# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027883
**Filing Date:** 2025-11
**Character Count:** 528324
**Document Hash:** 7238ac101326c8a587849da0b02e994f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027883.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027883

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 251505253

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs Global Core Fixed Income Fund (Series ID: S000009308)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000025414 | Institutional   | GSGLX           |
| C000025415 | Service         | GGISX           |
| C000025416 | Class A         | GSGIX           |
| C000025418 | Class C         | GSLCX           |
| C000090762 | Investor Shares | GBIRX           |
| C000161291 | Class R6 Shares | GBIUX           |
| C000202039 | Class P Shares  | GGXPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4400

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

- **a. Name of Series:** Goldman Sachs Global Core Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000009308

- **c. LEI of Series:** S7AVHSYYPK5PCOCQSV77

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1027233610.86

**Total Liabilities:** $181642365.50

**Net Assets:** $845591245.36

**Delayed Delivery Securities:** $10223544.76

**Cash Not Reported:** $28363086.62

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1220.62000000 | **1-Year:** -31765.41000000 | **5-Year:** -82744.28000000 | **10-Year:** -40784.32000000 | **30-Year:** -11285.64000000

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

- **3-Month:** -51.42000000 | **1-Year:** -7164.08000000 | **5-Year:** -36529.02000000 | **10-Year:** -1463.70000000 | **30-Year:** -6256.89000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025415 | -0.22%               | 0.76%                | 0.67%                |
| Class ID C000025418 | -0.27%               | 0.71%                | 0.62%                |
| Class ID C000090762 | -0.18%               | 0.79%                | 0.70%                |
| Class ID C000025416 | -0.11%               | 0.77%                | 0.68%                |
| Class ID C000025414 | -0.08%               | 0.80%                | 0.71%                |
| Class ID C000161291 | -0.08%               | 0.80%                | 0.71%                |
| Class ID C000202039 | -0.08%               | 0.80%                | 0.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1056331.65             | $-13627629.22                              |
| Month 2  | $786745.47               | $9841467.47                                |
| Month 3  | $-165017.48              | $2501483.51                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays Global Aggregate Bond Index

