/EUR/           | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F43750LT7<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    244782 | PA      | $271337.80    | 0.20%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 3.0425 02/21/25-1Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-869.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | JPY/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2428.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#MA4599 3% 05/01/52                | FANNIE MAE POOL UMBS P#MA4599 3.00000000                                                         | CUSIP: 31418EDD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82098 | PA      | $71366.40     | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPALT 2006-A1 1A V/R 03/25/36            | JP MORGAN ALTERNATIVE LOAN TRUST 2006-A1 SER 2006-A1 CL 1A1 V/R REGD 4.89703000                  | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95630 | PA      | $89952.74     | 0.07%             | 2036-03-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.25 06/18/34 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $75755.94     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP GB NI 3.466 09/15/24 -10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $3554.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2005-HYB9 2 V/R 02/20/36            | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 2A1 V/R REGD 6.44851000               | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36742 | PA      | $33917.51     | 0.02%             | 2036-02-20      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                      | BRL/USD FWD 20251002 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $20683.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 02/15/42                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912810QV3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1998514 | PA      | $1557324.01   | 1.13%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WAMU 2002-AR17 1 V/R 11/25/42            | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR17 SER 2002-AR17 CL 1A V/R REGD 5.42183000 | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1827 | PA      | $1753.08      | 0.00%             | 2042-11-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.375% 07/15/27                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000                                        | CUSIP: 9128282L3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3969076 | PA      | $3950589.18   | 2.85%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                      | DKK/USD FWD 20251002 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-209.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CNH/USD FWD 20250915 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7807.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GO 0.5% 12/01/50/CAD/           | CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 0.50000000                                            | CUSIP: 135087G99<br>LEI: N/A                  | Long             | DBT              | UST               | CA        |     63247 | PA      | $34091.48     | 0.02%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.7675  05/13/21-5Y LCH /FIXED/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $50643.21     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 1.5% 02/15/53                    | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.50000000                                        | CUSIP: 912810TP3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2170280 | PA      | $1681200.98   | 1.21%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2007-4CB 1A 6% 04/25/37            | ALTERNATIVE LOAN TRUST 2007-4CB SER 2007-4CB CL 1A35 REGD 6.00000000                             | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24334 | PA      | $20409.87     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OOMLT 2007-1 1A1 V/R 01/25/37            | OPTION ONE MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A1 V/R REGD 4.71703000                      | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78009 | PA      | $49946.35     | 0.04%             | 2037-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS PSOFRR03.25 03/19/55 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $463359.81    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | THB/USD FWD 20251020 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-35.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $30.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.703 05/25/21-5Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $52806.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2.5% 01/15/29                    | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.50000000                                        | CUSIP: 912810PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1640599 | PA      | $1724513.19   | 1.25%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CWL 2007-6 1A V/R 09/25/37               | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-6 SER 2007-6 CL 1A V/R REGD 4.83703000                | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44943 | PA      | $41205.81     | 0.03%             | 2037-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                      | AUD/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-579.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 3.435 08/01/25-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-81.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | ILS/USD FWD 20251015 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $686.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-OAT FUTURE   SEP25              | FUTURE CONTRACT ON           EURO-OAT FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -42 | NC      | $-5990401.38  | -4.33%            |  |  |  | No            |                  1 | On Loan: No      |
| GSAA 2006-7 AF4A V/R 03/25/46            | GSAA TRUST SER 2006-7 CL AF4A V/R REGD 6.72000000                                                | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17443 | PA      | $9198.13      | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $929.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#BV5578 3% 05/01/52                | FANNIE MAE POOL UMBS P#BV5578 3.00000000                                                         | CUSIP: 3140MKFU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83464 | PA      | $72569.30     | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | CHF/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2644.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.0 02/15/25-2YLCH /FIXED/                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1014.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | IRS R02.75PER6M 03/18/36 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $10579.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-BTP FUTURE   SEP25              | FUTURE CONTRACT ON           EURO-BTP FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        18 | NC      | $2532356.77   | 1.83%             |  |  |  | No            |                  1 | On Loan: No      |
