# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027902
**Filing Date:** 2025-11
**Character Count:** 665815
**Document Hash:** 4d1cb2d69d2149d19690e184f13c2b21
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027902.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027902

**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:** 251505278

**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 Dynamic Bond Fund (Series ID: S000029317)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000090150 | Class A Shares       | GSZAX           |
| C000090151 | Class C Shares       | GSZCX           |
| C000090152 | Institutional Shares | GSZIX           |
| C000090153 | Investor Shares      | GZIRX           |
| C000090154 | Class R Shares       | GSZRX           |
| C000161295 | Class R6 Shares      | GSZUX           |
| C000202044 | Class P Shares       | GSOPX           |

## 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 Dynamic Bond Fund

- **b. EDGAR series identifier (if any):** S000029317

- **c. LEI of Series:** MM4EWHH604XFXV8H1O93

**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:** $2657264617.01

**Total Liabilities:** $1404281313.01

**Net Assets:** $1252983304.00

**Delayed Delivery Securities:** $119491273.44

**Cash Not Reported:** $62948777.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1162.32000000 | **1-Year:** -25862.36000000 | **5-Year:** -112781.60000000 | **10-Year:** -41698.16000000 | **30-Year:** -9575.24000000

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

- **3-Month:** -960.31000000 | **1-Year:** -25863.31000000 | **5-Year:** -148091.83000000 | **10-Year:** -18000.28000000 | **30-Year:** -104215.95000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000090153 | 0.65%                | 1.40%                | 0.29%                |
| Class ID C000090154 | 0.61%                | 1.37%                | 0.25%                |
| Class ID C000161295 | 0.66%                | 1.30%                | 0.30%                |
| Class ID C000202044 | 0.55%                | 1.41%                | 0.30%                |
| Class ID C000090152 | 0.66%                | 1.30%                | 0.30%                |
| Class ID C000090151 | 0.56%                | 1.22%                | 0.21%                |
| Class ID C000090150 | 0.63%                | 1.28%                | 0.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2147334.95             | $-3277083.65                               |
| Month 2  | $550164.13               | $5479950.84                                |
| Month 3  | $-144106.41              | $-1074130.44                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $107348.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $20450.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                           | TK Elevator Midco GmbH 2025 USD Term Loan B                                                                                            | CUSIP: 000000000<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |     2364224 | PA      | $2369378.27    | 0.19%             | 2030-04-30      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $67519.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                             | Crown Finance US Inc 2025 Term Loan B                                                                                                  | CUSIP: 22834KAV3<br>LEI: 254900ABTWPQTCKKR839 | Long             | LON              | CORP              | US        |     1488769 | PA      | $1484495.98    | 0.12%             | 2031-12-02      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31283HZY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $185.62        | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIUSBR20251009544 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -8249000 | OU      | $-173138.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                         | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc                                                              | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1263000 | PA      | $1214488.17    | 0.10%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2063.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $237360.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                             | Chart Industries Inc 2024 Term Loan B                                                                                                  | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |     2216064 | PA      | $2224374.01    | 0.18%             | 2030-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $108553.15     | 0.01%             |  |  |  | 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        |    12300000 | OU      | $-161270.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2979.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-15212.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                              | Lightning Power LLC                                                                                                                    | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |      720000 | PA      | $762645.60     | 0.06%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 31396KBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      232009 | PA      | $230221.68     | 0.02%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $29841.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-5C3 Mortgage Trust                                                                                                            | CUSIP: 09660QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1350000 | PA      | $1213410.33    | 0.10%             | 2057-02-15      | Fixed         | 4.00%                 | 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        |         574 | NC      | $-255463.01    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |           1 | NC      | $-41758.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Broadstreet Partners Inc                         | Broadstreet Partners Inc 2024 Term Loan B4                                                                                             | CUSIP: 11132VAY5<br>LEI: 549300BS9N54G8DD0R75 | Long             | LON              | CORP              | US        |      498882 | PA      | $499276.30     | 0.04%             | 2031-06-13      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUCH202510150934 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -8289000 | OU      | $-24942.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-57974.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137A7YL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      103055 | PA      | $102758.45     | 0.01%             | 2041-03-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $43565.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                 | MGM Resorts International                                                                                                              | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $997281.60     | 0.08%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $8965.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUSE202510071099 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8168000 | OU      | $-6003.12      | -0.00%            |  |  |  | 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        |   147060000 | OU      | $-173553.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                    | 1988 CLO 4 Ltd                                                                                                                         | CUSIP: 68252EAJ0<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2723190.30    | 0.22%             | 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        |  8713820979 | OU      | $991190.13     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNZ GROUP SERVICES LTD                           | FNZ Group Services Ltd 2024 USD Term Loan B                                                                                            | CUSIP: 30339HAD3<br>LEI: 254900MQTZKERVE6YB70 | Long             | LON              | CORP              | US        |      771125 | PA      | $616900.00     | 0.05%             | 2031-11-05      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-14193.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2350000 | PA      | $2449695.37    | 0.20%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                     | Calpine Corp                                                                                                                           | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |      733000 | PA      | $726153.78     | 0.06%             | 2029-02-01      | Fixed         | 4.62%                 | 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        |    70880000 | OU      | $375240.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2744.24      | -0.00%            |  |  |  | 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        |   127690000 | OU      | $-1036178.81   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                            | Silver Point Clo 3 Ltd                                                                                                                 | CUSIP: 827925AJ7<br>LEI: 5493000HU7LKTSD3BK48 | Long             | ABS-CBDO         | CORP              | JE        |     1500000 | PA      | $1511494.50    | 0.12%             | 2036-11-29      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| Penta CLO                                        | Penta CLO 2021-2 DAC                                                                                                                   | CUSIP: 000000000<br>LEI: 635400GBGDCFEEAL3O62 | Long             | ABS-CBDO         | CORP              | IE        |     1350000 | PA      | $1583857.33    | 0.13%             | 2038-04-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $44166.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                | Park Blue CLO 2023-IV Ltd                                                                                                              | CUSIP: 699917AL4<br>LEI: 213800XCIR4Y5GCOQX50 | Long             | ABS-CBDO         | CORP              | JE        |     1350000 | PA      | $1363783.50    | 0.11%             | 2037-01-25      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $45741.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                  | General Motors Financial Co Inc                                                                                                        | CUSIP: 37046UAS0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | STIV             | CORP              | US        |     5224000 | PA      | $5151032.74    | 0.41%             | 2026-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-3682.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1060000 | PA      | $1078560.60    | 0.09%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PTCHAUSBR20251009544 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     8249000 | OU      | $173138.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Camelot US Acquisition LLC                       | Camelot US Acquisition LLC 2024 Term Loan B                                                                                            | CUSIP: 000000000<br>LEI: 549300U6VBJHQP2SFL81 | Long             | LON              | CORP              | US        |     1831968 | PA      | $1819950.66    | 0.15%             | 2031-01-31      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9835 | PA      | $9835.13       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $9301.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                   | Barings CLO Ltd 2024-I                                                                                                                 | CUSIP: 06763VAG0<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |     1325000 | PA      | $1332875.80    | 0.11%             | 2037-01-20      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-8953.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKE CORP                                        | Pike Corp                                                                                                                              | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |     1226000 | PA      | $1222395.56    | 0.10%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP                           | Champ Acquisition Corp                                                                                                                 | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1360000 | PA      | $1448332.00    | 0.12%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-4461.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762035 | PA      | $788960.67     | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | 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        |   309210000 | OU      | $1175554.58    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-2767.68      | -0.00%            |  |  |  | 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        | 14208000000 | OU      | $51515.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CTBOAUSJP20251120150 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    59897000 | OU      | $351475.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                            | Sycamore Tree CLO 2023-2 Ltd                                                                                                           | CUSIP: 87122CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1325000 | PA      | $1331468.65    | 0.11%             | 2037-01-20      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $17411.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $16797.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEEP BLUE OPERATING I LLC                        | DEEP BLUE OPERATING I LLC TERM LOAN                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2800000 | PA      | $2800000.00    | 0.22%             | 2032-09-17      | None          | 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        |   269080000 | OU      | $-4707.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296M6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         396 | PA      | $402.86        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-16959.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHINIA INC                                       | Phinia Inc                                                                                                                             | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      370000 | PA      | $381699.40     | 0.03%             | 2029-04-15      | Fixed         | 6.75%                 | 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        |     2175000 | PA      | $2212915.99    | 0.18%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Travelport Finance (Luxembourg) Sarl             | Travelport Finance (Luxembourg) Sarl 2020 Super Priority Term Loan                                                                     | CUSIP: 000000000<br>LEI: 2221005SGFWYZHL40F77 | Long             | LON              | CORP              | LU        |       12608 | PA      | $10508.62      | 0.00%             | 2028-09-30      | Floating      | 9.99%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                         | Genting New York LLC / GENNY Capital Inc                                                                                               | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2190000 | PA      | $2263255.50    | 0.18%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-211902.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2022-III Ltd                                                                                                              | CUSIP: 12571KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002098.00    | 0.16%             | 2035-04-21      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2025-BNK50                                                                                                                        | CUSIP: 064908AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1575000 | PA      | $1660065.17    | 0.13%             | 2068-05-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAGBUS202510211329 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -35524000 | OU      | $-94166.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Arini European CLO                               | Arini European Clo VII DAC                                                                                                             | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     2100000 | PA      | $2465506.39    | 0.20%             | 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        |   230840000 | OU      | $1406577.37    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                                  | Lamb Weston Holdings Inc                                                                                                               | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     1540000 | PA      | $1479093.00    | 0.12%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-18747.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-325872.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-56445.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $196753.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31417YF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1796 | PA      | $1750.88       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | Cifc Funding 2023-III Ltd                                                                                                              | CUSIP: 12598YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1306533.80    | 0.10%             | 2037-01-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                             | CWRBCEUGB202510100873 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |    -8433000 | OU      | $-30454.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $11541.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         406 | PA      | $413.50        | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $151732.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $152958.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-90952.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-130312.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR7                                                                                                                        | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1325000 | PA      | $1382392.55    | 0.11%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $196751.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $88599.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAEUSE2025101010935 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -8204000 | OU      | $-3949.08      | -0.00%            |  |  |  | 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        |     2380000 | PA      | $2262435.38    | 0.18%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $12447.81      | 0.00%             |  |  |  | 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        |   426290000 | OU      | $-20481.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-7964.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2020-2                                                                                                        | CUSIP: 03464XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1054000 | PA      | $1009560.09    | 0.08%             | 2065-01-26      | Variable      | 4.50%                 | 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        |   204030000 | OU      | $59939.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUGAR JV SUBSIDIARY LLC                         | Cougar JV Subsidiary LLC                                                                                                               | CUSIP: 22208WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1114000 | PA      | $1185474.24    | 0.09%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3575 | PA      | $3639.73       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $81.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                    | 1988 CLO 4 Ltd                                                                                                                         | CUSIP: 68252EAG6<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2109538.20    | 0.17%             | 2037-04-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $45764.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13490000 | PA      | $13576420.31   | 1.08%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6766 | PA      | $6877.49       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENKO POWER II LTD                             | Greenko Power II Ltd                                                                                                                   | CUSIP: 39530MAA6<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |      159500 | PA      | $152135.89     | 0.01%             | 2028-12-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PTDEUEUUS202510241168 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    49615000 | OU      | $223856.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-48081.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED ZAR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $16591.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2020-NQM3 Trust                                                                                                                    | CUSIP: 552757AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $734092.72     | 0.06%             | 2065-01-26      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2083.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAAUNZ2025101311142 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -14632000 | OU      | $-571.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-30550.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $6579.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                          | Bryant Park 2025-27 CLO Ltd                                                                                                            | CUSIP: 11765FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2350000 | PA      | $2359940.50    | 0.19%             | 2038-07-20      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31288JY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3081 | PA      | $3132.21       | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                          | Bryant Park 2025-27 CLO Ltd                                                                                                            | CUSIP: 11765EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5016325.00    | 0.40%             | 2038-07-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                  | Lehman XS Trust 2007-3                                                                                                                 | CUSIP: 525245AD8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |       49780 | PA      | $54148.94      | 0.00%             | 2037-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-960.