- **Index Identifier:** LMGLRETWTY

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W7WP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14272 | PA      | $13198.86     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10285000000 | PA      | $640685.70    | 0.08%             | 2030-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     3575000 | PA      | $3653078.00   | 0.43%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21477 | PA      | $19959.41     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      697822 | PA      | $624295.63    | 0.07%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $20451.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 5                                                                                                                       | CUSIP: 72133PAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1875000 | PA      | $1881121.88   | 0.22%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                                                                           | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      300000 | PA      | $301266.00    | 0.04%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  2641660000 | PA      | $1780943.33   | 0.21%             | 2029-12-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $377887.15    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                            | Sempra                                                                                                                                 | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      700000 | PA      | $686658.00    | 0.08%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     3800000 | OU      | $-49823.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12291.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |       70000 | PA      | $2587.98      | 0.00%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-4375.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138NXRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7132 | PA      | $6695.12      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                            | Blackstone Property Partners Europe Holdings Sarl                                                                                      | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |      325000 | PA      | $385294.37    | 0.05%             | 2029-10-29      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      948000 | PA      | $1197344.85   | 0.14%             | 2028-06-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU DEC26                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         126 | NC      | $-54803.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      730319 | PA      | $701475.65    | 0.08%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $-14342.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     6710000 | PA      | $217502.98    | 0.03%             | 2028-12-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236715  IRS EUR R F  3.30000 2 CCPVANILLA / Short: SR236715  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    32310000 | OU      | $-38130.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                                        | CUSIP: 16159HAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      425000 | PA      | $424602.92    | 0.05%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                     | 1988 CLO 4 Ltd                                                                                                                         | CUSIP: 68252EAJ0<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     1575000 | PA      | $1588527.68   | 0.19%             | 2037-04-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR228525  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR228525  IRS JPY P F  1.29500 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2162807589 | OU      | $246017.63    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1824241.23   | 0.22%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9955 | PA      | $9249.88      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds            | Hungary Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     2040000 | PA      | $2127618.00   | 0.25%             | 2028-05-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     6632868 | PA      | $7540620.67   | 0.89%             | 2029-12-04      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR248757  IRS EUR R F  2.50000 2 CCPOIS / Short: SR248757  IRS EUR P V 00MESTR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    15610000 | OU      | $82639.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    39000000 | PA      | $2009851.75   | 0.24%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    27310000 | OU      | $-221615.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Penta CLO                                         | Penta CLO 2021-2 DAC                                                                                                                   | CUSIP: 000000000<br>LEI: 635400GBGDCFEEAL3O62 | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1525195.95   | 0.18%             | 2038-04-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                                   | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      455000 | PA      | $448002.10    | 0.05%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                                | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      250000 | PA      | $242350.00    | 0.03%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RELX Finance BV                                   | RELX Finance BV                                                                                                                        | CUSIP: 000000000<br>LEI: 54930086P8MBY4IN4E29 | Long             | DBT              | CORP              | NL        |      437000 | PA      | $530812.02    | 0.06%             | 2031-06-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-168527.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      138069 | PA      | $133520.66    | 0.02%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      700000 | PA      | $792282.26    | 0.09%             | 2032-11-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-13793.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $4112.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WORKDAY INC                                       | Workday Inc                                                                                                                            | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      125000 | PA      | $123130.00    | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120628 | PA      | $121520.06    | 0.01%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762035 | PA      | $788960.67    | 0.09%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246928  IRS CNY R F  1.75000 CCPNDF / Short: SR246928  IRS CNY P V 03MCNRR CCPNDF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |   368080000 | OU      | $189612.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1763.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378WUZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197521 | PA      | $21891.35     | 0.00%             | 2043-08-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236074  IRS USD R F  4.57424 2 CCPOIS / Short: SR236074  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    68850000 | OU      | $261753.93    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI CRUDE OIL                               | Abu Dhabi Crude Oil Pipeline LLC                                                                                                       | CUSIP: 00401MAB2<br>LEI: 549300DONDFW2383FV66 | Long             | DBT              | CORP              | AE        |     1260000 | PA      | $1166684.40   | 0.14%             | 2047-11-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                                     | Owens Corning                                                                                                                          | CUSIP: 690742AM3<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |      975000 | PA      | $941040.75    | 0.11%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243225  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243225  IRS JPY P F  1.00000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  1510000000 | OU      | $5474.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $120257.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3572.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION SOFTWARE                            | Constellation Software Inc/Canada                                                                                                      | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |      438000 | PA      | $447180.48    | 0.05%             | 2029-02-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                                       | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      725000 | PA      | $736679.75    | 0.09%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                              | Booking Holdings Inc                                                                                                                   | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      729000 | PA      | $876852.06    | 0.10%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $23620.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243255  IRS SEK R F  2.75000 2 CCPVANILLA / Short: SR243255  IRS SEK P V 03MSTIBO 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    59220000 | OU      | $-1036.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                                     | CUSIP: 05971KAH2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $589116.00    | 0.07%             | 2026-11-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                                                                                    | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     1675000 | PA      | $1704199.67   | 0.20%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     7350000 | PA      | $8773208.63   | 1.04%             | 2033-11-25      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| Bank                                              | BANK 2025-BNK50                                                                                                                        | CUSIP: 064908AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1317512.04   | 0.16%             | 2068-05-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1732.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo VII DAC                                                                                                             | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1526265.86   | 0.18%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR234635  IRS USD R F  4.09811 2 CCPOIS / Short: SR234635  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    50900000 | OU      | $310148.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-10623.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379FEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72275 | PA      | $8932.34      | 0.00%             | 2045-11-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                     | Netflix, Inc.                                                                                                                          | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $2249218.08   | 0.27%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-2717.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |           1 | NC      | $2923.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2022-3 Ltd                                                                                                  | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1502230.50   | 0.18%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR7                                                                                                                        | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1251978.16   | 0.15%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-3047.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point EURO CLO Funding DAC                  | Sound Point Euro CLO 14 Funding DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400MRPPDDKPZD8B91 | Long             | ABS-CBDO         | CORP              | IE        |     1130000 | PA      | $1323786.42   | 0.16%             | 2039-04-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2019-6                                                                                                        | CUSIP: 03464VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1825000 | PA      | $1734850.66   | 0.21%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246939  IRS CZK R F  3.75000 2 CCPVANILLA / Short: SR246939  IRS CZK P V 06MPRIBO 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   107500000 | OU      | $-5164.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $12677.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                                                                                    | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      847000 | PA      | $856647.33    | 0.10%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR247179  IRS MXN R F  7.50000 2 CCPOIS / Short: SR247179  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    43650000 | OU      | $12823.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1523845 | PA      | $1300882.87   | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                               | Macquarie Group Ltd                                                                                                                    | CUSIP: 55608JAK4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |      380000 | PA      | $375523.60    | 0.04%             | 2028-11-28      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         588 | PA      | $598.79       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABKB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      437713 | PA      | $373997.84    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14901 | PA      | $16003.21     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1113 | PA      | $1131.44      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | Long: IR219081  IRS MYR R F  3.75000 NDF / Short: IR219081  IRS MYR P V 03MKLIB NDF                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | MY        |     3450000 | OU      | $23022.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $545.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293641 | PA      | $252532.27    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vanguard Intermediate-Term Corporate Bond ETF     | Vanguard Intermediate-Term Corporate Bond ETF                                                                                          | CUSIP: 92206C870<br>LEI: VKDXEYNPEMWGHJ22MR31 | Long             | EC               | RF                | US        |        3755 | NS      | $315833.05    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ECMC Group Student Loan Trust                     | ECMC Group Student Loan Trust 2017-1                                                                                                   | CUSIP: 26828WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1934903 | PA      | $1970086.76   | 0.23%             | 2066-12-27      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-5514.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3                                                                               | CUSIP: 61779JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2496646.50   | 0.30%             | 2070-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds             | Panama Government International Bonds                                                                                                  | CUSIP: 698299BW3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      200000 | PA      | $213200.00    | 0.03%             | 2036-01-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                                    | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      100000 | PA      | $55975.00     | 0.01%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-4409.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09644A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5360000 | NC      | $-32813.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      375000 | PA      | $347523.75    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      425000 | PA      | $435829.00    | 0.05%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243158  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR243158  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     2490000 | OU      | $-194492.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ARZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62106 | PA      | $61962.42     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09609A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5050000 | NC      | $-5685.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B5LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1714825 | PA      | $1398801.79   | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      424257 | PA      | $359100.42    | 0.04%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      656000 | PA      | $652142.72    | 0.08%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                       | Truist Bank                                                                                                                            | CUSIP: 89788JAE9<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1578528.00   | 0.19%             | 2027-05-20      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12973 | PA      | $12537.02     | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312938XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5690 | PA      | $5800.21      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-29160.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                 | CBRE Services Inc                                                                                                                      | CUSIP: 12505BAH3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      258000 | PA      | $267698.22    | 0.03%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |      805000 | PA      | $945829.07    | 0.11%             | 2031-05-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                                 | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      240000 | PA      | $234151.20    | 0.03%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AGL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18852 | PA      | $18807.95     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2025-DSC1                                                                                              | CUSIP: 46593TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1490247 | PA      | $1510322.04   | 0.18%             | 2065-09-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208170.46    | 0.02%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1531000 | PA      | $1325432.63   | 0.16%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $1654.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2025-1                                                                                            | CUSIP: 891950AA5<br>LEI: 254900QVX5SBHB37FT67 | Long             | ABS-O            | CORP              | US        |     2525000 | PA      | $2573282.57   | 0.30%             | 2038-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          15 | NC      | $13711.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250000 | PA      | $2286684.43   | 0.27%             | 2042-08-10      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243228  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243228  IRS JPY P F  1.00000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3926000000 | OU      | $294360.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-65601.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     1760000 | PA      | $1745634.88   | 0.21%             | 2034-05-25      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003288  CDS EUR R F  1.00000 2 CCPCDX / Short: SX003288  CDS EUR P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |    18189303 | OU      | $477362.64    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                                                                           | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      600000 | PA      | $618882.00    | 0.07%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2125000 | PA      | $2177976.25   | 0.26%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09382A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1726803 | NC      | $-11420.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       83018 | PA      | $82279.63     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         109 | NC      | $22734.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243203  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243203  IRS CAD P V 00MCORRA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7100000 | OU      | $-9498.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         100 | NC      | $12593.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-6                                                                                                  | CUSIP: 41161UAE2<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      139031 | PA      | $113295.84    | 0.01%             | 2036-08-19      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2022-DSC1                                                                                                   | CUSIP: 46656AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5718 | PA      | $5617.81      | 0.00%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR230955  IRS BRL R V 00MBRCDI IR230955_FLO CCPNDFPREDISWAP / Short: BR230955  IRS BRL P F 13.75000 IR230955_FIX CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    15700000 | OU      | $14304.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419LZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4208 | PA      | $4224.43      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                          | Export-Import Bank of Korea                                                                                                            | CUSIP: 302154DV8<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      390000 | PA      | $399750.00    | 0.05%             | 2028-01-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09497A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    18160000 | NC      | $3556.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-76364.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      325000 | PA      | $355101.02    | 0.04%             | 2030-01-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $82.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140M2PZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176380 | PA      | $149268.54    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                               | Otis Worldwide Corp                                                                                                                    | CUSIP: 68902VAP2<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      225000 | PA      | $231934.50    | 0.03%             | 2028-08-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                           | Nissan Auto Lease Trust 2024-A                                                                                                         | CUSIP: 65481CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      545628 | PA      | $545980.97    | 0.06%             | 2026-10-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417MFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2765 | PA      | $2771.23      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-BIO                                                                                                                      | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2050000 | PA      | $2045225.53   | 0.24%             | 2041-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                                                                        | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      300000 | PA      | $301479.00    | 0.04%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Aqueduct European CLO                             | Aqueduct European Clo 14 DAC                                                                                                           | CUSIP: 000000000<br>LEI: 2549003MKHH8W6CBWG92 | Long             | ABS-CBDO         | CORP              | IE        |      900000 | PA      | $1056645.60   | 0.12%             | 2039-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-15331.