| US TIPS 0.125% 10/15/26                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4367591 | PA      | $4343619.70   | 3.14%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | CNH/USD FWD 20250915 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3297.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.5% 01/15/28                    | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000                                        | CUSIP: 9128283R9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5332719 | PA      | $5286734.47   | 3.82%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/50/DKK/           | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER CCE 1.00000000                                       | CUSIP: K74181W69<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     33879 | PA      | $4155.14      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | AUD/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-191.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 3.323 04/23/25-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $630.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 3.625% 04/15/28                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.62500000                                        | CUSIP: 912810FD5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2973531 | PA      | $3181496.65   | 2.30%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) DEC25              | FUTURE CONTRACT ON           US 2YR NOTE (CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -86 | NC      | $-17934359.33 | -12.96%           |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                      | IRS RER6MP00.19 11/08/52 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $674876.15    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| GLGE 5A A1R V/R 12/15/31 /EUR/           | MAN GLG EURO CLO V DAC SER 5A CL A1R V/R REGD 144A P/P /EUR/ 2.66500000                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    434796 | PA      | $508227.00    | 0.37%             | 2031-12-15      | Variable      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/28/JPY/           | JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000                                               | CUSIP: J2S39KJ56<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |  66712480 | PA      | $465134.88    | 0.34%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RER6MP03.00 03/18/56 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-657.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20251002 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1155.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMP 2021-29A AR V/R 10/15/35            | SYMPHONY CLO XXIX LTD SER 2021-29A CL AR V/R REGD 144A P/P 5.43307000                            | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700226.80    | 0.51%             | 2035-10-15      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | THB/USD FWD 20251020 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $390.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.25% 07/15/29                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000                                        | CUSIP: 9128287D6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3489242 | PA      | $3401491.56   | 2.46%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 04/15/30                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CNB3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2431896 | PA      | $2484124.95   | 1.80%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 1.89 08/27/20-7Y LCH /FIXED/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $123996.39    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBR 6A AR V/R 11/15/37 /EUR/            | ARBOUR CLO VI DAC SER 6A CL AR V/R REGD 144A P/P /EUR/ 3.18600000                                | CUSIP: G04464BV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $351172.31    | 0.25%             | 2037-11-15      | Variable      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.763 09/15/23-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $17958.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2023-H11 FC V/R 05/20/73             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2023-H11 CL FC V/R 5.44503000                       | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    481840 | PA      | $489356.29    | 0.35%             | 2073-05-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.56 11/30/29 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-17952.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 3.43375  08/27/25-1Y LCH /FLOAT/                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-204.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CHF/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1052.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/50/DKK/           | REALKREDIT DANMARK /DKK/ REGD REG S SER CCS 1.00000000                                           | CUSIP: K8094KWV1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.26         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20251002 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2151.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 02/15/45                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912810RL4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2629997 | PA      | $1909254.86   | 1.38%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1795.