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                             | Dycom Industries Inc                                                                                                                   | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |      505000 | PA      | $493142.60     | 0.04%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1029.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09644A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -25260000 | NC      | $-154639.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $51437.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TWILIO INC                                       | Twilio Inc                                                                                                                             | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |      525000 | PA      | $500445.75     | 0.04%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| McAfee, LLC                                      | McAfee LLC 2024 USD 1st Lien Term Loan B                                                                                               | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |      346507 | PA      | $330373.22     | 0.03%             | 2029-03-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust 2006-A8                                                                                         | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      653539 | PA      | $460306.68     | 0.04%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                 | Carlyle US CLO 2024-1 Ltd                                                                                                              | CUSIP: 142923AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1250000 | PA      | $1259595.00    | 0.10%             | 2037-04-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                              | Buckeye Partners LP                                                                                                                    | CUSIP: 118230AV3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1108477.20    | 0.09%             | 2029-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAUSSG20251007128 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -9504000 | OU      | $-2784.67      | -0.00%            |  |  |  | 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        |    11110000 | OU      | $-867794.94    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                                                                                 | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      420000 | PA      | $466069.80     | 0.04%             | 2054-05-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |           1 | NC      | $53177.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09609A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -22980000 | NC      | $-25870.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | CWBAREUCZ202510302433 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |    -8562000 | OU      | $-46853.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-38764.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $39421.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $910.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $15674.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-455793.34    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $10795.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | Newell Brands Inc                                                                                                                      | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      370000 | PA      | $365134.50     | 0.03%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIAUNZ202510201126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -14632000 | OU      | $-132546.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                 | Cinemark USA Inc                                                                                                                       | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |      510000 | PA      | $531328.20     | 0.04%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAAUNZ2025101511165 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -14632000 | OU      | $-207301.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                                                                              | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      320000 | PA      | $318937.60     | 0.03%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                     | Entergy Corp                                                                                                                           | CUSIP: 29366EZ90<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | STIV             | CORP              | US        |     7216000 | PA      | $7156273.89    | 0.57%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                                                                                 | CUSIP: 67091TAH8<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      320000 | PA      | $335200.00     | 0.03%             | 2030-04-30      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      510000 | PA      | $530834.67     | 0.04%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                          | United Rentals North America Inc                                                                                                       | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      424000 | PA      | $401002.24     | 0.03%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-29905.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                              | Axon Enterprise Inc                                                                                                                    | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      260000 | PA      | $268481.20     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                           | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1170000 | PA      | $1198899.00    | 0.10%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-63793.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $24330.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                  | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5850000 | PA      | $5945379.51    | 0.47%             | 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        | 30912000000 | OU      | $2317694.53    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PTUBSEUUS2025102411465 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    14955000 | OU      | $11237.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $18674.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAUSSG20251029129 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -9983000 | OU      | $-32554.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIEUCH202510070936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -8168000 | OU      | $-28107.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS09382A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -6555646 | NC      | $-43356.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: SR243135  IRS USD R F  3.75000 2 CCPOIS / Short: SR243135  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       20000 | OU      | $350.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                                                           | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      710000 | PA      | $731371.00     | 0.06%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AAL Delaware Holdco Inc                          | AAL Delaware Holdco Inc 2025 Term Loan                                                                                                 | CUSIP: 00036YAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2499797 | PA      | $2501672.19    | 0.20%             | 2031-07-30      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIUSIN202510298883 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -9983000 | OU      | $-47429.23     | -0.00%            |  |  |  | No            |                  2 | 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        |    41060000 | OU      | $-54932.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                   | ARD Finance SA                                                                                                                         | CUSIP: 00191AAD8<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |     2489738 | PA      | $78899.80      | 0.01%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3525.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $9687.50       | 0.00%             |  |  |  | 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        |       15689 | PA      | $15412.96      | 0.00%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $19737.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $31332.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                         | Alimentation Couche-Tard Inc                                                                                                           | CUSIP: 01626UX26<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |     5895000 | PA      | $5893591.10    | 0.47%             | 2025-10-02      | None          | 0.00%                 | 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        |   269600000 | OU      | $245642.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-69019.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09497A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    78120000 | NC      | $15298.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-38.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38380UM67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      907178 | PA      | $95777.41      | 0.01%             | 2048-01-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC                              | Walker & Dunlop Inc                                                                                                                    | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $519624.80     | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| iHeartMedia Inc                                  | iHeartMedia Inc                                                                                                                        | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      242215 | NS      | $695157.05     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2020-AFC1 Trust                                                                                                                   | CUSIP: 12597MAD7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $616225.12     | 0.05%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38382BDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2022800 | PA      | $355512.64     | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK38                                                                                                                        | CUSIP: 06540EAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $925286.89     | 0.07%             | 2064-12-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $530.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP/BIP-V CHIN                         | CQP Holdco LP / BIP-V Chinook Holdco LLC                                                                                               | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1241000 | PA      | $1229905.46    | 0.10%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-BIO                                                                                                                      | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1425000 | PA      | $1421681.16    | 0.11%             | 2041-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation              | Banc of America Funding 2007-2 Trust                                                                                                   | CUSIP: 05951GCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4114 | PA      | $4057.53       | 0.00%             | 2037-03-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-22231.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-52080.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                     | Entegris Inc                                                                                                                           | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      470000 | PA      | $476650.50     | 0.04%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-3010.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIEUGB2025100608725 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -8373000 | OU      | $-22629.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $97979.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                         | United Natural Foods Inc                                                                                                               | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $1058463.00    | 0.08%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                            | DP World Crescent Ltd                                                                                                                  | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |     1530000 | PA      | $1589287.50    | 0.13%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140K8YH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198129 | PA      | $194807.10     | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $47.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS09417A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    18390000 | NC      | $75410.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                                                                                                      | CUSIP: 92538WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1003350 | PA      | $920905.08     | 0.07%             | 2067-01-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUPL20251023426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -8450000 | OU      | $-21408.93     | -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        |   600650000 | OU      | $11499.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-67375.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $104705.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                           | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      140000 | PA      | $151879.00     | 0.01%             | 2033-01-13      | Fixed         | 8.88%                 | 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        |     5200000 | OU      | $121080.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1523.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOG                   | SEAGATE DATA STOR                                                                                                                      | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      430000 | PA      | $455473.20     | 0.04%             | 2029-12-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                         | Outfront Media Capital LLC / Outfront Media Capital Corp                                                                               | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      254000 | PA      | $252628.40     | 0.02%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-7                                                                                                      | CUSIP: 92538QAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1722301 | PA      | $1524462.70    | 0.12%             | 2066-10-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust              | Toyota Auto Receivables 2023-B Owner Trust                                                                                             | CUSIP: 891941AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1807806 | PA      | $1814541.17    | 0.14%             | 2028-02-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                           | Cloud Software Group Inc                                                                                                               | CUSIP: 18912UAG7<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      215000 | PA      | $219022.65     | 0.02%             | 2033-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-5196.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Brands Group LLC                           | First Brands Group LLC 2021 Term Loan                                                                                                  | CUSIP: 31935HAD9<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |     1900000 | PA      | $668401.00     | 0.05%             | 2027-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-3658.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                | Waste Pro USA Inc                                                                                                                      | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |     2015000 | PA      | $2092940.20    | 0.17%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                         | California Buyer Ltd / Atlantica Sustainable Infrastructure PLC                                                                        | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      960000 | PA      | $983596.80     | 0.08%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-58373.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3008.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                  | BRAVO Residential Funding Trust 2025-NQM7                                                                                              | CUSIP: 10570TAA3<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |     3023635 | PA      | $3052735.30    | 0.24%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                                                                             | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      725000 | PA      | $756233.00     | 0.06%             | 2029-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2024-5C27                                                                                                         | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1375000 | PA      | $1446691.33    | 0.12%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                         | Banco Mercantil del Norte SA/Grand Cayman                                                                                              | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     1190000 | PA      | $1181170.20    | 0.09%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -565 | NC      | $-501610.74    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-10951.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XB38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $282.64        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-27744.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-46505.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09615A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -24280000 | NC      | $-21363.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-63390.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-184720.86    | -0.01%            |  |  |  | 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        |      175000 | PA      | $179200.81     | 0.01%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                 | Greenko Dutch BV                                                                                                                       | CUSIP: 39530LAD2<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |      173000 | PA      | $171314.34     | 0.01%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITNZUS202511060573 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   102707000 | OU      | $338867.17     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                           | CSTL Commercial Mortgage Trust 2024-GATE                                                                                               | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1675000 | PA      | $1681816.26    | 0.13%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PWDEUEUSE2025100211 GOLDMAN                                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    -8056000 | OU      | $-1740.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                              | Jazz Securities DAC                                                                                                                    | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |      990000 | PA      | $965279.70     | 0.08%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $34140.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                                            | CUSIP: 6840C3AF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |     2367000 | PA      | $2337969.46    | 0.19%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2005-64CB                                                                                                       | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235126 | PA      | $201078.96     | 0.02%             | 2035-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2023-BNK45                                                                                                                        | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      725000 | PA      | $744521.41     | 0.06%             | 2056-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-3456.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $27390.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $6128.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | CWBAREUCZ20251029243 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    -8549000 | OU      | $-52101.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-94755.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $16503.44      | 0.00%             |  |  |  | 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        |   964466555 | OU      | $-1817620.29   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                        | TPG Trust 2024-WLSC                                                                                                                    | CUSIP: 872973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $555252.04     | 0.04%             | 2029-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2007-16CB                                                                                                       | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      232789 | PA      | $147275.04     | 0.01%             | 2037-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1229.