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     9116000 | PA      | $346376.32    | 0.04%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      776873 | PA      | $694258.26    | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                             | American Homes 4 Rent LP                                                                                                               | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |      125000 | PA      | $110760.00    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-29924.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                             | DP World Crescent Ltd                                                                                                                  | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |      950000 | PA      | $986812.50    | 0.12%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09417A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     4270000 | NC      | $17509.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                               | CUSIP: 960386AS9<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      700000 | PA      | $715407.00    | 0.08%             | 2030-05-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $5531.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246941  IRS THB R F  1.00000 2 CCPNDFOIS / Short: SR246941  IRS THB P V 00MTHOR 1 CCPNDFOIS                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   152680000 | OU      | $2923.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS006937  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006937  CDS USD P V 03MEVENT 1 CCPCORPORATE                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1250000 | OU      | $29106.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-44493.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A1MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104449 | PA      | $105209.10    | 0.01%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $147586.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675000 | PA      | $670393.31    | 0.08%             | 2047-03-14      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      210000 | PA      | $169220.03    | 0.02%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      100000 | PA      | $82615.60     | 0.01%             | 2067-03-01      | Fixed         | 2.80%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6157.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $683728.50    | 0.08%             | 2027-11-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376VHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      234935 | PA      | $26980.26     | 0.00%             | 2040-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          10 | NC      | $-91989.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     2100000 | PA      | $2631607.56   | 0.31%             | 2030-09-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34635 | PA      | $32271.30     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2440000 | PA      | $2444193.75   | 0.29%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                           | Romania Government Bond                                                                                                                | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1375000 | PA      | $306359.23    | 0.04%             | 2032-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-10343.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AWRQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51414 | PA      | $51295.39     | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds        | Philippines Government International Bonds                                                                                             | CUSIP: 718286CA3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      470000 | PA      | $399970.00    | 0.05%             | 2041-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                                 | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |       53000 | PA      | $50427.38     | 0.01%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      687236 | PA      | $603459.16    | 0.07%             | 2054-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-10782.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09615A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5330000 | NC      | $-4689.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-14225.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                                        | CUSIP: 16159HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $204800.92    | 0.02%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $748.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ASU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9765 | PA      | $9742.06      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $14865.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      642114 | PA      | $574206.41    | 0.07%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      152802 | PA      | $150918.18    | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-7526.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $745.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2187.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAZ7<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      275000 | PA      | $277087.25    | 0.03%             | 2035-07-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23465 | PA      | $23285.31     | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      250000 | PA      | $257207.50    | 0.03%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   211377916 | OU      | $-398359.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-107.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $22243.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $16694.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                                                                              | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |      925000 | PA      | $950613.25    | 0.11%             | 2029-06-24      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      200000 | PA      | $173500.00    | 0.02%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2017-P8                                                                                            | CUSIP: 17326DAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $262856.26    | 0.03%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1250000 | PA      | $1288687.50   | 0.15%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                        | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      600000 | PA      | $598416.00    | 0.07%             | 2029-09-22      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247833  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247833  IRS USD P F  3.25306 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    32930000 | OU      | $98921.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1410011 | PA      | $1209090.61   | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                                                                                      | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96736 | PA      | $89548.24     | 0.01%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2025-1                                                                                          | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      264213 | PA      | $264395.47    | 0.03%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AK6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17706 | PA      | $17664.54     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                          | Take-Two Interactive Software Inc                                                                                                      | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      943000 | PA      | $976674.53    | 0.12%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                              | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $135125.00    | 0.02%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                          | Deutsche Telekom International Finance BV                                                                                              | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |      250000 | PA      | $294697.50    | 0.03%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $878.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                           | Australia & New Zealand Banking Group Ltd                                                                                              | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     1006000 | PA      | $1193153.95   | 0.14%             | 2035-07-31      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                                                                       | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      875000 | PA      | $877948.75    | 0.10%             | 2030-08-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      761109 | PA      | $655551.17    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |           1 | NC      | $967.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-11975.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                 | Mountain View CLO 2016-1 LLC                                                                                                           | CUSIP: 62432FAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1755855 | PA      | $1757270.15   | 0.21%             | 2033-04-14      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      650000 | PA      | $572288.65    | 0.07%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-6                                                                                                      | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |     2366185 | PA      | $2386292.47   | 0.28%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust 2025-AIP4           | KRE Commercial Mortgage Trust 2025-AIP4                                                                                                | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $1697509.99   | 0.20%             | 2042-03-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09496A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    18160000 | NC      | $50634.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1167350000 | PA      | $6836202.41   | 0.81%             | 2044-03-20      | Fixed         | 1.60%                 | No            |                  1 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                                 | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       31914 | PA      | $32312.93     | 0.00%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                          | Ireland Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      430000 | PA      | $450965.07    | 0.05%             | 2030-10-18      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ANNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106674 | PA      | $106427.06    | 0.01%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         102 | NC      | $-45600.32    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243189  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243189  IRS GBP P V 00MSONIA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1670000 | OU      | $-30561.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4194.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR247175  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR247175  IRS COP P F  8.50000 2 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        | 10916520000 | OU      | $-3373.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Trust 2025-EWEST                                                                                                                  | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1751462.70   | 0.21%             | 2042-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund III DAC                                                                                                         | CUSIP: 000000000<br>LEI: 213800XV458LVR3TU384 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1643636.41   | 0.19%             | 2038-05-26      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Card issuance Trust                   | WF Card Issuance Trust                                                                                                                 | CUSIP: 92970QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2325000 | PA      | $2350494.14   | 0.28%             | 2030-05-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10193 | PA      | $9943.38      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128KRY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2101 | PA      | $2139.48      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                                                                                | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1450310.88   | 0.17%             | 2042-10-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47891 | PA      | $44309.02     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003290  CDS USD R F  1.00000 2 CCPCDX / Short: SX003290  CDS USD P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6877479 | OU      | $156523.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-18396.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         159 | NC      | $293767.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VERALTO CORP                                      | Veralto Corp                                                                                                                           | CUSIP: 92338CAD5<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1083642.00   | 0.13%             | 2028-09-18      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                        | Sodexo Inc                                                                                                                             | CUSIP: 833794AC4<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1048677.50   | 0.12%             | 2030-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                                                                               | CUSIP: 21036PBB3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1498845.00   | 0.18%             | 2025-11-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $22115.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      966263 | PA      | $782513.00    | 0.09%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140L5BW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130058 | PA      | $111972.60    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          12 | NC      | $10687.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09567A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |    -4610000 | NC      | $-11052.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-6453.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-11385.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KPAD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      911418 | PA      | $890026.21    | 0.11%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379M4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77582 | PA      | $14486.19     | 0.00%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                                                                                           | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1123804.00   | 0.13%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                                                                        | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      400000 | PA      | $265150.00    | 0.03%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1835.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2800000 | PA      | $2776228.00   | 0.33%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246938  IRS ZAR R F  6.75000 2 CCPVANILLA / Short: SR246938  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    35210000 | OU      | $3654.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                  | Norinchukin Bank/The                                                                                                                   | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |      250000 | PA      | $251310.00    | 0.03%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $3125.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246923  IRS HUF R F  6.00000 2 CCPVANILLA / Short: SR246923  IRS HUF P V 06MBUBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1199280000 | OU      | $-5108.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      759818 | PA      | $725996.84    | 0.09%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416NFG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2470 | PA      | $2475.81      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      630000 | PA      | $684236.70    | 0.08%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                             | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      400000 | PA      | $396324.00    | 0.05%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU DEC25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         208 | NC      | $-85731.07    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | Long: IR235948  IRS MYR R F  3.25000 2 NDF / Short: IR235948  IRS MYR P V 03MKLIBO 1 NDF                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |     3030000 | OU      | $506.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-20547.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181508 | PA      | $182192.87    | 0.02%             | 2041-10-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      255949 | PA      | $252793.98    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QQUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1577517 | PA      | $1611473.57   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                                          | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $514175.00    | 0.06%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                        | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     1275000 | PA      | $1275981.75   | 0.15%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $9031.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2025-I1                                                                                                                      | CUSIP: 12571DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1029236 | PA      | $1041940.34   | 0.12%             | 2069-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $47558.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                                                                          | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      700000 | PA      | $708981.00    | 0.08%             | 2027-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-1                                                                                                       | CUSIP: 89178WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $484129.08    | 0.06%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-38274.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $92455.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H9Y94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      612596 | PA      | $613169.39    | 0.07%             | 2033-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $2313.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09630A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5030000 | NC      | $-16640.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                              | Petronas Capital Ltd                                                                                                                   | CUSIP: 716743AW9<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      430000 | PA      | $447849.30    | 0.05%             | 2035-04-03      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         109 | NC      | $-23851.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Glencore Funding LLC                              | Glencore Funding LLC                                                                                                                   | CUSIP: 378272AV0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      775000 | PA      | $787330.25    | 0.09%             | 2029-03-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-INV2                                                                                                   | CUSIP: 92540NAA1<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |     1138802 | PA      | $1146946.88   | 0.14%             | 2069-08-26      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $12515.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                  | LEX 2024-BBG Mortgage Trust                                                                                                            | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1875000 | PA      | $1887378.45   | 0.22%             | 2033-10-13      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-16157.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-6717.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                                                                       | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1200000 | PA      | $1176528.00   | 0.14%             | 2027-06-16      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                                                                                                | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     1310000 | PA      | $1621981.52   | 0.19%             | 2029-01-19      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $14030.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1981.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379QCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120264 | PA      | $15310.93     | 0.00%             | 2045-09-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8487283 | PA      | $6795462.63   | 0.80%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412MRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3876 | PA      | $3878.61      | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2022-BNK40                                                                                                                        | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1150000 | PA      | $1071114.03   | 0.13%             | 2064-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CL        |           1 | NC      | $5507.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD THB                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $5044.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      875000 | PA      | $891572.50    | 0.11%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ECUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3028 | PA      | $3029.41      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2630.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                                                  | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1810000 | PA      | $1099575.00   | 0.13%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8076 | PA      | $7458.36      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         149 | PA      | $151.63       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                                | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      941000 | PA      | $918067.83    | 0.11%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27458.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3667.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1522.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243249  IRS SEK R F  2.00000 2 CCPVANILLA / Short: SR243249  IRS SEK P V 03MSTIBO 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   458420000 | OU      | $-88709.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9028 | PA      | $8487.15      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                                                         | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1775000 | PA      | $1687568.01   | 0.20%             | 2037-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                                                                                   | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      530000 | PA      | $526629.20    | 0.06%             | 2054-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QQWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1118402 | PA      | $1162462.94   | 0.14%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-7376.