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIE 0.4% 05/15/30/EUR/           | BUONI POLIENNALI DEL TES /EUR/ REGD SER CPI 0.40000000                                           | CUSIP: T6052BUG1<br>LEI: N/A                  | Long             | DBT              | UST               | IT        |    372285 | PA      | $423302.67    | 0.31%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| RAST 2006-A10 A 6.5% 09/25/36            | RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A10 SER 2006-A10 CL A5 REGD 6.50000000               | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    504920 | PA      | $148000.47    | 0.11%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5353 5.5% 05/01/54              | FANNIE MAE POOL UMBS P#MA5353 5.50000000                                                         | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1725487 | PA      | $1738768.07   | 1.26%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/34                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 91282CJY8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2308570 | PA      | $2320957.79   | 1.68%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.54 11/30/29 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-997.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYD 2015-4 V/R 04/15/34 /EUR/           | DRYDEN 44 EURO CLO 2015 DAC SER 2015-44A CL A1RR V/R REGD 144A P/P /EUR/ 2.90600000              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    499918 | PA      | $584590.78    | 0.42%             | 2034-04-15      | Variable      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | NZD/USD FWD 20251002 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-652.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CGMSE 2014- V/R 11/15/31 /EUR/           | CARLYLE GLOBAL MARKET STRATEGIES SER 2014-2A CL AR1 V/R REGD 144A P/P /EUR/ 2.78600000           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     95032 | PA      | $111113.13    | 0.08%             | 2031-11-15      | Variable      | 2.79%                 | Yes           |                  2 | On Loan: No      |
| RC R/P BARCLA  4.470% 09/04/25           | RC R/P BARCLA  4.470% 09/04/25 4.47000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -771000 | PA      | $-771000.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT  1.5% 10/01/53/DKK/           | REALKREDIT DANMARK /DKK/ REGD REG S SER 23S 1.50000000                                           | CUSIP: K8094KZL0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    170207 | PA      | $21601.78     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | PLN/USD FWD 20251015 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $568.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | BRL/USD FWD 20250903 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $19507.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P BARCLA  4.530% 09/03/25           | RC R/P BARCLA  4.530% 09/03/25 4.53000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -21023488 | PA      | $-21023487.50 | -15.19%           |  |  |  | No            |                  2 | On Loan: No      |
| DUNEP 1A AR V/R 11/20/34 /EUR/           | DUNEDIN PARK CLO DAC SER 1A CL AR V/R REGD 144A P/P /EUR/ 3.00800000                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $819512.64    | 0.59%             | 2034-11-20      | Variable      | 3.01%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | INR/USD FWD 20250917 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2583.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT 1% 10/01/50/DKK/           | NORDEA KREDIT REALKREDIT /DKK/ REGD REG S SER CC2 1.00000000                                     | CUSIP: K7S724GQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LBMLT 2006-7 2A2 V/R 08/25/36            | LONG BEACH MORTGAGE LOAN TRUST 2006-7 SER 2006-7 CL 2A2 V/R REGD 4.67703000                      | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    144296 | PA      | $57605.68     | 0.04%             | 2036-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.375% 01/15/27                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000                                        | CUSIP: 912828V49<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5247847 | PA      | $5213231.05   | 3.77%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 1% 02/15/49                      | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810SG4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1538232 | PA      | $1099976.61   | 0.79%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AIMCO 2015-AA AR V/R 10/17/34            | AIMCO CLO SERIES 2015-A SER 2015-AA CL AR3 V/R REGD 144A P/P 5.57240000                          | CUSIP: 00900LAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400780.00    | 0.29%             | 2034-10-17      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | ILS/USD FWD 20251113 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3815.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.875% 02/15/47                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000                                        | CUSIP: 912810RW0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1857388 | PA      | $1333129.87   | 0.96%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SVHE 2007-OPT2 2 V/R 07/25/37            | SOUNDVIEW HOME LOAN TRUST 2007-OPT2 SER 2007-OPT2 CL 2A3 V/R REGD 4.61703000                     | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41328 | PA      | $37293.30     | 0.03%             | 2037-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.364 05/10/18-10Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-65405.19    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 1.7975 08/25/20-7Y LCH /FIXED/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $110514.01    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | PLN/USD FWD 20251015 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $310.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVHE 2007-OPT1 1 V/R 06/25/37            | SOUNDVIEW HOME LOAN TRUST 2007-OPT1 SER 2007-OPT1 CL 1A1 V/R REGD 4.63703000                     | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180688 | PA      | $122691.53    | 0.09%             | 2037-06-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT R 2.70 01/14/25-1Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-924.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU 2002-AR2 A V/R 02/27/34             | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR2 SER 2002-AR2 CL A V/R REGD 4.18300000    | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3424 | PA      | $3308.19      | 0.00%             | 2034-02-27      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/53/DKK/           | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.50000000                                      | CUSIP: K741813E4<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.18         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| IRO EUR 2Y C 2.44000 L 01/25/27 BRC      | IRO EUR 2Y C 2.44000 L 01/25/27 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6900000 | NC      | $-57139.