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $93317.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-11347.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                                                                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      224000 | PA      | $225527.68     | 0.02%             | 2028-04-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $15814.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     1726000 | PA      | $1497305.00    | 0.12%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                    | RFMSI Series 2007-S9 Trust                                                                                                             | CUSIP: 74958VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1317486 | PA      | $651277.97     | 0.05%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                             | PWRBCEUGB202510100873 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |    -8433000 | OU      | $-25326.16     | -0.00%            |  |  |  | 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        |     1000000 | PA      | $657140.66     | 0.05%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                           | Tesla Auto Lease Trust 2024-A                                                                                                          | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      658844 | PA      | $660892.80     | 0.05%             | 2027-06-21      | Fixed         | 5.30%                 | 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        |   191060000 | OU      | $573944.24     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-8                                                                                                      | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      652260 | PA      | $603796.02     | 0.05%             | 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        |      325185 | PA      | $325409.79     | 0.03%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $19192.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                 | Empower CLO 2023-2 Ltd                                                                                                                 | CUSIP: 29247BAQ0<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |     3500000 | PA      | $3519099.50    | 0.28%             | 2038-10-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38381AQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      826014 | PA      | $99632.77      | 0.01%             | 2048-10-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         666 | PA      | $677.69        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1521532 | PA      | $1310511.75    | 0.10%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4260.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-66227.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-PAT                                                                                                                      | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $149915.82     | 0.01%             | 2041-03-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $129803.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-NQM1 Trust                                                                                                                    | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1345614 | PA      | $1217068.64    | 0.10%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX 2024-BRVE                                                                                                                           | CUSIP: 05612KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1888899 | PA      | $1890281.15    | 0.15%             | 2026-04-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09496A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    78120000 | NC      | $217818.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PWCITUSCA202510011372 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -9427000 | OU      | $-9.43         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $89581.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |           1 | NC      | $-43965.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                   | Open Text Corp                                                                                                                         | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     1585000 | PA      | $1498649.20    | 0.12%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        2473 | NC      | $-657890.61    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $8480.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $1075.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $24261.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | CWBNPEUGB2025102108715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    -8292000 | OU      | $-52764.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SX003146  CDS USD R F  5.00000 2 CCPCDX / Short: SX003146  CDS USD P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |    21532500 | OU      | $1383504.04    | 0.11%             |  |  |  | No            |                  2 | 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        |    10050000 | OU      | $-183919.52    | -0.01%            |  |  |  | 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        | 59001460000 | OU      | $-18231.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2023-3                                                                                                      | CUSIP: 92539GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $503574.35     | 0.04%             | 2068-03-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                                                                                  | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250000 | PA      | $2251880.62    | 0.18%             | 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        |     1600000 | PA      | $1878441.61    | 0.15%             | 2038-05-26      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBARNZUS202510070581 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -95178000 | OU      | $-276283.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |           1 | NC      | $47353.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-22984.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128KRY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12771 | PA      | $13005.01      | 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        |     3700000 | PA      | $3700793.28    | 0.30%             | 2042-10-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $61965.07      | 0.00%             |  |  |  | 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        |   211141729 | OU      | $4805332.38    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $22129.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-PAT                                                                                                                      | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $499912.64     | 0.04%             | 2041-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          10 | NC      | $-5958.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GEN DIGITAL INC                                  | Gen Digital Inc                                                                                                                        | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      780000 | PA      | $798969.60     | 0.06%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXVII Ltd                                                                                                        | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1504744.50    | 0.12%             | 2037-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust              | Starwood Mortgage Residential Trust 2020-2                                                                                             | CUSIP: 85573DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1875000 | PA      | $1812844.13    | 0.14%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS GRP                         | Broadstreet Partners Group LLC                                                                                                         | CUSIP: 11135RAA3<br>LEI: 549300BS9N54G8DD0R75 | Long             | DBT              | CORP              | US        |     1244000 | PA      | $1240964.64    | 0.10%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38382DJV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2492590 | PA      | $307909.45     | 0.02%             | 2050-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-87875.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $132563.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | OPS09567A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -21190000 | NC      | $-50803.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2020-B22 Mortgage Trust                                                                                                      | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $922891.01     | 0.07%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                         | iHeartCommunications Inc                                                                                                               | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      177332 | PA      | $119761.17     | 0.01%             | 2030-05-01      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-7                                                                                                      | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2723214 | PA      | $2487124.38    | 0.20%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-5074.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    76420000 | PA      | $76031930.07   | 6.07%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379M4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      775819 | PA      | $144861.94     | 0.01%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                      | Ivory Coast Government International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      530000 | PA      | $592627.90     | 0.05%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                        | CBAMR 2018-5 Ltd                                                                                                                       | CUSIP: 12516LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6200000 | PA      | $6222239.40    | 0.50%             | 2038-10-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |           1 | NC      | $7244.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3146.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-7490.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                    | VW Credit Inc                                                                                                                          | CUSIP: 91842JX79<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |     3086000 | PA      | $3083401.90    | 0.25%             | 2025-10-07      | None          | 0.00%                 | 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        |   151500000 | OU      | $15724.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2025-5YR17                                                                                                                       | CUSIP: 06211GAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3052000 | PA      | $3044260.74    | 0.24%             | 2058-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                            | Belron UK Finance PLC                                                                                                                  | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      470000 | PA      | $476067.70     | 0.04%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX 2024-BRVE                                                                                                                           | CUSIP: 05612KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1625888 | PA      | $1625848.85    | 0.13%             | 2026-04-15      | Floating      | 6.69%                 | 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        |  4508970000 | OU      | $-19206.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                         | OZLM XVII Ltd                                                                                                                          | CUSIP: 67111NAQ7<br>LEI: 549300EERMFPZ487P195 | Long             | ABS-CBDO         | CORP              | KY        |      220621 | PA      | $220616.01     | 0.02%             | 2030-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                  | Bridgepoint CLO 2 DAC                                                                                                                  | CUSIP: 000000000<br>LEI: 549300718PL321JS4E33 | Long             | ABS-CBDO         | CORP              | IE        |      800000 | PA      | $939681.97     | 0.07%             | 2035-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2197.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2022-1                                                                                              | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3028171 | PA      | $2672665.37    | 0.21%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379MNM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2810613 | PA      | $353635.31     | 0.03%             | 2045-08-20      | Floating      | 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        |         965 | NC      | $-423412.28    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos                                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       60000 | PA      | $59475.00      | 0.00%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312933JV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         802 | PA      | $815.23        | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-12264.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PWCITUSCA20251028139 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -10011000 | OU      | $-45760.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-65218.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAAUNZ202510211123 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -14765000 | OU      | $-156691.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $8852.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31000000 | PA      | $24984062.50   | 1.99%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QRXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1598000 | PA      | $1629401.59    | 0.13%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $57673.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                         | Olympus Water US Holding Corp                                                                                                          | CUSIP: 681639AD2<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      895000 | PA      | $907494.20     | 0.07%             | 2031-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $16692.41      | 0.00%             |  |  |  | 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        |      550000 | PA      | $502398.11     | 0.04%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-106342.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-102353.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QRXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      787730 | PA      | $817040.68     | 0.07%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                     | NY Commercial Mortgage Trust 2025-299P                                                                                                 | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $1090278.88    | 0.09%             | 2047-02-10      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2024-BNK48                                                                                                                        | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1829843.77    | 0.15%             | 2057-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09630A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -23010000 | NC      | $-76122.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2023-DSC2                                                                                                   | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      574471 | PA      | $580875.57     | 0.05%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                            | Guatemala Government Bond                                                                                                              | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     1160000 | PA      | $1198280.00    | 0.10%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-856.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                              | Buckeye Partners LP                                                                                                                    | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      734000 | PA      | $728318.84     | 0.06%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                             | Petronas Capital Ltd                                                                                                                   | CUSIP: 716743AW9<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      520000 | PA      | $541585.20     | 0.04%             | 2035-04-03      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-120517.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $158725.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                           | Sunoco LP / Sunoco Finance Corp                                                                                                        | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      495000 | PA      | $482971.50     | 0.04%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Long: IBX00103  TRS USD R V 00MSOFR SOFRRATE -57 BPS / Short: IBX00103  TRS USD P F   .00000 JPMBKTL4 INDEX                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    43494561 | OU      | $-1709334.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                         | Focus Financial Partners LLC                                                                                                           | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1127181.00    | 0.09%             | 2031-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-122868.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4738.49       | 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        |     1350000 | PA      | $1358912.48    | 0.11%             | 2033-10-13      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                      | McAfee Corp                                                                                                                            | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1463348.25    | 0.12%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38384AEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3345805 | PA      | $204600.65     | 0.02%             | 2053-05-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $41257.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAUSSG20251007128 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -9504000 | OU      | $-70196.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITAUUS202510220647 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    26256000 | OU      | $25434.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39247980 | PA      | $31424446.63   | 2.51%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| CHEMOURS CO                                      | Chemours Co/The                                                                                                                        | CUSIP: 163851AJ7<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      415000 | PA      | $413078.55     | 0.03%             | 2033-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPNZUS202510170588 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -65143000 | OU      | $-604870.88    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                                                                               | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      207000 | PA      | $206836.47     | 0.02%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-27977.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PTMSIAUUS202510290644 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    26659000 | OU      | $28206.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                   | Transocean International Ltd                                                                                                           | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      295000 | PA      | $291159.10     | 0.02%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-376932.12    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | CWBNPEUPL20251020426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    -8237000 | OU      | $-48991.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-267255.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $7229.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPNZUS202510310584 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    66404000 | OU      | $507284.57     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $454524.53     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                                         | CUSIP: 00913WX18<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     9370000 | PA      | $9368826.87    | 0.75%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         914 | PA      | $930.27        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-R1                                                                                                     | CUSIP: 92541AAM2<br>LEI: 213800UBQ9UM61L7TB84 | Long             | ABS-MBS          | CORP              | US        |     2407798 | PA      | $2431205.77    | 0.19%             | 2065-05-25      | Variable      | 5.40%                 | 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        |  2185460000 | OU      | $-422912.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PWUBSEUSE2025102211045 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    -8373000 | OU      | $-43921.