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297CWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18777 | PA      | $19087.41     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                                     | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1200000 | PA      | $1456367.58   | 0.17%             | 2029-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $8589.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |           1 | NC      | $-25707.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10915.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1726312 | PA      | $1546689.00   | 0.18%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                     | J M Smucker Co/The                                                                                                                     | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1286715.50   | 0.15%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243231  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243231  IRS JPY P F  1.25000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3252000000 | OU      | $577201.68    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                         | TPG Trust 2024-WLSC                                                                                                                    | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2350000 | PA      | $2354977.79   | 0.28%             | 2029-11-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                                        | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1215554.59   | 0.14%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-43118.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1133.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4047.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27000000 | PA      | $27224648.10  | 3.22%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09608A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5050000 | NC      | $-41455.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3330000 | PA      | $3080949.77   | 0.36%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0626A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $1027161.20   | 0.12%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3102.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1373.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-1C                                                                                                 | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1847475.40   | 0.22%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1990000 | PA      | $2075241.75   | 0.25%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4969.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-13682.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-5506.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-3994.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                                        | CUSIP: 16159HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      275000 | PA      | $279973.98    | 0.03%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                                      | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      650000 | PA      | $628095.00    | 0.07%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      642600 | PA      | $521595.62    | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                                    | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    30045700 | PA      | $29794258.95  | 3.52%             | 2025-12-18      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR14                                                                                                                       | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1569676.35   | 0.19%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B53A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      456274 | PA      | $384710.78    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                          | Japan Treasury Discount Bill                                                                                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        |  1892800000 | PA      | $12786847.29  | 1.51%             | 2025-12-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         200 | NC      | $-38251.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10681.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                           | Fidelity National Information Services Inc                                                                                             | CUSIP: 31620MBL9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      550000 | PA      | $643906.91    | 0.08%             | 2025-12-03      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                                                                           | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1223938.75   | 0.14%             | 2035-02-02      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1130000 | PA      | $1262001.73   | 0.15%             | 2038-03-01      | Fixed         | 3.25%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $5639.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR247181  IRS COP R F  8.75000 2 CCPNDFOIS / Short: SR247181  IRS COP P V 00MCPIBR 1 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |  4973630000 | OU      | $277.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      975000 | PA      | $985237.50    | 0.12%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                     | Ares European CLO XXI DAC                                                                                                              | CUSIP: 000000000<br>LEI: 254900REPQKNP1XRDH75 | Long             | ABS-CBDO         | CORP              | IE        |      540000 | PA      | $633965.80    | 0.07%             | 2038-04-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9782 | PA      | $9068.20      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6503.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-2021.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $612.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $16526.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    49620000 | OU      | $-5349.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $52056.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1671000 | PA      | $2092359.78   | 0.25%             | 2030-08-08      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      800000 | PA      | $478054.65    | 0.06%             | 2066-05-25      | Fixed         | 1.75%                 | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | OPS09172A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     3060000 | NC      | $17319.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      373662 | PA      | $321350.98    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                                                                                   | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      350000 | PA      | $317831.50    | 0.04%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09638A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5370000 | NC      | $-50344.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11941.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2993000 | PA      | $3129271.29   | 0.37%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $9151.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     1030000 | PA      | $1292337.09   | 0.15%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WN5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40505 | PA      | $37470.81     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300522.00    | 0.04%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1681326 | PA      | $1675687.83   | 0.20%             | 2055-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243279  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR243279  IRS NZD P V 03MNZDBB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12110000 | OU      | $158657.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-11467.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR248759  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR248759  IRS USD P F  3.29368 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    64260000 | OU      | $34706.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                              | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      540000 | PA      | $529200.00    | 0.06%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                                  | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $918820.68    | 0.11%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2969.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246926  IRS HUF R F  6.50000 2 CCPVANILLA / Short: SR246926  IRS HUF P V 06MBUBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    23320000 | OU      | $-547.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1131.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-104836.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $17202.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2025-REV2                                                                                                 | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2400000 | PA      | $2412526.03   | 0.29%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-8484.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      280000 | PA      | $100691.28    | 0.01%             | 2120-06-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| KFW                                               | Kreditanstalt fuer Wiederaufbau                                                                                                        | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     3500000 | PA      | $4211002.73   | 0.50%             | 2028-10-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-2126.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1797.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $35233.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-1                                                                                             | CUSIP: 30167MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      418142 | PA      | $418386.56    | 0.05%             | 2027-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.45         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2096989 | PA      | $1878413.65   | 0.22%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                                                                       | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49489.50     | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 Trust 2025-5YR13                                                                                                                 | CUSIP: 06650CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $1098823.57   | 0.13%             | 2058-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4521.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      477959 | PA      | $409580.44    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $760602.41    | 0.09%             | 2047-03-14      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      721779 | PA      | $654147.51    | 0.08%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3428.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27440.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7716.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-285.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      750000 | PA      | $871732.62    | 0.10%             | 2027-06-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-7767.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          73 | NC      | $114347.38    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      350000 | PA      | $358277.50    | 0.04%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $31812.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243155  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243155  IRS EUR P F  2.50000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12430000 | OU      | $263118.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7387.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-3352.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2100000 | PA      | $2146606.98   | 0.25%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo VII DAC                                                                                                             | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1643670.93   | 0.19%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                                         | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |      820000 | PA      | $707118.97    | 0.08%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                                                        | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     1500000 | PA      | $1505004.42   | 0.18%             | 2029-02-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Aviva PLC                                         | Aviva PLC                                                                                                                              | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |       10000 | PA      | $13649.12     | 0.00%             | 2036-11-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-5MW                                                                                                | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2550000 | PA      | $2537643.90   | 0.30%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                 | Mountain View Clo XV Ltd                                                                                                               | CUSIP: 62432PAS1<br>LEI: 254900VKL64PZVEG4F33 | Long             | ABS-CBDO         | CORP              | KY        |     1225000 | PA      | $1229552.10   | 0.15%             | 2037-07-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                       | Houston Galleria Mall Trust 2025-HGLR                                                                                                  | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975000 | PA      | $1007287.05   | 0.12%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27683.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09418A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1000000 | NC      | $-19991.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   903000000 | PA      | $5013349.02   | 0.59%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  1 | On Loan: No      |
| Armada Euro CLO                                   | Armada Euro CLO IX DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 254900H74CRBB8IV8606 | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1526265.86   | 0.18%             | 2039-10-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      673445 | PA      | $544004.71    | 0.06%             | 2038-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379TYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89442 | PA      | $11048.51     | 0.00%             | 2046-01-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296UXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         213 | PA      | $217.17       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      530000 | PA      | $541116.75    | 0.06%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-17046.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                              | CUSIP: 59284MAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      200000 | PA      | $173202.00    | 0.02%             | 2046-10-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-3                                                                                                 | CUSIP: 46657QAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1669392 | PA      | $1517223.34   | 0.18%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                                          | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1634000 | PA      | $1808331.46   | 0.21%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                     | BLP Commercial Mortgage Trust 2024-IND2                                                                                                | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1162314 | PA      | $1163108.45   | 0.14%             | 2041-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          47 | NC      | $-27124.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-12804.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE EUROPE                           | Glencore Finance Europe Ltd                                                                                                            | CUSIP: 000000000<br>LEI: 213800WHKNIC1JQQG433 | Long             | DBT              | CORP              | JE        |      125000 | PA      | $166873.44    | 0.02%             | 2026-03-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 36 Clo Ltd                                                                                                                     | CUSIP: 92332LAF6<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |      900000 | PA      | $877715.10    | 0.10%             | 2032-04-20      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $13933.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418AFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2606 | PA      | $2607.08      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     1110000 | PA      | $1118155.40   | 0.13%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246935  IRS PLN R F  4.50000 2 CCPVANILLA / Short: SR246935  IRS PLN P V 06MWIBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1030000 | OU      | $-918.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $946226.95    | 0.11%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-23245.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $6187.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $4978.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11132846 | PA      | $10871614.87  | 1.29%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-22503.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      709181 | PA      | $814888.07    | 0.10%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                              | E.ON International Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |      417000 | PA      | $597355.09    | 0.07%             | 2032-06-07      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                                                                                  | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |      125000 | PA      | $135862.50    | 0.02%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   768800000 | PA      | $5098768.31   | 0.60%             | 2035-03-20      | Fixed         | 1.40%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-300.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      573000 | PA      | $595238.13    | 0.07%             | 2030-03-12      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4849609.50   | 0.57%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      846185 | PA      | $686549.33    | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds            | Romania Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       70000 | PA      | $70914.84     | 0.01%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                                   | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      918568 | PA      | $772528.03    | 0.09%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-13519.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 41 Ltd                                | Elmwood CLO 41 Ltd                                                                                                                     | CUSIP: 29005BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6000000 | PA      | $6017514.00   | 0.71%             | 2038-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      310000 | PA      | $324299.09    | 0.04%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BR246937  IRS KRW R V 03MKSDA 1 CCPNDF / Short: BR246937  IRS KRW P F  2.25000 2 CCPNDF                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  6253440000 | OU      | $21499.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337228 | PA      | $285489.03    | 0.03%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-33793.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1049.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      280304 | PA      | $283595.48    | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $9916.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust         | Banc of America Commercial Mortgage Trust 2015-UBS7                                                                                    | CUSIP: 06054ABB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975000 | PA      | $969792.58    | 0.11%             | 2048-09-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                                                                        | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000687 | PA      | $979206.97    | 0.12%             | 2037-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-8163.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11470.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      775000 | PA      | $776339.36    | 0.09%             | 2044-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2024-R05                                                                                           | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268321 | PA      | $268319.99    | 0.03%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      767628 | PA      | $659923.56    | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09471A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -36320000 | NC      | $-26621.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      173055 | PA      | $175195.07    | 0.02%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                    | PENN Commercial Mortgage Trust 2025-P11                                                                                                | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $2031518.94   | 0.24%             | 2042-08-10      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      259630 | PA      | $256916.66    | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31288EK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         839 | PA      | $852.72       | 0.00%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      486618 | PA      | $492332.36    | 0.06%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      205925 | PA      | $198554.56    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                             | Traton Finance Luxembourg SA                                                                                                           | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |     1000000 | PA      | $1187258.73   | 0.14%             | 2028-01-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-13305.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                                                                        | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      577119 | PA      | $499745.90    | 0.06%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09660A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |    -5390000 | NC      | $-38808.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                                                                              | CUSIP: 000000000<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     2390000 | PA      | $3156773.59   | 0.37%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                                                 | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1775000 | PA      | $1781336.75   | 0.21%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2025-VIS1                                                                                                     | CUSIP: 46659BAC6<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |       20243 | PA      | $20457.90     | 0.00%             | 2055-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10189 | PA      | $10026.09     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                                           | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      838544 | PA      | $1050936.58   | 0.12%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                                                        | CUSIP: 06742LBB8<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2600600.60   | 0.31%             | 2028-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-4290.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Series 2025-R01                                                                                          | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1850000 | PA      | $1852693.97   | 0.22%             | 2045-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $21066.