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP EM NI 2.59 12/15/22  30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $10969.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2006-6 A4 6% 04/25/36               | CHL MORTGAGE PASS-THROUGH TRUST 2006-6 SER 2006-6 CL A4 REGD 6.00000000                          | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79092 | PA      | $37286.32     | 0.03%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $150.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CHF/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2439.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA8425 3.5% 11/20/52           | GINNIE MAE II POOL P#MA8425 3.50000000                                                           | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    274045 | PA      | $250263.96    | 0.18%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 07/15/32                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9436530 | PA      | $8960950.50   | 6.48%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CMLTI 2007-AR4 1A1A V/R3/25/37           | CITIGROUP MORTGAGE LOAN TRUST_  INC SERIES 2007-AR4 CLASS 1A1A V/R REGD 4.67861000               | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100308 | PA      | $84196.02     | 0.06%             | 2037-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| INDX 2005-16IP A V/R 07/25/45            | INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR16IP SER 2005-16IP CL A1 V/R REGD 5.07703000             | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32180 | PA      | $24585.91     | 0.02%             | 2045-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                      | KRW/USD FWD 20250929 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $217.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/           | NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000                                                   | CUSIP: K7S724JW8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    100000 | PA      | $10831.71     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% OCT 25                | FNMA 30YR TBA 4.5% OCT 25      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7800000 | PA      | $7498126.58   | 5.42%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.208 10/07/24-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-4805.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P BOFA S  4.520% 09/03/25           | RC R/P BOFA S  4.520% 09/03/25 4.52000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -8983375 | PA      | $-8983375.00  | -6.49%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 1.875% 07/15/34                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.87500000                                        | CUSIP: 91282CLE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4214677 | PA      | $4273481.52   | 3.09%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| F/C EURO-BOBL FUTURE  SEP25              | FUTURE CONTRACT ON           EURO-BOBL FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         5 | NC      | $687111.63    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| US TIPS 0.125% 07/15/30                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912828ZZ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2730034 | PA      | $2608556.52   | 1.89%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IDR/USD FWD 20250917 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-760.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | CHF/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2382.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#QH2327 6.5% 10/01/53              | FREDDIE MAC POOL UMBS P#QH2327 6.50000000                                                        | CUSIP: 3133CESQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334896 | PA      | $348345.92    | 0.25%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-143.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 02/15/52                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912810TE8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1042857 | PA      | $543453.31    | 0.39%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TRNTS 2017-6A AR V/R 01/25/34            | TRINITAS CLO VI LTD SER 2017-6A CL ARRR V/R REGD 144A P/P 5.64846000                             | CUSIP: 89640YBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500552.50    | 0.36%             | 2034-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.36 05/09/18-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-64415.20    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.82 02/05/25-1Y LCH /FLOAT/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-2775.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | JPY/USD FWD 20250902 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7543.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2015-3R 5A2 V/R 09/29/36            | CSMC SERIES 2015-3R SER 2015-3R CL 5A2 V/R REGD 144A P/P 4.58703000                              | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36263 | PA      | $36015.12     | 0.03%             | 2036-09-29      | Variable      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 1.25% 04/15/28                   | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25000000                                        | CUSIP: 91282CGW5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1075380 | PA      | $1084207.51   | 0.78%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                      | EUR/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $208.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA 2017-1A A1R V/R 04/17/30            | VOYA CLO 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 5.53401000                              | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21540 | PA      | $21535.79     | 0.02%             | 2030-04-17      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | THB/USD FWD 20251020 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-136.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRO FWD EUR 10Y P 2.74000 L 09/08/25 BRC | IRO FWD EUR 10Y P 2.74000 L 09/08/25 BRC 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1500000 | NC      | $-1496.