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31417KUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4023 | PA      | $3920.86       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $15030.22      | 0.00%             |  |  |  | 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        |     2600000 | PA      | $2471930.60    | 0.20%             | 2037-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-26182.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-4416.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-2399.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $15497.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297CWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      114135 | PA      | $116024.33     | 0.01%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-28496.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPEUPL20251020426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -8237000 | OU      | $-18906.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                                                                                  | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     1289000 | PA      | $1378263.25    | 0.11%             | 2037-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBAREUCZ20251029243 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |    -8549000 | OU      | $-25122.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAEUSE2025100610995 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -8193000 | OU      | $-4992.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAUSCA202510171375 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -9760000 | OU      | $-5270.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PWUBSEUUS202510241172 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -14713000 | OU      | $-89063.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $45729.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379QFW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1812079 | PA      | $228066.86     | 0.02%             | 2045-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-49805.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $-27661.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |           1 | NC      | $-9323.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-2440.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                           | Group 1 Automotive Inc                                                                                                                 | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      219000 | PA      | $212804.49     | 0.02%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $5745.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $53472.01      | 0.00%             |  |  |  | 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        | 21284000000 | OU      | $3777724.70    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                        | TPG Trust 2024-WLSC                                                                                                                    | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4425000 | PA      | $4434373.08    | 0.35%             | 2029-11-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                              | Travel + Leisure Co                                                                                                                    | CUSIP: 894164AA0<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |      525000 | PA      | $507013.50     | 0.04%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                           | Sunoco LP / Sunoco Finance Corp                                                                                                        | CUSIP: 86765KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      895000 | PA      | $922342.25     | 0.07%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-50346.41     | -0.00%            |  |  |  | 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        |     1400000 | PA      | $1309058.79    | 0.10%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-14912.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-28952.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED ILS / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |           1 | NC      | $70860.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-75797.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 31398E3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30704 | PA      | $30935.98      | 0.00%             | 2039-06-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    84000000 | PA      | $84698905.20   | 6.76%             | 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        |   -22980000 | NC      | $-188644.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Kaman Corporation                                | Kaman Corporation 2025 Term Loan B                                                                                                     | CUSIP: 48354VAM4<br>LEI: 5493003YK076OLTEQF95 | Long             | LON              | CORP              | US        |     2193103 | PA      | $2184681.93    | 0.17%             | 2032-02-26      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-54205.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOEASY LTD                                       | goeasy Ltd                                                                                                                             | CUSIP: 380355AR8<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     1155000 | PA      | $1122971.85    | 0.09%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $12046.83      | 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        |     2400000 | PA      | $2463300.53    | 0.20%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FUGUE FINANCE BV                                 | Fugue Finance BV 2025 Repriced Term Loan                                                                                               | CUSIP: 000000000<br>LEI: 254900Y4DWBRGAFENC88 | Long             | LON              | CORP              | US        |      248752 | PA      | $249107.27     | 0.02%             | 2032-01-09      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-7870.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                             | GCAT 2020-NQM2 Trust                                                                                                                   | CUSIP: 36166RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1625000 | PA      | $1503759.08    | 0.12%             | 2065-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3000000 | PA      | $2582393.40    | 0.21%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2254.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIUSIN20251010882 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -9616000 | OU      | $-3471.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292HXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         442 | PA      | $449.48        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38376WS30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2262936 | PA      | $196100.79     | 0.02%             | 2040-03-20      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-63425.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-8737.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                               | Elmwood CLO 27 Ltd                                                                                                                     | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2875000 | PA      | $2882592.88    | 0.23%             | 2037-04-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4443.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT Operating Partnership LP / MPT Finance Corp                                                                                        | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              |  | US        |      903000 | PA      | $747945.87     | 0.06%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38378VAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2828620 | PA      | $302222.49     | 0.02%             | 2043-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                         | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                                    | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1460930.10    | 0.12%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $6711.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CTCITUSCN202511267132 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    59897000 | OU      | $155193.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 31398FHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29517 | PA      | $29910.49      | 0.00%             | 2039-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-43082.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                           | Acrisure LLC / Acrisure Finance Inc                                                                                                    | CUSIP: 00489LAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      835000 | PA      | $871639.80     | 0.07%             | 2029-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $21105.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-9323.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-33700.24     | -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        | 27061860000 | OU      | $1512.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |           1 | NC      | $-10884.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2022-B33 Mortgage Trust                                                                                                      | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1125000 | PA      | $1043222.84    | 0.08%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                               | Crown Americas LLC                                                                                                                     | CUSIP: 228180AB1<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     2058000 | PA      | $2084651.10    | 0.17%             | 2030-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2017-RC1                                                                                         | CUSIP: 95001FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      756000 | PA      | $694893.15     | 0.06%             | 2060-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC                                 | Sensata Technologies Inc                                                                                                               | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     1059000 | PA      | $1024042.41    | 0.08%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31288GH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         210 | PA      | $213.83        | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-17480.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $44300.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK18                                                                                                                        | CUSIP: 065402BC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1437966.48    | 0.11%             | 2062-05-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PWCITEUPL20251015425 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    -8289000 | OU      | $-9527.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PTBARNZUS2025103105745 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    68471000 | OU      | $230157.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-1767.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                          | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3160000 | PA      | $3183542.00    | 0.25%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EG4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2282 | PA      | $2284.29       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2565000 | PA      | $2541581.55    | 0.20%             | 2026-03-15      | Fixed         | 3.90%                 | 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        |   232090000 | OU      | $-25019.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-25153.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR243243  IRS CHF R V 00MSARON 1 CCPOIS / Short: BR243243  IRS CHF P F   .50000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6430000 | OU      | $-18744.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $320.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $-11601.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS09172A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    12480000 | NC      | $70635.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                         | USA Compression Partners LP / USA Compression Finance Corp                                                                             | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      880000 | PA      | $908881.60     | 0.07%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09638A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -24610000 | NC      | $-230721.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-32395.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2185000 | PA      | $2285708.40    | 0.18%             | 2043-10-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $69635.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $69876.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CTBOAUSCN202511147105 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    38941000 | OU      | $156270.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                              | LSEGA Financing PLC                                                                                                                    | CUSIP: 50221FYE8<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | STIV             | CORP              | GB        |     9184000 | PA      | $9135439.60    | 0.73%             | 2025-11-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $7228.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBAREUCZ202510302433 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |    -8562000 | OU      | $-31031.20     | -0.00%            |  |  |  | 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        |    62900000 | OU      | $824076.02     | 0.07%             |  |  |  | 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        |   293270000 | OU      | $158395.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-6509.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bonds           | Dominican Republic International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      236000 | PA      | $254526.00     | 0.02%             | 2031-02-03      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PTBOANZUS2025093005815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    47938000 | OU      | $82403.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $43250.24      | 0.00%             |  |  |  | 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        |      100000 | PA      | $108096.55     | 0.01%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $-44532.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VFH PARENT LLC                                   | VFH Parent LLC 2025 Term Loan B                                                                                                        | CUSIP: 91820UAV2<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |     1825000 | PA      | $1825000.00    | 0.15%             | 2031-06-21      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $49977.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                         | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                                                                         | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      510000 | PA      | $511244.40     | 0.04%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | Navient Corp                                                                                                                           | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      860000 | PA      | $950196.80     | 0.08%             | 2030-07-25      | Fixed         | 9.38%                 | 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        |    33400000 | OU      | $-784.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-25408.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED ZAR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $23728.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wellington Management CLO                        | Wellington Management Clo 5 Ltd                                                                                                        | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |     6100000 | PA      | $6120679.00    | 0.49%             | 2038-10-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-45388.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                         | Prime Healthcare Services Inc                                                                                                          | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      790000 | PA      | $821844.90     | 0.07%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-24896.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-17543.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13955 | PA      | $13996.82      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                     | SM Energy Co                                                                                                                           | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      330000 | PA      | $331897.50     | 0.03%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                     | VT Topco Inc                                                                                                                           | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |      743000 | PA      | $758892.77     | 0.06%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPEUGB2025102108715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -8292000 | OU      | $-26246.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-8150.96      | -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        |      499447 | PA      | $499739.51     | 0.04%             | 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        |           9 | PA      | $8.79          | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-2525.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIUSIN20251010882 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -9616000 | OU      | $-78485.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2022-B32 Mortgage Trust                                                                                                      | CUSIP: 08163NBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1605308.87    | 0.13%             | 2055-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1911124 | PA      | $1637710.46    | 0.13%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296RH27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $167.85        | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                        | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      950000 | PA      | $963429.72     | 0.08%             | 2047-03-14      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                | Iron Mountain Inc                                                                                                                      | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      460000 | PA      | $473652.80     | 0.04%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-3274.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                          | Kodiak Gas Services LLC                                                                                                                | CUSIP: 50012LAC8<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      240000 | PA      | $248983.20     | 0.02%             | 2029-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR230955  IRS BRL R F 13.75000 2 CCPNDFPREDISWAP / Short: SR230955  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   204880000 | OU      | $-186673.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPEUUS2025102411465 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -14955000 | OU      | $-11237.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |           1 | NC      | $-4869.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-5615.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |           1 | NC      | $76836.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-SCHATZ FUT DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -1 | NC      | $239.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2722.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                 | RALI Series 2006-QS6 Trust                                                                                                             | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272175 | PA      | $225432.06     | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2005-26CB                                                                                                       | CUSIP: 12667GTM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212150 | PA      | $139673.86     | 0.01%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296UCR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $157.37        | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DRAKE SOFTWARE LLC                               | Drake Software LLC 2024 Term Loan B                                                                                                    | CUSIP: 23344UAF7<br>LEI: 25490030X7DBAF7KCR65 | Long             | LON              | CORP              | US        |      853473 | PA      | $852047.95     | 0.07%             | 2031-06-26      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-63076.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                                                                                                               | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $994070.70     | 0.08%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-1724.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           1 | NC      | $1571.55       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $23775.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR219534  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR219534  IRS USD P F  3.49000 2 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       10000 | OU      | $-5.39         | -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        |    57280000 | OU      | $1212503.96    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBARAUNZ202510061112 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -28977000 | OU      | $-19.