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $22.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                                                                                     | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      900000 | PA      | $899973.00    | 0.11%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-1                                                                                             | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      425000 | PA      | $425955.75    | 0.05%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         281 | NC      | $501907.29    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11431.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR15                                                                                                                       | CUSIP: 065924AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1507768.06   | 0.18%             | 2058-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243261  IRS NOK R F  3.75000 2 CCPVANILLA / Short: SR243261  IRS NOK P V 06MNIBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   840250000 | OU      | $-573980.62   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                                                                               | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $696639.40    | 0.08%             | 2026-12-29      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3125000 | PA      | $3132812.50   | 0.37%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7834.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236714  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR236714  IRS EUR P F  3.00000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    77300000 | OU      | $465496.01    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| KFW                                               | Kreditanstalt fuer Wiederaufbau                                                                                                        | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     4070000 | PA      | $4824784.33   | 0.57%             | 2029-04-26      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-3435.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $344244.57    | 0.04%             | 2028-01-21      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      321252 | PA      | $274489.28    | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243235  IRS JPY R F  2.00000 2 CCPOIS / Short: SR243235  IRS JPY P V 00MTONAR 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   657000000 | OU      | $-464645.18   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    26320000 | PA      | $3470896.90   | 0.41%             | 2055-04-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243243  IRS CHF R F   .50000 2 CCPOIS / Short: SR243243  IRS CHF P V 00MSARON 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1030000 | OU      | $3002.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-16676.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AXT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4796 | PA      | $4784.73      | 0.00%             | 2036-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  7702000000 | PA      | $480190.70    | 0.06%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312930J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         420 | PA      | $428.14       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12005.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                                      | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      600000 | PA      | $613260.00    | 0.07%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $30444.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust                           | BMW Vehicle Lease Trust 2025-1                                                                                                         | CUSIP: 096912AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1775000 | PA      | $1788690.24   | 0.21%             | 2028-06-26      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers CLO 45 Ltd                                                                                              | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |      740000 | PA      | $740932.40    | 0.09%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $13154.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR239730  IRS USD R F  3.37296 2 CCPOIS / Short: SR239730  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    27710000 | OU      | $-861.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                  | Japan Government Five Year Bonds                                                                                                       | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   958350000 | PA      | $6456590.29   | 0.76%             | 2029-12-20      | Fixed         | 1.10%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-1831.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                             | DuPont de Nemours Inc                                                                                                                  | CUSIP: 26078JAC4<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |      600000 | PA      | $599712.00    | 0.07%             | 2025-11-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MBN4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1375000 | PA      | $1395900.00   | 0.17%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                            | Logicor Financing Sarl                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      550000 | PA      | $648071.86    | 0.08%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-9761.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-6395.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08787A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1340000 | NC      | $-35596.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-22081.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-24383.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                               | Apex Credit CLO 2024-II Ltd                                                                                                            | CUSIP: 03753EAA0<br>LEI: 213800V47GF24QSFBA63 | Long             | ABS-CBDO         | CORP              | KY        |     1275000 | PA      | $1279262.33   | 0.15%             | 2037-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144833 | PA      | $146758.29    | 0.02%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR246931  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR246931  IRS THB P F  1.25000 2 CCPNDFOIS                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    64130000 | OU      | $-9186.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-4497.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246932  IRS CNY R F  1.50000 CCPNDF / Short: SR246932  IRS CNY P V 03MCNRR CCPNDF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |   111870000 | OU      | $-21941.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                  | DP World Ltd/United Arab Emirates                                                                                                      | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      390000 | PA      | $383175.00    | 0.05%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR10                                                                                                                       | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $411088.63    | 0.05%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7960.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-15845.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2025-BNK49                                                                                                                        | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2326362.87   | 0.28%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      187380 | PA      | $185714.64    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      403131 | PA      | $398917.46    | 0.05%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                                       | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $561104.37    | 0.07%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR233404  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR233404  IRS EUR P F  2.61000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    14300000 | OU      | $1036595.21   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12338.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-2216.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243437  IRS USD R F  3.75000 2 CCPOIS / Short: SR243437  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     4630000 | OU      | $40240.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QQWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1089651 | PA      | $1130194.82   | 0.13%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1270000 | PA      | $1393902.80   | 0.16%             | 2028-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-48373.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      273434 | PA      | $234315.79    | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-12304.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3325000 | PA      | $3402539.00   | 0.40%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2252000 | PA      | $2459466.42   | 0.29%             | 2030-02-26      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund    | Goldman Sachs Financial Square Government Fund                                                                                         | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |    69478204 | NS      | $69478204.28  | 8.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS DE TESORERIA                                | Peru Government Bond                                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1550000 | PA      | $468137.19    | 0.06%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust                                                                                                    | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1550000 | PA      | $1560346.25   | 0.18%             | 2029-07-16      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                            | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1925000 | PA      | $1927849.00   | 0.23%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20057 | PA      | $19565.75     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1370000 | PA      | $1680154.08   | 0.20%             | 2043-09-01      | Fixed         | 4.45%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $2378.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $878320.30    | 0.10%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      840000 | PA      | $489449.26    | 0.06%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      605000 | PA      | $616664.40    | 0.07%             | 2028-03-12      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $-6594.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                                    | CUSIP: 110709FY3<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     2000000 | PA      | $1559603.36   | 0.18%             | 2040-06-18      | Fixed         | 4.95%                 | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     3220000 | PA      | $3409468.25   | 0.40%             | 2031-04-01      | Fixed         | 0.90%                 | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                                     | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $1017630.00   | 0.12%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243160  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243160  IRS EUR P F  2.25000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5740000 | OU      | $894926.40    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $7287.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERMANENT TSB GROUP                               | Permanent TSB Group Holdings PLC                                                                                                       | CUSIP: 000000000<br>LEI: 635400DTNHVYGZODKQ93 | Long             | DBT              | CORP              | IE        |      265000 | PA      | $329778.39    | 0.04%             | 2028-04-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54462 | PA      | $54655.06     | 0.01%             | 2042-04-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243164  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243164  IRS EUR P F  2.75000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1630000 | OU      | $32530.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                              | Colombian TES                                                                                                                          | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   897700000 | PA      | $247010.27    | 0.03%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575000 | PA      | $601524.85    | 0.07%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-ROIC                                                                                                                     | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1494172 | PA      | $1489680.78   | 0.18%             | 2030-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                      | Sunnova Hestia I Issuer LLC                                                                                                            | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      153966 | PA      | $158223.65    | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15990.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                                          | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $227322.04    | 0.03%             | 2030-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1228 | PA      | $1248.42      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10088.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08786A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    14390000 | NC      | $59869.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-432.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243184  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR243184  IRS GBP P F  3.75000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |      410000 | OU      | $57.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                               | Carrier Global Corp                                                                                                                    | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      145000 | PA      | $141953.55    | 0.02%             | 2027-02-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-6878.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79090 | PA      | $73567.26     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $133006.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2017-2                                                                                                   | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99544 | PA      | $97521.27     | 0.01%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243149  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243149  IRS EUR P F  2.00000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5240000 | OU      | $21431.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7470.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11721.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       83504 | PA      | $9627.77      | 0.00%             | 2049-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                                        | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1007275.22   | 0.12%             | 2035-07-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust               | Nissan Auto Receivables 2023-B Owner Trust                                                                                             | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      335596 | PA      | $338579.68    | 0.04%             | 2028-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2024-REV1                                                                                                 | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1625000 | PA      | $1662370.06   | 0.20%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-5202.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                     | 1988 CLO 5 Ltd                                                                                                                         | CUSIP: 68252PAA4<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |     1275000 | PA      | $1278329.03   | 0.15%             | 2037-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1750000 | PA      | $1932094.08   | 0.23%             | 2029-09-14      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                                                  | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      225000 | PA      | $227551.50    | 0.03%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                  | TotalEnergies SE                                                                                                                       | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $353514.87    | 0.04%             | 2026-10-06      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $6395976.30   | 0.76%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1650000 | PA      | $1657587.69   | 0.20%             | 2044-05-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17089 | PA      | $15941.42     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                                        | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1614281.66   | 0.19%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      280000 | PA      | $195254.96    | 0.02%             | 2117-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                                    | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       10000 | PA      | $5610.00      | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243132  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243132  IRS USD P F  3.50000 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    57620000 | OU      | $-225305.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246945  IRS KRW R F  2.75000 2 CCPNDF / Short: SR246945  IRS KRW P V 03MKSDA 1 CCPNDF                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 11794860000 | OU      | $-32230.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $8673.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                                                         | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1323647.00   | 0.16%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08400A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1690000 | NC      | $-11018.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3560000 | PA      | $2329018.75   | 0.28%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7059.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $7907.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM1                                                                                          | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     1034469 | PA      | $1053263.68   | 0.12%             | 2065-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                           | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      275000 | PA      | $273996.25    | 0.03%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A3B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127631 | PA      | $13270.20     | 0.00%             | 2042-02-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09643A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5360000 | NC      | $-40998.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                             | Campbell's Company/The                                                                                                                 | CUSIP: 134429BN8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1027400.00   | 0.12%             | 2029-03-21      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MA2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236426 | PA      | $200171.19    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-5915.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      175000 | PA      | $180281.50    | 0.02%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7348.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                                                  | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1521000 | PA      | $962793.00    | 0.11%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850000 | PA      | $1882153.87   | 0.22%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      244000 | PA      | $235196.48    | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                 | Southern Power Co                                                                                                                      | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |      475000 | PA      | $472064.50    | 0.06%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236075  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236075  IRS USD P F  3.84826 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    53150000 | OU      | $-54420.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1170000 | PA      | $909761.29    | 0.11%             | 2052-09-01      | Fixed         | 2.15%                 | No            |                  1 | On Loan: No      |