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCF 2025-4A A 5.423% 07/29/43            | ROMARK CREDIT FUNDING LTD SER 2025-4A CL A REGD 144A P/P 5.42300000                              | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700530.60    | 0.51%             | 2043-07-29      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#QI9438 5% 07/01/54                | FREDDIE MAC POOL UMBS P#QI9438 5.00000000                                                        | CUSIP: 3133WGPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    295047 | PA      | $291340.05    | 0.21%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8409 6% 03/01/54                | FREDDIE MAC POOL UMBS P#SD8409 6.00000000                                                        | CUSIP: 3132DWKW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3851937 | PA      | $3941794.36   | 2.85%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLUEM 2016-3A A1 V/R 11/15/30            | BLUEMOUNTAIN CLO 2016-3 LTD SER 2016-3A CL A1R2 V/R REGD 144A P/P 5.41138000                     | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106726 | PA      | $106801.13    | 0.08%             | 2030-11-15      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $305.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | NZD/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1428.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWALT 2006-HY11  V/R 06/25/36            | ALTERNATIVE LOAN TRUST 2006-HY11 SER 2006-HY11 CL A1 V/R REGD 4.67703000                         | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145698 | PA      | $137212.85    | 0.10%             | 2036-06-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 1.28 05/19/20-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-189456.58   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 2% 01/15/26                      | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.00000000                                        | CUSIP: 912810FS2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    199897 | PA      | $200096.61    | 0.14%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP03.90 02/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-18357.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CBASS 2005-CB3 M V/R 06/25/35            | CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC SER 2005-CB3 CL M4 V/R REGD 5.48703000       | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128014 | PA      | $124575.76    | 0.09%             | 2035-06-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.31125 02/24/21-10Y LCH /FIXED/                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $314765.30    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P BARCLA  4.470% 09/03/25           | RC R/P BARCLA  4.470% 09/03/25 4.47000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1101250 | PA      | $-1101250.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-BUND FUTURE  SEP25              | FUTURE CONTRACT ON           EURO-BUND FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        18 | NC      | $2728206.40   | 1.97%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.335 02/05/18-10Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-119781.03   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| IRO FWD EUR 10Y C 2.74000 L 09/08/25 BRC | IRO FWD EUR 10Y C 2.74000 L 09/08/25 BRC 0.00000000                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1500000 | NC      | $-13131.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | SGD/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1249.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 1.375% 02/15/44                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000                                        | CUSIP: 912810RF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2311330 | PA      | $1933970.31   | 1.40%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/31                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CBF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5464475 | PA      | $5155213.02   | 3.73%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS R03.75PSO/N 09/17/30 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $-26350.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2004-NCM2 5.5% 08/25/34            | CITIGROUP MORTGAGE LOAN TRUST INC SER 2004-NCM2 CL 1CB1 REGD 5.50000000                          | CUSIP: 17307GGX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12003 | PA      | $11910.83     | 0.01%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                      | INR/USD FWD 20250917 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4648.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | SEK/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2161.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | GBP/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2022.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWALT 2008-2R 1A V/R 08/25/37            | ALTERNATIVE LOAN TRUST RESECURITIZATION 2008-2R SER 2008-2R CL 1A1 V/R REGD 6.00000000           | CUSIP: 021482AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    343251 | PA      | $283647.48    | 0.20%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                      | CAD/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11730.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNR 2025-47 FJ V/R 06/25/55              | FANNIE MAE REMICS SER 2025-47 CL FJ V/R 5.37839000                                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    685587 | PA      | $692111.81    | 0.50%             | 2055-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 10/15/27                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CFR7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6533340 | PA      | $6662460.69   | 4.81%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MRFC 2000-TBC2 A V/R 06/15/30            | MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 4.95758000        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2529 | PA      | $2471.76      | 0.00%             | 2030-06-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                      | IRS RSOFRP04.25 12/20/25 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8441.55      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | INF SWAP US IT 2.813 05/14/21-5Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $29613.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA 2017-2A A1R V/R 06/07/30            | VOYA CLO 2017-2 SER 2017-2A CL A1R V/R REGD 144A P/P 5.55916000                                  | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     18360 | PA      | $18373.93     | 0.01%             | 2030-06-07      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Morgan Stanley Pathway Funds

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Chief Financial Officer