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRV Trust                                        | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3100000 | PA      | $3168800.78    | 0.25%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-202327.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Arini European CLO                               | Arini European Clo VII DAC                                                                                                             | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2700316.52    | 0.22%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                      | Chemours Co/The                                                                                                                        | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      450000 | PA      | $439272.00     | 0.04%             | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $27500.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $86624.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         987 | PA      | $1003.38       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-80465.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-465.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-18435.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIAUNZ202510201126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -14632000 | OU      | $-8345.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AL GCX Holdings LLC                              | AL GCX Holdings LLC Term Loan B                                                                                                        | CUSIP: 00162DAB1<br>LEI: 2549009G4C2J89LNWS21 | Long             | LON              | CORP              | US        |      509284 | PA      | $508011.18     | 0.04%             | 2029-05-17      | Floating      | 6.22%                 | 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        |     1150000 | PA      | $1188082.16    | 0.09%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS09418A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -4260000 | NC      | $-85162.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $44475.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QRXT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      778662 | PA      | $805931.75     | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $51891.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-92229.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $24421.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | Cifc Funding 2023-III Ltd                                                                                                              | CUSIP: 12598SAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1025000 | PA      | $1036115.10    | 0.08%             | 2037-01-20      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | Barclays Commercial Mortgage Trust 2019-C3                                                                                             | CUSIP: 05550MAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      865000 | PA      | $765602.15     | 0.06%             | 2052-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $91542.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $186266.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | CWBARAUNZ202510061112 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -28977000 | OU      | $-488517.20    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296UXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1308 | PA      | $1332.33       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEALED AIR/SEALED AIR US                         | Sealed Air Corp/Sealed Air Corp US                                                                                                     | CUSIP: 812127AA6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     1375000 | PA      | $1394222.50    | 0.11%             | 2028-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1398735.75    | 0.11%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |           1 | NC      | $7716.07       | 0.00%             |  |  |  | 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        |     1919800 | PA      | $1744806.84    | 0.14%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38380Y2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1180101 | PA      | $147262.90     | 0.01%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 90 Clo Ltd                                                                                                                      | CUSIP: 262484AU2<br>LEI: 549300BLIFMJ8T7AGX24 | Long             | ABS-CBDO         | CORP              | KY        |     3750000 | PA      | $3750000.00    | 0.30%             | 2038-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XXV Ltd                                                                                                                   | CUSIP: 89640BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1870000 | PA      | $1874820.86    | 0.15%             | 2037-01-23      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                  | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                               | CUSIP: 88231WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $797332.92     | 0.06%             | 2042-04-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4476.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4606.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAUSCN202510317145 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -37269000 | OU      | $-47070.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-27141.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAMELOT FINANCE SA                               | Camelot Finance SA                                                                                                                     | CUSIP: 13323AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |       15000 | PA      | $14916.60      | 0.00%             | 2026-11-01      | Fixed         | 4.50%                 | 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        |     4280000 | OU      | $-3817.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                          | Halsey Point CLO I Ltd                                                                                                                 | CUSIP: 406375BL8<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5025375.00    | 0.40%             | 2037-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1577044.92    | 0.13%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED HKD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HK        |           1 | NC      | $1921.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                              | Axon Enterprise Inc                                                                                                                    | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      255000 | PA      | $262150.20     | 0.02%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $1721.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-3221.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $25090.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-210.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| North Westerly CLO BV                            | North Westerly VII ESG CLO DAC                                                                                                         | CUSIP: 000000000<br>LEI: 6354007ZUE69EZFAZR52 | Long             | ABS-CBDO         | CORP              | IE        |     1200000 | PA      | $1400046.96    | 0.11%             | 2034-05-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $82791.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-7175.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 34 Ltd                                                                                              | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1003708.00    | 0.08%             | 2039-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296MGU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         367 | PA      | $372.68        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                     | WB Commercial Mortgage Trust 2024-HQ                                                                                                   | CUSIP: 92943PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2425000 | PA      | $2430328.38    | 0.19%             | 2040-03-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12000000 | PA      | $11639062.80   | 0.93%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUSE202510141094 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8269000 | OU      | $-104528.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                  | Madison IAQ LLC                                                                                                                        | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |      654000 | PA      | $646132.38     | 0.05%             | 2029-06-30      | Fixed         | 5.88%                 | 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        |     1137408 | PA      | $956574.92     | 0.08%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4287.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                            | Encompass Health Corp                                                                                                                  | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |      451000 | PA      | $447121.40     | 0.04%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                              | Sirius XM Radio LLC                                                                                                                    | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1474354.75    | 0.12%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $10956.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                | ILLINOIS ST                                                                                                                            | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3734510 | PA      | $3799057.45    | 0.30%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $112037.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                 | RALI Series 2006-QS2 Trust                                                                                                             | CUSIP: 761118UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172956 | PA      | $140979.16     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137FW6P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1465289 | PA      | $294850.50     | 0.02%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-17101.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUCH202510010936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -8056000 | OU      | $-926.90       | -0.00%            |  |  |  | No            |                  2 | 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        |  7225620000 | OU      | $24842.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $5463.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-3492.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-31061.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $135006.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $4297.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    49000000 | PA      | $46075072.40   | 3.68%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296NDW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         432 | PA      | $438.66        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2384836 | PA      | $2412840.85    | 0.19%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-24485.86     | -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        |     1100000 | PA      | $1094124.97    | 0.09%             | 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        |     1195942 | PA      | $1170271.75    | 0.09%             | 2037-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-19138.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-16219.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 39 Ltd                                                                                              | CUSIP: 64134GAL3<br>LEI: 549300VZYYV7KE4XNU69 | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2008504.00    | 0.16%             | 2038-04-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2475000 | PA      | $2479277.30    | 0.20%             | 2044-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31288H6W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $257.12        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |           1 | NC      | $-68174.04     | -0.01%            |  |  |  | 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        |      318010 | PA      | $318008.77     | 0.03%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296NRM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $110.58        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-45065.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPEUGB202510290874 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -8549000 | OU      | $-47424.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | PWHSBEUGB2025102308735 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    -8450000 | OU      | $-39395.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09471A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |  -156240000 | NC      | $-114517.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4300.99      | -0.00%            |  |  |  | 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        |     2500000 | PA      | $2539398.68    | 0.20%             | 2042-08-10      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $93588.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31288EK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5103 | PA      | $5183.32       | 0.00%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GEN II FUND SERVICES LLC                         | GEN II Fund Services LLC 2024 Term Loan B                                                                                              | CUSIP: 69381MAB1<br>LEI: 2138006XMWHEBFQ55Z05 | Long             | LON              | CORP              | US        |     1388025 | PA      | $1387442.03    | 0.11%             | 2031-11-26      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                         | Halseypoint CLO II Ltd                                                                                                                 | CUSIP: 40638TAS1<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | KY        |     1425000 | PA      | $1430004.60    | 0.11%             | 2037-07-20      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SS006935  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006935  CDS USD P V 03MEVENT 1 CCPCORPORATE                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     5170000 | OU      | $96340.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIEUGB2025100608725 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -8373000 | OU      | $-15138.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-37781.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $244918.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $69539.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-49615.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-33475.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                  | CSAIL 2018-CX12 Commercial Mortgage Trust                                                                                              | CUSIP: 12595XAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1728408.17    | 0.14%             | 2051-08-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $17154.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                         | iHeartCommunications Inc 2024 Term Loan                                                                                                | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      603870 | PA      | $526309.23     | 0.04%             | 2029-05-01      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-1                                                                                                      | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     2642605 | PA      | $2672569.10    | 0.21%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | OPS09660A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -25450000 | NC      | $-183240.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38380W4A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1327156 | PA      | $164079.24     | 0.01%             | 2048-05-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-3910.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                             | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAE6<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      440000 | PA      | $424102.80     | 0.03%             | 2037-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                    | CQP Holdco LP 2024 1st Lien Term Loan B                                                                                                | CUSIP: 12657QAE3<br>LEI: 549300LPL012JY5D4B69 | Long             | LON              | CORP              | US        |     2357217 | PA      | $2356863.60    | 0.19%             | 2030-12-31      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bleriot US Bidco Inc                             | Bleriot US Bidco Inc 2023 Term Loan B                                                                                                  | CUSIP: 09353TAJ9<br>LEI: 254900ALCQ2A2VYD5Z08 | Long             | LON              | CORP              | US        |      691267 | PA      | $691080.84     | 0.06%             | 2030-10-31      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-1944.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUCH202510200932 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8237000 | OU      | $-24611.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LABL INC                                         | LABL Inc                                                                                                                               | CUSIP: 50168AAA8<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |      171000 | PA      | $141488.82     | 0.01%             | 2027-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                  | Barclays Dryrock Issuance Trust                                                                                                        | CUSIP: 06742LBB8<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     4100000 | PA      | $4100947.10    | 0.33%             | 2028-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                   | Crown City CLO IV                                                                                                                      | CUSIP: 228233AU6<br>LEI: 549300AGQI0XSPNAK945 | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1308448.70    | 0.10%             | 2037-04-20      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                             | Cleveland-Cliffs Inc                                                                                                                   | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      610000 | PA      | $622071.90     | 0.05%             | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: SR247180  IRS COP R F  9.25000 2 CCPNDFOIS / Short: SR247180  IRS COP P V 00MCPIBR 1 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |  2433050000 | OU      | $-362.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                 | Bain Capital CLO 2024-1 Ltd                                                                                                            | CUSIP: 056920AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1000000 | PA      | $1006505.00    | 0.08%             | 2037-04-16      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                             | Petronas Capital Ltd                                                                                                                   | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      530000 | PA      | $546981.20     | 0.04%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-41238.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3703.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                  | Benefit Street Partners Clo XXXIII Ltd                                                                                                 | CUSIP: 08179DAJ8<br>LEI: 254900IWSSBPCATK8N78 | Long             | ABS-CBDO         | CORP              | JE        |     2000000 | PA      | $2009874.00    | 0.16%             | 2036-01-25      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: CX003318  CDS USD R F   .50000 2 CMBX / Short: CX003318  CDS USD P V 01MEVENT 1 CMBX                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     8675000 | OU      | $-113741.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | Csmc 2022-Nqm1 Trust                                                                                                                   | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     1408142 | PA      | $1293273.93    | 0.10%             | 2066-11-25      | Variable      | 2.27%                 | 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        |      500000 | PA      | $501124.41     | 0.04%             | 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        |         654 | NC      | $1215708.37    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $13552.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-5MW                                                                                                | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1950000 | PA      | $1943008.86    | 0.16%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $25359.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $309.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2025-5YR15                                                                                                                       | CUSIP: 065924AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $2079680.08    | 0.17%             | 2058-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                            | Qnity Electronics Inc                                                                                                                  | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      440000 | PA      | $449803.20     | 0.04%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138APZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7884 | PA      | $7888.45       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | 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        |  3950630000 | OU      | $-2698702.82   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $27100.