| AUTONATION INC                                    | AutoNation Inc                                                                                                                         | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $187586.00    | 0.02%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA2                                                                                                | CUSIP: 35564NCX9<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |     1361623 | PA      | $1365795.12   | 0.16%             | 2044-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   245900000 | PA      | $1536241.07   | 0.18%             | 2032-06-20      | Fixed         | 0.20%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138E22U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15844 | PA      | $15807.69     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3325000 | PA      | $3424618.23   | 0.40%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -3000000 | PA      | $-2909167.50  | -0.34%            | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-6256.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR247174  IRS MXN R F  7.25000 2 CCPOIS / Short: SR247174  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    96640000 | OU      | $23273.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      122525 | PA      | $14293.59     | 0.00%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 19 2025                                                                                                                 | CUSIP: 72132DAA9<br>LEI: 391200PAO6NUBCQMES50 | Long             | ABS-CBDO         | CORP              | KY        |     3325000 | PA      | $3332258.48   | 0.39%             | 2038-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      271867 | PA      | $275229.35    | 0.03%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      717945 | PA      | $710521.81    | 0.08%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $4528.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1880615.20  | -0.22%            | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1009.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                          | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1795832.50   | 0.21%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2524018520 | OU      | $-637004.69   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         279 | NC      | $-72691.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                                                                               | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25282.25     | 0.00%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      325000 | PA      | $304723.25    | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A2JK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37172 | PA      | $37313.59     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      790000 | PA      | $656775.73    | 0.08%             | 2035-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                              | Sagard-Halseypoint Clo 8 Ltd                                                                                                           | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |     1025000 | PA      | $1028414.28   | 0.12%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2025-BNK50                                                                                                                        | CUSIP: 064908AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675000 | PA      | $715585.06    | 0.08%             | 2068-05-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      650000 | PA      | $805334.18    | 0.10%             | 2036-05-31      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                                                                              | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      750000 | PA      | $786682.50    | 0.09%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      509000 | PA      | $583410.93    | 0.07%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1052.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |           1 | NC      | $19592.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $21292.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                 | Portugal Obrigacoes do Tesouro OT                                                                                                      | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     1200000 | PA      | $1395025.78   | 0.16%             | 2029-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-11933.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-287.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3123.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                                 | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     1550000 | PA      | $1536608.00   | 0.18%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243221  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR243221  IRS AUD P F  4.25000 2 CCPVANILLA                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1800000 | OU      | $6106.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $5489.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1221077 | PA      | $1208315.22   | 0.14%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      700000 | PA      | $819748.00    | 0.10%             | 2026-11-18      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1213175.25   | 0.14%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR233929  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR233929  IRS USD P F  4.21304 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    11520000 | OU      | $-24348.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $2945.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      200000 | PA      | $175750.00    | 0.02%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ILS / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |           1 | NC      | $20229.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $4993.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1453.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31283HZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         993 | PA      | $1009.89      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-38                                                                                                         | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31053 | PA      | $28017.38     | 0.00%             | 2035-09-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09637A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5370000 | NC      | $-17953.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      818000 | PA      | $828331.34    | 0.10%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-1665.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $2066796.80   | 0.24%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BX003307  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003307  CDS EUR P F  1.00000 2 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     9377464 | OU      | $-42824.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                             | Silver Point Clo 4 Ltd                                                                                                                 | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |     4500000 | PA      | $4511439.00   | 0.53%             | 2037-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    17150000 | PA      | $748370.85    | 0.09%             | 2055-06-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243183  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243183  IRS GBP P V 00MSONIA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    86880000 | OU      | $587706.30    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025000 | PA      | $1040058.35   | 0.12%             | 2042-08-10      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                                      | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      975000 | PA      | $992189.25    | 0.12%             | 2028-11-19      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds               | Kingdom of Belgium Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1690000 | PA      | $1681781.67   | 0.20%             | 2032-06-22      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-3701.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REGION WALLONNE                                   | Region Wallonne Belgium                                                                                                                | CUSIP: 000000000<br>LEI: 529900HPQFHMCG25MZ72 | Long             | DBT              | NUSS              | BE        |     1300000 | PA      | $1380782.20   | 0.16%             | 2038-01-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $42649.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      708083 | PA      | $606963.24    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                               | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |      935000 | PA      | $1101831.93   | 0.13%             | 2026-08-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                            | Choice Hotels International Inc                                                                                                        | CUSIP: 169905AG1<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |      248000 | PA      | $232229.68    | 0.03%             | 2031-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $16196.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                          | Telefonica Emisiones SA                                                                                                                | CUSIP: 000000000<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |      450000 | PA      | $616358.68    | 0.07%             | 2029-10-08      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                                     | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      750000 | PA      | $788985.00    | 0.09%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      285000 | PA      | $286346.06    | 0.03%             | 2041-12-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         315 | PA      | $320.53       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                | Banco Santander SA                                                                                                                     | CUSIP: 05964HAF2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $990530.00    | 0.12%             | 2028-02-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3100000 | PA      | $3200562.14   | 0.38%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09173A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1280000 | NC      | $-16545.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR247182  IRS CLP R F  5.25000 2 CCPNDFCAMARAPROMEDIO / Short: SR247182  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  1007680000 | OU      | $-3660.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4000000 | PA      | $4068531.20   | 0.48%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-11936.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR241429  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR241429  IRS EUR P F  2.80000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    12730000 | OU      | $195934.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-3BP                                                                                                 | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1192475.03   | 0.14%             | 2042-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-6244.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-51813.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                     | McKesson Corp                                                                                                                          | CUSIP: 581557BG9<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |      125000 | PA      | $146603.71    | 0.02%             | 2025-11-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243186  IRS GBP R F  3.75000 2 CCPOIS / Short: SR243186  IRS GBP P V 00MSONIA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    17090000 | OU      | $-93628.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO                          | Korea Hydro & Nuclear Power Co Ltd                                                                                                     | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |      630000 | PA      | $631650.60    | 0.07%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         110 | NC      | $-36571.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $348738.83    | 0.04%             | 2027-04-26      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GR                          | Motability Operations Group PLC                                                                                                        | CUSIP: 000000000<br>LEI: AZ3NL8JCZDCNUXFWI720 | Long             | DBT              | CORP              | GB        |     1247000 | PA      | $1497245.63   | 0.18%             | 2029-07-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20961 | PA      | $20912.78     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                                                         | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475000 | PA      | $441946.32    | 0.05%             | 2037-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-22269.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR10                                                                                                                       | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1150000 | PA      | $1184314.70   | 0.14%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                                                    | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |      400000 | PA      | $396560.00    | 0.05%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      870000 | PA      | $956492.15    | 0.11%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $28667.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11384 | PA      | $10611.46     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU MAR26                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         127 | NC      | $-19131.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | European Investment Bank                                                                                                               | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |     3500000 | PA      | $4198017.73   | 0.50%             | 2028-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     6350000 | PA      | $203153.95    | 0.02%             | 2028-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      161136 | PA      | $138728.35    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5300873 | PA      | $4321139.11   | 0.51%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  2598070000 | PA      | $1798509.21   | 0.21%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      529794 | PA      | $475674.45    | 0.06%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08399A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     5680000 | NC      | $7684.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2025-5C36                                                                                                         | CUSIP: 05556CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $1771890.45   | 0.21%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $732.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-20908.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243152  IRS EUR R F  2.25000 2 CCPVANILLA / Short: SR243152  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    32620000 | OU      | $-293826.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $28464.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-851.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                                                                              | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50323.00     | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO                                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1526265.86   | 0.18%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 97 CLO Ltd                                                                                                                      | CUSIP: 26248XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3018702.00   | 0.36%             | 2038-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $-2503.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7099.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $8731.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $5550.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2024-UNIV                                                                                               | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1602313.81   | 0.19%             | 2041-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2025-VIS1                                                                                                     | CUSIP: 46659BAA0<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |     1442410 | PA      | $1458943.08   | 0.17%             | 2055-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5000000 | PA      | $4135381.50   | 0.49%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-13358.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09653A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5110000 | NC      | $-32869.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-1717.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      637385 | PA      | $548154.23    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                                                                                    | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     1375000 | PA      | $1478603.81   | 0.17%             | 2029-10-23      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                             | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      725000 | PA      | $749650.00    | 0.09%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MPDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12569 | PA      | $11615.20     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3043 | PA      | $3044.27      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296USS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $352.85       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Student Loan Trust 2017-2                                                                                                      | CUSIP: 63939RAA2<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |     2797648 | PA      | $2821312.74   | 0.33%             | 2066-12-27      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      675852 | PA      | $684211.37    | 0.08%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                          | Japan Treasury Discount Bill                                                                                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        |  3187100000 | PA      | $21547541.62  | 2.55%             | 2025-10-14      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4940.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2391.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Investment Bank                          | European Investment Bank                                                                                                               | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |     1240000 | PA      | $1414113.50   | 0.17%             | 2028-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2025-NQM4                                                                                              | CUSIP: 10570QAE1<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-MBS          | CORP              | US        |     1704068 | PA      | $1724750.62   | 0.20%             | 2065-02-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                                      | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      850000 | PA      | $864399.00    | 0.10%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418QJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1810 | PA      | $1816.86      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13000000 | PA      | $13096458.70  | 1.55%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4887527 | PA      | $4803391.19   | 0.57%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XBJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333613 | PA      | $328912.44    | 0.04%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                             | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     1320000 | PA      | $1137520.83   | 0.13%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296TGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $157.96       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3507.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243200  IRS CAD R F  2.25000 2 CCPOIS / Short: SR243200  IRS CAD P V 00MCORRA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30360000 | OU      | $-34345.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-9944.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417NTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3911 | PA      | $3912.99      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243166  IRS EUR R F  1.75000 2 CCPOIS / Short: SR243166  IRS EUR P V 00MESTR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     6900000 | OU      | $-30038.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-18828.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR234637  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR234637  IRS USD P F  3.59995 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   209080000 | OU      | $-670958.63   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38382BBF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1123729 | PA      | $212600.26    | 0.03%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAU8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      525000 | PA      | $531231.75    | 0.06%             | 2029-01-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  5281000000 | PA      | $327666.01    | 0.04%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-1032.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                                                    | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      925000 | PA      | $934416.50    | 0.11%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EFSF                                              | European Financial Stability Facility                                                                                                  | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     1170000 | PA      | $1129804.57   | 0.13%             | 2035-04-10      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1195 | PA      | $1214.76      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                                                                               | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1491209 | PA      | $1510589.85   | 0.18%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1786366.20  | -0.21%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243206  IRS CAD R F  2.75000 2 CCPOIS / Short: SR243206  IRS CAD P V 00MCORRA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1860000 | OU      | $-16905.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-919.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138APHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13404 | PA      | $13373.30     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                           | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      639000 | PA      | $648482.76    | 0.08%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-321.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417L5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6512 | PA      | $6514.66      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      762524 | PA      | $779414.66    | 0.09%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4917.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tikehau                                           | Tikehau CLO IV DAC                                                                                                                     | CUSIP: 000000000<br>LEI: 5493003A9LSOVYP56X91 | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1174042.44   | 0.14%             | 2039-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-6014.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1310.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416RH63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4585 | PA      | $4596.25      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-1220.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5784 | PA      | $5786.93      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                                                                      | CUSIP: 24703TAG1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      875000 | PA      | $903568.75    | 0.11%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-34477.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3205.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38382FV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      484608 | PA      | $105041.62    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: IR218405  IRS MYR R F  3.68000 2 NDF / Short: IR218405  IRS MYR P V 03MKLIBO 1 NDF                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | GB        |     1940000 | OU      | $10757.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                            | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3348928.00   | 0.40%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      537156 | PA      | $455642.24    | 0.05%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                                             | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      300000 | PA      | $302109.00    | 0.04%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1112000 | PA      | $1148373.52   | 0.14%             | 2030-02-08      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-INV2                                                                                                   | CUSIP: 92540BAC3<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-MBS          | CORP              | US        |      615042 | PA      | $621254.61    | 0.07%             | 2068-08-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         545 | NC      | $-76363.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                                                         | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      575000 | PA      | $572176.75    | 0.07%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                                        | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      195000 | PA      | $227602.87    | 0.03%             | 2026-02-26      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243237  IRS CHF R V 00MSARON CCPOIS / Short: BR243237  IRS CHF P F   .00000 CCPOIS                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    18000000 | OU      | $88529.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                             | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      700000 | PA      | $728616.00    | 0.09%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2891.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-8409.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1827630.00   | 0.22%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-891.