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASTLE US HOLDING CORP                           | Castle US Holding Corp                                                                                                                 | CUSIP: 14852LAB9<br>LEI: 254900VXLMLPIE9ID612 | Long             | DBT              | CORP              | US        |      522000 | PA      | $80471.52      | 0.01%             | 2031-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-2776.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                             | Birch Grove CLO 7 Ltd                                                                                                                  | CUSIP: 09077RAA7<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |     2070000 | PA      | $2072070.00    | 0.17%             | 2036-10-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                         | Midcap Financial Issuer Trust                                                                                                          | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1176000 | PA      | $1168050.24    | 0.09%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4789.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-85178.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                            | HUB International Ltd                                                                                                                  | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      585000 | PA      | $610541.10     | 0.05%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR243158  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243158  IRS EUR P F  2.50000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |      550000 | OU      | $42960.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                     | SM Energy Co                                                                                                                           | CUSIP: 78454LAY6<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      530000 | PA      | $529894.00     | 0.04%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                           | Athenahealth Group Inc 2022 Term Loan B                                                                                                | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     1703273 | PA      | $1699014.73    | 0.14%             | 2029-02-15      | Floating      | 6.91%                 | 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        |   352010000 | OU      | $2119783.33    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-292306.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $17015.64      | 0.00%             |  |  |  | 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        |  4801000000 | OU      | $-3395375.24   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38378VX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3027130 | PA      | $219419.70     | 0.02%             | 2043-04-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-139817.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1689.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CWCITUSCA20251028139 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -10011000 | OU      | $-42897.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                    | VTR Commercial Mortgage Trust 2025-STEM                                                                                                | CUSIP: 92890YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1350000 | PA      | $1350000.00    | 0.11%             | 2041-10-13      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-262217.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BJMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3081870 | PA      | $350130.00     | 0.03%             | 2045-05-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                   | MSWF Commercial Mortgage Trust 2023-2                                                                                                  | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1575000 | PA      | $1669480.53    | 0.13%             | 2056-12-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312930J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2579 | PA      | $2626.67       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-162969.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $11045.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1344.60       | 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        |   125440000 | OU      | $-3901.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                | Mountain View CLO XVI Ltd                                                                                                              | CUSIP: 62432UAN1<br>LEI: 549300MWKXOHYV7Z8O91 | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1700831.30    | 0.14%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR243200  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR243200  IRS CAD P F  2.25000 2 CCPOIS                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    40790000 | OU      | $46144.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296MF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $157.87        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | CWUBSAUNZ202510141126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -14632000 | OU      | $-131655.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2024-PMDW                                                                                                                    | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $864809.53     | 0.07%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                         | Antero Midstream Partners LP / Antero Midstream Finance Corp                                                                           | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      480000 | PA      | $478214.40     | 0.04%             | 2029-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $14119.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                 | RALI Series 2006-QS9 Trust                                                                                                             | CUSIP: 75115CAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470773 | PA      | $388026.22     | 0.03%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                                                   | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2565000 | PA      | $2519368.65    | 0.20%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-13854.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | PWHSBEUPL2025101042625 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    -8204000 | OU      | $-15574.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS08787A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -5240000 | NC      | $-139199.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-174381.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                               | Elmwood CLO IV Ltd                                                                                                                     | CUSIP: 29002GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6400000 | PA      | $6414528.00    | 0.51%             | 2037-04-18      | Floating      | 5.79%                 | 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        |   491410000 | OU      | $-70394.23     | -0.01%            |  |  |  | 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        |   109510000 | OU      | $-21479.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR10                                                                                                                       | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $513860.79     | 0.04%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1515.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                          | Asbury Automotive Group Inc                                                                                                            | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      510000 | PA      | $494694.90     | 0.04%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2025-BNK49                                                                                                                        | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3300000 | PA      | $3489544.31    | 0.28%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                          | UKG Inc 2024 Term Loan B                                                                                                               | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |      677015 | PA      | $676141.86     | 0.05%             | 2031-02-10      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| MAN GLG US CLO 2021-1 Ltd                        | MAN GLG US CLO 2021-1 LTD                                                                                                              | CUSIP: 56166WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6700000 | PA      | $6699825.80    | 0.53%             | 2034-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                                                                                 | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1310000 | PA      | $1444392.90    | 0.12%             | 2029-02-01      | Fixed         | 9.50%                 | 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        |     1450000 | PA      | $1479275.15    | 0.12%             | 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        |    65250000 | OU      | $4729918.69    | 0.38%             |  |  |  | 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        |    20890000 | OU      | $181561.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $14896.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-6                                                                                                      | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      269552 | PA      | $237806.18     | 0.02%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $30028.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1094461 | PA      | $937883.04     | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-25917.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-337719.37    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PTBARNZUS20251020059 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    97873000 | OU      | $1072705.35    | 0.09%             |  |  |  | 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        |   142256653 | NS      | $142256653.34  | 11.35%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $34313.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust                                                                                                    | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1950000 | PA      | $1963016.25    | 0.16%             | 2029-07-16      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                | Herc Holdings Inc                                                                                                                      | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      884000 | PA      | $881984.48     | 0.07%             | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR8                                                                                                                        | CUSIP: 065923BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $310342.05     | 0.02%             | 2057-08-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOANZUS2025093005785 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -93528000 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                             | Raizen Fuels Finance SA                                                                                                                | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $185600.00     | 0.01%             | 2054-03-05      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    63000000 | PA      | $55334178.90   | 4.42%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-87487.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $24091.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AFFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1818 | PA      | $1819.00       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $752.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XXII Ltd                                                                                                                  | CUSIP: 89640HAU5<br>LEI: 254900Y31HLFEBSJXC19 | Long             | ABS-CBDO         | CORP              | BM        |     2825000 | PA      | $2858487.55    | 0.23%             | 2038-03-20      | Floating      | 7.38%                 | 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        |    26400000 | OU      | $4116037.81    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $9857.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAUSCN202510217104 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -9765000 | OU      | $-14432.67     | -0.00%            |  |  |  | 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        |     6460000 | OU      | $128925.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                             | Sonic Automotive Inc                                                                                                                   | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      525000 | PA      | $509769.75     | 0.04%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                     | Providus CLO                                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7900000 | PA      | $9275000.23    | 0.74%             | 2039-11-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675000 | PA      | $706137.87     | 0.06%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4341.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $13330.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                   | ILPT Commercial Mortgage Trust 2025-LPF2                                                                                               | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2900000 | PA      | $2949879.94    | 0.24%             | 2042-07-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAUSCA2025101413815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -9698000 | OU      | $-70950.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ROIC                                                                                                                     | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1693396 | PA      | $1688304.88    | 0.13%             | 2030-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $201932.13     | 0.02%             |  |  |  | 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     | 0.01%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-12847.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7465 | PA      | $7588.61       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                          | CUSIP: 172967PC9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2365000 | PA      | $2465276.00    | 0.20%             | 2028-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-112581.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PTCHANZUS202510070581 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    95178000 | OU      | $276283.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                 | Bbam US Clo V Ltd                                                                                                                      | CUSIP: 05556BAA0<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |     6025000 | PA      | $6048967.45    | 0.48%             | 2038-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS08786A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    56160000 | NC      | $233652.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                             | LifePoint Health Inc                                                                                                                   | CUSIP: 53219LAU3<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     1485000 | PA      | $1420966.80    | 0.11%             | 2029-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust         | GM Financial Revolving Receivables Trust 2024-1                                                                                        | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1550000 | PA      | $1591401.43    | 0.13%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-157691.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 54 Ltd                                                                                              | CUSIP: 64135PAG3<br>LEI: 2549008MU2CMQ0UY7J70 | Long             | ABS-CBDO         | CORP              | JE        |     1975000 | PA      | $1984620.23    | 0.16%             | 2038-04-23      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Anticimex International AB                       | Anticimex International AB 2024 Term Loan B6                                                                                           | CUSIP: 03703HAB2<br>LEI: 54930005SBU6WYFBEB41 | Long             | LON              | CORP              | SE        |     3324420 | PA      | $3329406.69    | 0.27%             | 2028-11-16      | Floating      | 7.76%                 | 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        |      240313 | PA      | $235430.14     | 0.02%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-80270.55     | -0.01%            |  |  |  | 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        |    23550000 | OU      | $96317.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-106821.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |           1 | NC      | $-12252.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-449.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government International Bonds           | Romania Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      930000 | PA      | $825754.72     | 0.07%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      563790 | PA      | $65003.36      | 0.01%             | 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        |     1100000 | PA      | $1108002.74    | 0.09%             | 2035-07-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-33101.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379HWD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2067612 | PA      | $266184.00     | 0.02%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-J2 Trust                                                                                                                      | CUSIP: 67115QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      931012 | PA      | $838347.35     | 0.07%             | 2052-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-102497.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $26792.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP                              | Prairie Acquiror LP                                                                                                                    | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |      535000 | PA      | $556833.35     | 0.04%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-1397.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $59482.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $23983.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $124333.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBARNZUS202510310584 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -66404000 | OU      | $-507284.57    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | Long: CX003328  CDS USD R F   .50000 2 CMBX / Short: CX003328  CDS USD P V 01MEVENT 1 CMBX                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    27900000 | OU      | $-365808.06    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                   | PENN Commercial Mortgage Trust 2025-P11                                                                                                | CUSIP: 69382VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1017601.47    | 0.08%             | 2042-08-10      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-32182.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3200000 | PA      | $3214715.52    | 0.26%             | 2044-05-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XXIII Ltd                                                                                                                 | CUSIP: 89642TAL7<br>LEI: 635400HEV45BA22Y6W50 | Long             | ABS-CBDO         | CORP              | BM        |     2000000 | PA      | $2004184.00    | 0.16%             | 2038-10-20      | Floating      | 5.48%                 | 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        |     1750000 | PA      | $1765620.57    | 0.14%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $43484.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $62001.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-20474.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                         | Hilton Domestic Operating Co Inc                                                                                                       | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1174000 | PA      | $1167014.70    | 0.09%             | 2030-01-15      | Fixed         | 4.88%                 | 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        |   322090000 | OU      | $-1259436.32   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS08400A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -6400000 | NC      | $-41725.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                 | IRB Holding Corp 2024 1st Lien Term Loan B                                                                                             | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     2370090 | PA      | $2370208.50    | 0.19%             | 2027-12-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 35 Ltd                               | Elmwood CLO 35 Ltd                                                                                                                     | CUSIP: 29004NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6650000 | PA      | $6672723.05    | 0.53%             | 2037-10-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2300000 | PA      | $2337122.00    | 0.19%             | 2045-03-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $101118.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09643A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -25260000 | NC      | $-193211.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PTBOAEUUS202511061169 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    49008000 | OU      | $312948.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1389 | PA      | $1411.72       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $11661.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOHLER ENERGY CO LLC                             | Kohler Energy Co LLC USD Term Loan B                                                                                                   | CUSIP: 25472PAB6<br>LEI: 254900T31FAYMRQSAA12 | Long             | LON              | CORP              | US        |      482078 | PA      | $482531.37     | 0.04%             | 2031-05-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $529.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-7341.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-79.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-72974.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                            | Genesis Energy LP / Genesis Energy Finance Corp                                                                                        | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      910000 | PA      | $948948.00     | 0.08%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |           1 | NC      | $72182.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-17057.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $165631.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds            | Mexico Government International Bonds                                                                                                  | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      360000 | PA      | $227880.00     | 0.02%             | 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        |     2800000 | PA      | $2848665.32    | 0.23%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A1UT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1737114 | PA      | $192775.72     | 0.02%             | 2041-10-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $70304.92      | 0.01%             |  |  |  | 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        |   230020000 | OU      | $-235517.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITNZUS2025093005785 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    93528000 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                                            | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |     9494000 | PA      | $9376521.24    | 0.75%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust            | Westlake Automobile Receivables Trust 2025-2                                                                                           | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2200000 | PA      | $2206509.80    | 0.18%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-7166.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED ZAR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $123222.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAUSCA2025101413815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -9698000 | OU      | $-8078.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3900000 | PA      | $4016845.44    | 0.32%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-10795.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2073.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CTBOAUSMX202511131878 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    19396000 | OU      | $111507.60     | 0.01%             |  |  |  | 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        |   469070000 | OU      | $112965.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                | Generate CLO 15 Ltd                                                                                                                    | CUSIP: 37147XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     2000000 | PA      | $2007888.00    | 0.16%             | 2037-07-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      930119 | PA      | $108506.09     | 0.01%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-135734.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                 | Flatiron CLO 20 Ltd                                                                                                                    | CUSIP: 33883MAJ3<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2304600.00    | 0.18%             | 2036-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-27480.27     | -0.00%            |  |  |  | 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        | 10173782951 | OU      | $-2567630.70   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-AIRC                                                                                                 | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1029815 | PA      | $1032312.92    | 0.08%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $22248.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 207941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2275000 | PA      | $2350992.74    | 0.19%             | 2044-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1325000 | PA      | $1182940.02    | 0.09%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        1852 | NC      | $-170129.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED PLN / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |           1 | NC      | $-20589.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $121152.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1070000 | PA      | $1098541.42    | 0.09%             | 2040-01-13      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-59878.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $13205.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                          | Stellar Jay Ireland DAC                                                                                                                | CUSIP: 858558AA7<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |      728299 | PA      | $721451.89     | 0.06%             | 2041-10-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP               | One New York Plaza Trust 2020-1NYP                                                                                                     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1650000 | PA      | $1614591.10    | 0.13%             | 2036-01-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                    | 1988 CLO 5 Ltd                                                                                                                         | CUSIP: 68252PAN6<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1910155.50    | 0.15%             | 2037-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                          | Jane Street Group / JSG Finance Inc                                                                                                    | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      905000 | PA      | $918891.75     | 0.07%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fleet Midco I Limited                            | Fleet Midco I Limited 2024 1st Lien Term Loan B                                                                                        | CUSIP: 33902UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2359007 | PA      | $2359007.09    | 0.19%             | 2031-02-21      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $72454.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-18478.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $49227.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                            | American Airlines Inc                                                                                                                  | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      915000 | PA      | $936777.00     | 0.07%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-12962.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATL BANK OF KUWAIT NY                           | National Bank of Kuwait/New York NY                                                                                                    | CUSIP: 63376F2N9<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | KW        |     5875000 | PA      | $5877604.98    | 0.47%             | 2025-12-02      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust      | MF1 2021-FL6 Ltd                                                                                                                       | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       73918 | PA      | $73895.08      | 0.01%             | 2036-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| HUSKY INJECTION / TITAN                          | Husky Injection Molding Systems Ltd / Titan Co-Borrower LLC                                                                            | CUSIP: 44805RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      585000 | PA      | $610974.00     | 0.05%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38378YE47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      399949 | PA      | $9884.50       | 0.00%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bonds       | Ivory Coast Government International Bonds                                                                                             | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     1896000 | PA      | $1815894.00    | 0.14%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                  | Rand Parent LLC                                                                                                                        | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      725000 | PA      | $753391.00     | 0.06%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-10071.17     | -0.00%            |  |  |  | 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        |      350000 | OU      | $1187.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-49844.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAZERAC COMPANY INC                              | Sazerac Company Inc Term Loan B                                                                                                        | CUSIP: 80583EAN6<br>LEI: 9QU0CG1O4LSOB6IFK895 | Long             | LON              | CORP              | US        |     1625000 | PA      | $1634035.00    | 0.13%             | 2032-07-09      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |           1 | NC      | $-4122.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-4580.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR243150  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243150  IRS EUR P F  2.25000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1930000 | OU      | $1124.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $116.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-1248.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $6066.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAUSCA202510171375 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -9760000 | OU      | $-111703.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $5741.14       | 0.00%             |  |  |  | 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        |    54340000 | OU      | $-114853.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                             | Noble Finance II LLC                                                                                                                   | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      800000 | PA      | $828128.00     | 0.07%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-41237.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                           | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      240000 | PA      | $210900.00     | 0.02%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-20657.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31283HZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6039 | PA      | $6138.70       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUPL20251023426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8450000 | OU      | $-55833.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                         | Sinclair Television Group Inc                                                                                                          | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     1145000 | PA      | $1178559.95    | 0.09%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09637A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -24610000 | NC      | $-82278.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARDONAGH GROUP FINANCE                           | Ardonagh Group Finance Ltd                                                                                                             | CUSIP: 039956AA5<br>LEI: 254900SRT1BTAJ76NW62 | Long             | DBT              | CORP              | JE        |     2093000 | PA      | $2202422.04    | 0.18%             | 2032-02-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38380TZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      827726 | PA      | $84285.37      | 0.01%             | 2047-07-20      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR Trust 2019-HQA2                                                                                                      | CUSIP: 35564MAH8<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | USGSE             | US        |      329060 | PA      | $333893.46     | 0.03%             | 2049-04-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR9                                  | BANK5 2024-5YR9                                                                                                                        | CUSIP: 06644VBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1150000 | PA      | $1202442.15    | 0.10%             | 2057-08-15      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CWCITEUPL20251015425 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    -8289000 | OU      | $-58944.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $161196.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                           | Match Group Holdings II LLC                                                                                                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      984000 | PA      | $966976.80     | 0.08%             | 2028-06-01      | Fixed         | 4.62%                 | 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        |   375950000 | OU      | $2543142.10    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-39694.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                             | Garda World Security Corp                                                                                                              | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      360000 | PA      | $373978.80     | 0.03%             | 2032-11-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-DNA6                                                                                                | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $690457.38     | 0.06%             | 2050-12-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1250000 | PA      | $1408640.66    | 0.11%             | 2030-05-26      | Fixed         | 3.62%                 | 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        |     1250000 | PA      | $1268363.84    | 0.10%             | 2042-08-10      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                  | WHARF Commercial Mortgage Trust 2025-DC                                                                                                | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1650000 | PA      | $1691756.47    | 0.14%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                          | Royal Caribbean Cruises Ltd                                                                                                            | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      895000 | PA      | $911790.20     | 0.07%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-31301.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-116247.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR212021  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR212021  IRS EUR P F  1.25000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2630000 | OU      | $95998.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| APH/APH2/APH3/AQUARIAN                           | APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves                                                       | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1590000 | PA      | $1659021.90    | 0.13%             | 2029-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2023-HE1                                                                                                      | CUSIP: 46656UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      595437 | PA      | $598097.49     | 0.05%             | 2053-11-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-1181.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                         | Archrock Partners LP / Archrock Partners Finance Corp                                                                                  | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      620000 | PA      | $636417.60     | 0.05%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation            | AMMC CLO 30 Ltd                                                                                                                        | CUSIP: 03165YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1012997.00    | 0.08%             | 2037-01-15      | Floating      | 12.05%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $61216.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1913 | PA      | $1948.37       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2021-6                                                                                                        | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300450 | PA      | $257070.12     | 0.02%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                  | Barclays Dryrock Issuance Trust                                                                                                        | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     2625000 | PA      | $2619728.97    | 0.21%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAAUNZ2025101311142 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -14632000 | OU      | $-226645.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $462.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-48747.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                 | Deutsche Bank AG                                                                                                                       | CUSIP: 251525AX9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1400000 | PA      | $1400812.00    | 0.11%             | 2025-10-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $26169.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-17461.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $1954.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIUSJP2025112014715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -36841000 | OU      | $-494774.63    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $33855.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $577.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-7013.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       11400 | PA      | $11473.92      | 0.00%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2150000 | PA      | $2219744.71    | 0.18%             | 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        |    -5240000 | NC      | $-67733.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAUSIN20251003884 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -9698000 | OU      | $-51040.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2023-C20                                                                                                          | CUSIP: 07336DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1638386.99    | 0.13%             | 2056-07-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                 | CVC Cordatus Loan Fund XXXIV DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400DVOSHFEKDFWJ26 | Long             | ABS-CBDO         | CORP              | IE        |     1800000 | PA      | $2106363.82    | 0.17%             | 2038-04-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-9486.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2483 | PA      | $2488.24       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | 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        |  5228190000 | OU      | $-18993.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    81000000 | PA      | $82387756.80   | 6.58%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $10656.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CINEWORLD RIGHTS                                 | CINEWORLD RIGHTS                                                                                                                       | CUSIP: 000000000<br>LEI: 213800J2J3TOOI176M73 | Long             | STIV             |  | US        |       16800 | NS      | $361552.80     | 0.03%             |  |  |  | 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        |    56890000 | OU      | $875626.38     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |           1 | NC      | $10293.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                              | Medline Borrower LP                                                                                                                    | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     1257000 | PA      | $1246566.90    | 0.10%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-32425.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QRXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      761488 | PA      | $787679.80     | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK37                                                                                                                        | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $534244.48     | 0.04%             | 2064-11-15      | Variable      | 2.62%                 | 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        |    60660000 | OU      | $-332330.82    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2020-B21 Mortgage Trust                                                                                                      | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $881249.88     | 0.07%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296TXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         703 | PA      | $714.95        | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                                                                                  | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      185000 | PA      | $193880.00     | 0.02%             | 2036-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $105672.