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   721900000 | PA      | $3424906.24   | 0.41%             | 2052-09-20      | Fixed         | 1.40%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-10158.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-VIS2                                                                                              | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1703671 | PA      | $1725145.59   | 0.20%             | 2064-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1442417 | PA      | $1493382.60   | 0.18%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $26316.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                                        | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      249000 | PA      | $244204.26    | 0.03%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-36671.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency   | PHEAA Student Loan Trust 2016-1                                                                                                        | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      605481 | PA      | $603806.87    | 0.07%             | 2065-09-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243128  IRS EUR R F  2.90000 2 CCPVANILLA / Short: SR243128  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    11800000 | OU      | $39779.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |           1 | NC      | $-1034.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1751.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1150000 | PA      | $1154913.84   | 0.14%             | 2044-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $311.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                          | Ireland Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      920000 | PA      | $918172.43    | 0.11%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                                       | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1625000 | PA      | $1640876.25   | 0.19%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      515000 | PA      | $524007.35    | 0.06%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR247178  IRS CLP R V 00MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BR247178  IRS CLP P F  4.50000 2 CCPNDFCAMARAPROMEDIO             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  2259290000 | OU      | $2053.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6432.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246933  IRS INR R F  5.50000 2 CCPNDFOIS / Short: SR246933  IRS INR P V 00MMIBOR 1 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   515220000 | OU      | $-2173.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                                                                            | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     1200000 | PA      | $1209312.00   | 0.14%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS09586A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |     -870000 | NC      | $-23989.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MHEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      736894 | PA      | $596334.19    | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4626 | PA      | $4615.78      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      800000 | PA      | $818256.00    | 0.10%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR246940  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR246940  IRS PLN P F  3.75000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5460000 | OU      | $4203.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2801 | PA      | $2734.94      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |           1 | NC      | $-8034.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     5400000 | PA      | $6240717.96   | 0.74%             | 2026-08-01      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1413.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      173550 | PA      | $171902.11    | 0.02%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $87.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1141000 | PA      | $1153414.08   | 0.14%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3430000 | PA      | $3942910.14   | 0.47%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    23780000 | PA      | $3191189.83   | 0.38%             | 2045-04-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1124.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      753670 | PA      | $721984.74    | 0.09%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1037.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $65.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6378.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $288.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138E23U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45641 | PA      | $45534.87     | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -10000000 | PA      | $-8059375.00  | -0.95%            | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2025-1                                                                                          | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1525000 | PA      | $1530219.54   | 0.18%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AUP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40614 | PA      | $40520.33     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-50116.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70080 | PA      | $69544.62     | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1689204.00   | 0.20%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1181533.00   | 0.14%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK47                                                                                                                        | CUSIP: 06540GAV0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1329227.74   | 0.16%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $717.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1989381.00  | -0.24%            | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      573000 | PA      | $580351.59    | 0.07%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W02X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3764 | PA      | $3480.23      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2168986 | PA      | $2086782.40   | 0.25%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | Long: IR218410  IRS MYR R F  3.73500 2 NDF / Short: IR218410  IRS MYR P V 03MKLIBO 1 NDF                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |     1950000 | OU      | $12392.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                                                                             | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $2476908.25   | 0.29%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY                                      | QatarEnergy                                                                                                                            | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      820000 | PA      | $578407.50    | 0.07%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                                          | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4954000 | PA      | $5084092.04   | 0.60%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243212  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR243212  IRS AUD P F  3.75000 2 CCPVANILLA                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   133760000 | OU      | $-472823.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PERMANENT TSB GROUP                               | Permanent TSB Group Holdings PLC                                                                                                       | CUSIP: 000000000<br>LEI: 635400DTNHVYGZODKQ93 | Long             | DBT              | CORP              | IE        |     1020000 | PA      | $1309728.42   | 0.15%             | 2029-06-30      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003205  CDS USD R F  1.00000 2 CCPCDX / Short: SX003205  CDS USD P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    78409235 | OU      | $1787801.13   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-14428.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-505.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                   | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                               | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $348076.48    | 0.04%             | 2042-04-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1216668.00   | 0.14%             | 2036-01-16      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                                         | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $990346.57    | 0.12%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09654A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5110000 | NC      | $-23234.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHINHAN BANK                                      | Shinhan Bank Co Ltd                                                                                                                    | CUSIP: 82460CBF0<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |      240000 | PA      | $242277.60    | 0.03%             | 2028-04-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                                 | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      600000 | PA      | $536826.00    | 0.06%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $5588.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QRXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      771422 | PA      | $786581.10    | 0.09%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                                                                              | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      650000 | PA      | $665073.50    | 0.08%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                         | ALA Trust 2025-OANA                                                                                                                    | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1950000 | PA      | $1957067.87   | 0.23%             | 2040-06-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                                                                           | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      750000 | PA      | $772875.00    | 0.09%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $7150390.80   | 0.85%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6488.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                   | Bridgepoint Clo IX DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 635400KHJOULRBQMED20 | Long             | ABS-CBDO         | CORP              | IE        |     1125000 | PA      | $1320807.00   | 0.16%             | 2039-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $9220.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $29374.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                             | Vale Overseas Ltd                                                                                                                      | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      350000 | PA      | $359198.00    | 0.04%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                                                    | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    16123200 | PA      | $16083609.48  | 1.90%             | 2025-10-23      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Bank of America NA                                | OPS09587A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |     8860000 | NC      | $15791.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS006938  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006938  CDS USD P V 03MEVENT 1 CCPCORPORATE                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1150000 | OU      | $16288.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $40114.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      296621 | PA      | $286462.68    | 0.03%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $779949.10    | 0.09%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2025-5C11 Mortgage Trust                                                                                                           | CUSIP: 096941AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1570917.92   | 0.19%             | 2058-07-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243130  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243130  IRS EUR P F  2.60000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8770000 | OU      | $-51223.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $203.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12318 | PA      | $12156.47     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY 2013-1515 Mortgage Trust                                                                                                          | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1204211 | PA      | $1151156.37   | 0.14%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      348635 | PA      | $40289.72     | 0.00%             | 2046-05-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                            | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1036000 | PA      | $1046411.80   | 0.12%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243229  IRS JPY R F  1.25000 2 CCPOIS / Short: SR243229  IRS JPY P V 00MTONAR 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    59000000 | OU      | $-2504.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4000000 | PA      | $-3769218.80  | -0.45%            | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-LTV1                                                                                                     | CUSIP: 465976AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      305233 | PA      | $273731.37    | 0.03%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      761951 | PA      | $653895.95    | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 40 LTD                                                                                                                              | CUSIP: 749762AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6200000 | PA      | $6215859.60   | 0.74%             | 2038-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-5C6 Mortgage Trust                                                                                                            | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1645720.62   | 0.19%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $23540.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BP7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      135000 | PA      | $137535.30    | 0.02%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      834000 | PA      | $1091575.41   | 0.13%             | 2029-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      700000 | PA      | $709317.97    | 0.08%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                                                                      | CUSIP: 24703TAD8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      893000 | PA      | $899661.78    | 0.11%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR246943  IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BR246943  IRS CZK P F  4.00000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17540000 | OU      | $15080.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236073  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236073  IRS USD P F  3.52786 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12140000 | OU      | $-58434.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138NYHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7290 | PA      | $6744.94      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243441  IRS AUD R F  4.00000 2 CCPVANILLA / Short: SR243441  IRS AUD P V 03MBBSW 1 CCPVANILLA                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     2660000 | OU      | $17815.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $-809.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09659A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |    -5390000 | NC      | $-39340.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-76981.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                              | Raizen Fuels Finance SA                                                                                                                | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      610000 | PA      | $561871.00    | 0.07%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09631A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5030000 | NC      | $-30476.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-1 Ltd                                                                                                                    | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |     1150000 | PA      | $1153415.50   | 0.14%             | 2037-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 18210000000 | PA      | $1108486.24   | 0.13%             | 2034-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2024-1                                                                                                      | CUSIP: 46657PAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      738616 | PA      | $745494.93    | 0.09%             | 2054-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10791.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296PBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         617 | PA      | $627.46       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $29535.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEOLLISUUDEN VOIMA OYJ                            | Teollisuuden Voima Oyj                                                                                                                 | CUSIP: 000000000<br>LEI: 743700LQ48IZBTZN4S52 | Long             | DBT              | CORP              | FI        |      250000 | PA      | $282520.62    | 0.03%             | 2028-06-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2025-NSLB                                                                         | CUSIP: 46659JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1673432.26   | 0.20%             | 2042-06-05      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ABMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7419 | PA      | $7401.98      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      400000 | PA      | $293954.11    | 0.03%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                               | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |      523000 | PA      | $594901.51    | 0.07%             | 2027-06-08      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      989905 | PA      | $996636.48    | 0.12%             | 2045-03-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-C63                                                                                         | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $134543.01    | 0.02%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $443974.30    | 0.05%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3322.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2025-5C34                                                                                                         | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2620557.25   | 0.31%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10345.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                                                                           | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      817000 | PA      | $859647.40    | 0.10%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR233928  IRS USD R F  3.84519 2 CCPOIS / Short: SR233928  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    17510000 | OU      | $278822.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      357000 | PA      | $426659.58    | 0.05%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                                                     | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     1100000 | PA      | $1088417.00   | 0.13%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR239731  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR239731  IRS USD P F  3.97712 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7380000 | OU      | $-65673.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416QBF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1782 | PA      | $1787.51      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-112.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         426 | PA      | $432.78       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                                                                             | CUSIP: 683234B98<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     2300000 | PA      | $1731470.14   | 0.20%             | 2041-06-02      | Fixed         | 4.65%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MJEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      400631 | PA      | $324444.96    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |           1 | NC      | $4961.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-4941.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS09614A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5330000 | NC      | $-79410.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      630000 | PA      | $630553.26    | 0.07%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1623.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                                                                            | CUSIP: 000000000<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1063048.87   | 0.13%             | 2028-05-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    58720000 | PA      | $8098422.29   | 0.96%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243440  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243440  IRS CAD P V 00MCORRA 1 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9210000 | OU      | $21570.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236716  IRS EUR R F  2.60000 2 CCPVANILLA / Short: SR236716  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    51880000 | OU      | $-245825.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38382KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6277 | PA      | $934.02       | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                                                                      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   712600000 | PA      | $2579545.99   | 0.31%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-12895.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $26311.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312930J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         213 | PA      | $216.29       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $6015.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81063 | PA      | $11295.20     | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR234636  IRS USD R F  3.36762 2 CCPOIS / Short: SR234636  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   198980000 | OU      | $326307.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $28787.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WCORE Commercial Mortgage Trust                   | WCORE Commercial Mortgage Trust 2024-CORE                                                                                              | CUSIP: 951913AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $900336.04    | 0.11%             | 2041-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                                                                              | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |      400000 | PA      | $504282.94    | 0.06%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      820301 | PA      | $104301.24    | 0.01%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-5881.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15479.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                            | Skandinaviska Enskilda Banken AB                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     1325000 | PA      | $1640024.91   | 0.19%             | 2033-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                                                                                   | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      430000 | PA      | $327875.00    | 0.04%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416SFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5334 | PA      | $5348.01      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11937.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Saudi Government International Bonds              | Saudi Government International Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      830000 | PA      | $842371.15    | 0.10%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                                                                                         | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      378000 | PA      | $390114.90    | 0.05%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                                               | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     2450000 | PA      | $2487975.00   | 0.29%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38380YR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      249990 | PA      | $30349.87     | 0.00%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-88543.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $5464.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      220000 | PA      | $131476.30    | 0.02%             | 2057-07-22      | Fixed         | 1.75%                 | No            |                  1 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                           | Veolia Environnement SA                                                                                                                | CUSIP: 000000000<br>LEI: 969500LENY69X51OOT31 | Long             | DBT              | CORP              | FR        |     1300000 | PA      | $1467550.41   | 0.17%             | 2030-01-07      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227000 | PA      | $232984.72    | 0.03%             | 2042-04-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $342307.39    | 0.04%             | 2028-05-26      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                                                                                    | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1339684.38   | 0.16%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1916.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1574700 | PA      | $1368881.80   | 0.16%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  1 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                          | Export-Import Bank of Korea                                                                                                            | CUSIP: 302154DW6<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      330000 | PA      | $344520.00    | 0.04%             | 2033-01-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-300P                                                                                                | CUSIP: 67121TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850000 | PA      | $1857996.37   | 0.22%             | 2042-07-13      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                                                                               | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     1547000 | PA      | $1482412.75   | 0.18%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $390791.51    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                                                                                | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $998980.00    | 0.12%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-277P Mortgage Trust                                                                                                          | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1825000 | PA      | $1923059.79   | 0.23%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296JQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $126.45       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93149 | PA      | $4993.97      | 0.00%             | 2043-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                          | Finland Government Bonds                                                                                                               | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     1190000 | PA      | $1285238.90   | 0.15%             | 2032-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                                                    | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1490550.00   | 0.18%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59522 | PA      | $64796.19     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X6JR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1355178 | PA      | $1316572.84   | 0.16%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                                   | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1184822.00   | 0.14%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-666.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                            | BP Capital Markets PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $343536.62    | 0.04%             | 2028-07-03      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7874.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BS006911  CDS EUR R V 03MEVENT 1 CCPCORPORATE / Short: BS006911  CDS EUR P F  1.00000 2 CCPCORPORATE                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |      939223 | OU      | $-25438.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $894.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-4                                                                                                 | CUSIP: 46657WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $715411.41    | 0.08%             | 2054-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                                | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |       64772 | PA      | $65129.70     | 0.01%             | 2034-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                                 | CUSIP: 760942BH4<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       57058 | PA      | $59796.78     | 0.01%             | 2037-02-14      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292H4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         360 | PA      | $365.46       | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         307 | PA      | $312.44       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216979 | PA      | $214667.50    | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-22400.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CERTIFICATES                             | Kingdom of Belgium Treasury Bill                                                                                                       | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | STIV             | NUSS              | BE        |    10508085 | PA      | $12308525.63  | 1.46%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246922  IRS ZAR R F  8.50000 2 CCPVANILLA / Short: SR246922  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     9940000 | OU      | $12975.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |           1 | NC      | $97548.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust      | American Express Credit Account Master Trust                                                                                           | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |     2425000 | PA      | $2473867.85   | 0.29%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M5CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4915 | PA      | $4995.86      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250000 | PA      | $252018.88    | 0.03%             | 2044-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                   | 3650R 2021-PF1 Commercial Mortgage Trust                                                                                               | CUSIP: 88581EAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $729180.27    | 0.09%             | 2054-11-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                                                                                    | CUSIP: 17305EGW9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     1275000 | PA      | $1277252.66   | 0.15%             | 2027-12-08      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |           1 | NC      | $-1624.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -389 | NC      | $-354121.73   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                                                                           | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      350000 | PA      | $368130.00    | 0.04%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12876.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR246946  IRS ZAR R F  7.25000 2 CCPVANILLA / Short: SR246946  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    19350000 | OU      | $5560.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $237.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust         | Santander Mortgage Asset Receivable Trust 2025-NQM1                                                                                    | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1532505 | PA      | $1548529.19   | 0.18%             | 2065-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2036.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243138  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243138  IRS USD P F  3.75000 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10600000 | OU      | $-83526.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   211377916 | OU      | $-243602.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                              | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1316651 | PA      | $1331028.46   | 0.16%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                                                                                     | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      300000 | PA      | $286257.00    | 0.03%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $16665.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |           1 | NC      | $1897.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $-10535.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $34726.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                                         | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      575000 | PA      | $569807.75    | 0.07%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL5                                                                                                  | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      774961 | PA      | $774929.71    | 0.09%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13433 | PA      | $13449.34     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-6512.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-15960.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |           1 | NC      | $-4602.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28000000 | PA      | $23587813.20  | 2.79%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09568A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |    -4610000 | NC      | $-9536.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |           1 | NC      | $32284.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-19889.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                              | Colombian TES                                                                                                                          | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   890400000 | PA      | $185279.13    | 0.02%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $42944.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds               | Kingdom of Belgium Government Bonds                                                                                                    | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      250000 | PA      | $175268.15    | 0.02%             | 2066-06-22      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    34930000 | OU      | $28433.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95792 | PA      | $9837.36      | 0.00%             | 2044-03-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                                                                                  | CUSIP: 90276CAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1125000 | PA      | $1105037.64   | 0.13%             | 2050-08-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR233890  IRS BRL R F 13.25000 2 CCPNDFPREDISWAP / Short: SR233890  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    23730000 | OU      | $-9095.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1961.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12148.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-858.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418RGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36477 | PA      | $36616.33     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2022-BNK39                                                                                                                        | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1725199.72   | 0.20%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243276  IRS NZD R F  3.50000 2 CCPVANILLA / Short: SR243276  IRS NZD P V 03MNZDBB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16970000 | OU      | $158807.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                              | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAC0<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      580000 | PA      | $538240.00    | 0.06%             | 2054-03-05      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4539.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS006934  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006934  CDS USD P V 03MEVENT 1 CCPCORPORATE                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1740000 | OU      | $14642.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $59229.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                                    | AGL CLO 3 LTD                                                                                                                          | CUSIP: 00119MAN9<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2100669.90   | 0.25%             | 2038-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                   | Israel Government Bonds - Fixed                                                                                                        | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2430000 | PA      | $713209.99    | 0.08%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243267  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR243267  IRS NOK P F  4.00000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5100000 | OU      | $3501.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER NETHERLANDS INTL                           | Pfizer Netherlands International Finance BV                                                                                            | CUSIP: 000000000<br>LEI: 254900YI79T8NMNA4349 | Long             | DBT              | CORP              | NL        |     1031000 | PA      | $1217164.21   | 0.14%             | 2029-05-19      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                                | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1000000 | PA      | $1000000.00   | 0.12%             | 2026-10-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1845000 | PA      | $1860088.96   | 0.22%             | 2044-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                        | Aurium Clo VIII DAC                                                                                                                    | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1643670.93   | 0.19%             | 2038-10-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B39 Mortgage Trust                                                                                                      | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1125000 | PA      | $1194076.51   | 0.14%             | 2056-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                                        | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      650000 | PA      | $656038.50    | 0.08%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $78.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      450000 | PA      | $453718.98    | 0.05%             | 2044-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-TAIL                                                                                                                     | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1550000 | PA      | $1548105.06   | 0.18%             | 2035-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3513.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      145482 | PA      | $147372.56    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-16076.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR233405  IRS EUR R F  2.53000 2 CCPOIS / Short: SR233405  IRS EUR P V 00MESTR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    14300000 | OU      | $-942186.05   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376MCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      210381 | PA      | $42658.12     | 0.01%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-11260.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-1750.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $28380.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1020155 | PA      | $863344.81    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9000000 | PA      | $8925117.30   | 1.06%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4301.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4528 | PA      | $4418.52      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1680000 | PA      | $2296254.31   | 0.27%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  1 | On Loan: No      |
| General Motors                                    | GMF Floorplan Owner Revolving Trust                                                                                                    | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1500000 | PA      | $1512857.91   | 0.18%             | 2028-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      169002 | PA      | $171092.46    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DP World Crescent Ltd.                            | DP World Crescent Ltd.                                                                                                                 | CUSIP: 000000000<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $201800.00    | 0.02%             | 2028-09-26      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | 3MO EURO EURIBOR DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -30 | NC      | $394.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-4922.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                                           | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $398892.00    | 0.05%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $793.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-1                                                                                                      | CUSIP: 92540TAL4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     2620018 | PA      | $2641408.59   | 0.31%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $5931.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                            | Blackstone Property Partners Europe Holdings Sarl                                                                                      | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     1050000 | PA      | $1173013.98   | 0.14%             | 2028-05-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138LSR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5606 | PA      | $5254.71      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $3177.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France SA                          | Electricite de France SA                                                                                                               | CUSIP: 268317AU8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     1450000 | PA      | $1457192.00   | 0.17%             | 2028-09-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      272907 | PA      | $34520.07     | 0.00%             | 2047-05-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR16                                                                                                                       | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2278391.08   | 0.27%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR241428  IRS EUR R F  2.40000 2 CCPVANILLA / Short: SR241428  IRS EUR P V 06MEURIB 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    36170000 | OU      | $-47820.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle US CLO 2024-2 Ltd                                                                                                              | CUSIP: 14318VAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1907372.00   | 0.23%             | 2037-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  7391000000 | PA      | $454084.10    | 0.05%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      944386 | PA      | $932745.37    | 0.11%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2765.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         204 | NC      | $344092.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-10                                                                                                         | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22716 | PA      | $21234.19     | 0.00%             | 2034-11-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08401A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     5740000 | NC      | $18456.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1100508 | PA      | $1098044.99   | 0.13%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11192.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-17322.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      180412 | PA      | $178188.45    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2007.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR247177  IRS MXN R F  8.00000 2 CCPOIS / Short: SR247177  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    17850000 | OU      | $12404.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2023-HE3                                                                                                      | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |      294273 | PA      | $295648.69    | 0.03%             | 2054-05-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |           1 | NC      | $-17342.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $13954.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                                                                           | CUSIP: 8426EPAJ7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      375000 | PA      | $374598.75    | 0.04%             | 2028-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-VLT5                                                                                                 | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $916485.76    | 0.11%             | 2046-11-13      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                                    | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |     1139048 | PA      | $1148260.78   | 0.14%             | 2063-12-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                                              | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     1074000 | PA      | $1094534.88   | 0.13%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-53531.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $-18301.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA3                                                                                                | CUSIP: 35564NEY5<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | USGSE             | US        |      371250 | PA      | $371746.55    | 0.04%             | 2044-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | European Investment Bank                                                                                                               | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |     4410000 | PA      | $5138679.92   | 0.61%             | 2030-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                   | Israel Government Bonds - Fixed                                                                                                        | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2500000 | PA      | $637878.52    | 0.08%             | 2032-04-30      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Peter Fortner

**Name of Signer:** Peter Fortner

**Title:** Vice President