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         233 | PA      | $237.10        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                         | Standard Building Solutions Inc                                                                                                        | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      610000 | PA      | $626274.80     | 0.05%             | 2032-08-15      | Fixed         | 6.50%                 | 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        |      750000 | PA      | $697809.98     | 0.06%             | 2037-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4045.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $33279.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KBR INC                                          | KBR Inc                                                                                                                                | CUSIP: 48242WAC0<br>LEI: 254900OFQDXZRKRCV808 | Long             | DBT              | CORP              | US        |      498000 | PA      | $492382.56     | 0.04%             | 2028-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 34 Ltd                                                                                              | CUSIP: 64132YBE1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |     8825000 | PA      | $8855728.65    | 0.71%             | 2039-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR10                                                                                                                       | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1287298.59    | 0.10%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      369513 | PA      | $364306.58     | 0.03%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-194177.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-58253.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296YGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         237 | PA      | $241.41        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2025-DNA2                                                                                                | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |     1487500 | PA      | $1490607.98    | 0.12%             | 2045-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGHT TOOLS USA INC                     | Harbor Freight Tools USA Inc 2024 Term Loan B                                                                                          | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |     2400750 | PA      | $2355735.94    | 0.19%             | 2031-06-11      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-56029.31     | -0.00%            |  |  |  | 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        |         773 | NC      | $-106810.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-1601.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $24383.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS08399A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    21520000 | NC      | $29116.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-62816.51     | -0.01%            |  |  |  | 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        |     2250000 | PA      | $2345149.13    | 0.19%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                          | Beach Acquisition Bidco LLC                                                                                                            | CUSIP: 000000000<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |      469000 | PA      | $564395.50     | 0.05%             | 2032-07-15      | Fixed         | 5.25%                 | 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        |   146050000 | OU      | $-1315552.90   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |           1 | NC      | $136490.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | CWHSBEUGB2025102308735 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    -8450000 | OU      | $-45873.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $45481.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                        | CBAMR 2021-14 LTD                                                                                                                      | CUSIP: 12516KAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5230000 | PA      | $5249016.28    | 0.42%             | 2038-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-23163.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                         | Enel Finance America LLC                                                                                                               | CUSIP: 29279GY76<br>LEI: 549300EGNLVUJX1DEC60 | Long             | STIV             | CORP              | US        |     5932000 | PA      | $5905091.86    | 0.47%             | 2025-11-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2014-150E                                                                                               | CUSIP: 61764BAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1414010.26    | 0.11%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $274.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                     | Voya CLO 2019-2 Ltd                                                                                                                    | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2313610 | PA      | $2315277.64    | 0.18%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-112350.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Harvest CLO                                      | Harvest CLO                                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1900000 | PA      | $2230696.26    | 0.18%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-50735.01     | -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        |     4300000 | PA      | $4326806.20    | 0.35%             | 2038-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CTMSIUSCN202510317145 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    37269000 | OU      | $47070.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CWCITUSSG202510211282 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    -9765000 | OU      | $-62290.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-182994.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2024-UNIV                                                                                               | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1802603.03    | 0.14%             | 2041-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-1717.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8000000 | PA      | $6616610.40    | 0.53%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Visio 2020-1 Trust                               | Visio 2020-1 Trust                                                                                                                     | CUSIP: 92837KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $478987.10     | 0.04%             | 2055-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      731601 | PA      | $755393.60     | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09653A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -24120000 | NC      | $-155149.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4236.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-16256.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-88676.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RRE Loan Management                              | RRE 5 Loan Management DAC                                                                                                              | CUSIP: 000000000<br>LEI: 549300D6UNTEPRSJ6X22 | Long             | ABS-CBDO         | CORP              | IE        |     2200000 | PA      | $2583254.99    | 0.21%             | 2037-01-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296USS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2126 | PA      | $2164.79       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |           1 | NC      | $-6524.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                           | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      120000 | PA      | $130284.00     | 0.01%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $7458.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHITEWATER DBR HOLDCO LLC                        | WhiteWater DBR HoldCo LLC 1st Lien Term Loan B                                                                                         | CUSIP: 96616PAD0<br>LEI: 21380025GXMNBTSJP816 | Long             | LON              | CORP              | US        |     1658281 | PA      | $1659326.13    | 0.13%             | 2031-03-03      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379TTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4223730 | PA      | $358901.35     | 0.03%             | 2046-01-20      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $29938.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLARIV SCI HLD CORP                              | Clarivate Science Holdings Corp                                                                                                        | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      510000 | PA      | $491385.00     | 0.04%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP CLO 2025-45 Ltd                                                                                                                    | CUSIP: 67126CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2720000 | PA      | $2720000.00    | 0.22%             | 2038-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust               | Alternative Loan Trust 2007-16CB                                                                                                       | CUSIP: 02152AAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1572262 | PA      | $1014682.41    | 0.08%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                        | CBAMR 2018-5 Ltd                                                                                                                       | CUSIP: 12516LAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3803097.00    | 0.30%             | 2038-10-17      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $51770.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $7296.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2024-R03                                                                                           | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1270860 | PA      | $1271648.29    | 0.10%             | 2044-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    52000000 | PA      | $52385834.80   | 4.18%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-11604.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $66428.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $34562.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-196.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                                           | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      435000 | PA      | $460691.10     | 0.04%             | 2035-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $6437.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296TGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         943 | PA      | $960.16        | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIEUCH202510070936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -8168000 | OU      | $-8630.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                          | Brookhaven Park CLO LTD                                                                                                                | CUSIP: 113520AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1704374.10    | 0.14%             | 2037-04-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2020-4                                                                                                        | CUSIP: 03464LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      441357 | PA      | $429496.33     | 0.03%             | 2065-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $54125.44      | 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        |   165040000 | OU      | $-186706.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $31730.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $9692.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PTBOAAUUS202511100656 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    58415000 | OU      | $267673.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUCH202510200932 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8237000 | OU      | $-38856.70     | -0.00%            |  |  |  | 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        |    39890000 | OU      | $-173656.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2024-2                                                                                                        | CUSIP: 46657TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $614305.44     | 0.05%             | 2054-08-25      | Variable      | 6.00%                 | 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        |   947980000 | OU      | $-3042162.62   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2017-TIME                                                                                                                         | CUSIP: 12652XAA1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1506928.38    | 0.12%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CWDEUEUSE2025100211 GOLDMAN                                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -8056000 | OU      | $-46600.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAEUSE2025101010935 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -8204000 | OU      | $-105806.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -108000000 | PA      | $-107101407.60 | -8.55%            | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $12282.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $33915.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      320000 | PA      | $310240.00     | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $200492.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK31                                                                                                                        | CUSIP: 06541ABP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2950000 | PA      | $2532858.85    | 0.20%             | 2054-02-15      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7264 | PA      | $7384.03       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-132131.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -8000000 | PA      | $-7145464.80   | -0.57%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -3000000 | PA      | $-3022259.70   | -0.24%            | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                | Nexstar Media Inc                                                                                                                      | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      549000 | PA      | $548385.12     | 0.04%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | Tenet Healthcare Corp                                                                                                                  | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      591000 | PA      | $591981.06     | 0.05%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-510133.78    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31416BS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11842 | PA      | $11872.37      | 0.00%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $16535.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      110000 | PA      | $111870.00     | 0.01%             | 2029-01-23      | Fixed         | 6.50%                 | 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        |    15190000 | OU      | $-138060.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | CWUBSEUSE2025102211045 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |    -8373000 | OU      | $-49672.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |           1 | NC      | $165758.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                 | StoneX Group Inc                                                                                                                       | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |      685000 | PA      | $722387.30     | 0.06%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $50203.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PWDEUEUUS2025100911615 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -48159000 | OU      | $-42575.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-44718.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITEUUS202510241172 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    14713000 | OU      | $89063.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                | Park Blue CLO 2022-1 Ltd                                                                                                               | CUSIP: 70016WAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1200000 | PA      | $1204401.60    | 0.10%             | 2037-10-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $9052.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAAUNZ2025101511165 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -14632000 | OU      | $-1278.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SNAP INC                                         | Snap Inc                                                                                                                               | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      490000 | PA      | $501319.00     | 0.04%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 31397GX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63938 | PA      | $63326.82      | 0.01%             | 2036-12-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                | 1211 Avenue of the Americas Trust 2015-1211                                                                                            | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $2214010.29    | 0.18%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PLANO HOLDCO INC                                 | Plano HoldCo Inc Term Loan B                                                                                                           | CUSIP: 72712EAB3<br>LEI: 254900C53JLEP3CCOQ10 | Long             | LON              | CORP              | US        |     1293500 | PA      | $1261162.50    | 0.10%             | 2031-10-02      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Nissan Master Owner Trust Receivables            | Nissan Master Owner Trust Receivables                                                                                                  | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2725000 | PA      | $2759537.17    | 0.22%             | 2029-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LV Trust                                         | Fashion Show Mall LLC                                                                                                                  | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1470836.17    | 0.12%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                    | TransDigm Inc                                                                                                                          | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      795000 | PA      | $811090.80     | 0.06%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PTBOAGBUS202510211354 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    28419000 | OU      | $370358.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $40127.52      | 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        |     2859982 | PA      | $619917.77     | 0.05%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                | Imola Merger Corp                                                                                                                      | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      495000 | PA      | $481734.00     | 0.04%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1400000 | PA      | $1411529.14    | 0.11%             | 2044-09-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296XSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $257.34        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                           | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     1698105 | PA      | $1440417.40    | 0.11%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED PLN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |           1 | NC      | $26357.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAUSIN20251003884 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -9698000 | OU      | $-1658.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $12541.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         841 | NC      | $-604000.04    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIUSIN202510298883 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -9983000 | OU      | $-30348.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LQG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         515 | PA      | $523.25        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 31396KXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      228516 | PA      | $226662.45     | 0.02%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAAUNZ202510231125 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -15094000 | OU      | $-144571.94    | -0.01%            |  |  |  | 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        |    95180000 | OU      | $468122.28     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $-1216.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-43096.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                           | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      934000 | PA      | $860484.86     | 0.07%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                 | Lamar Media Corp                                                                                                                       | CUSIP: 513075BZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      535000 | PA      | $498143.85     | 0.04%             | 2031-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                    | CWHSBEUPL2025101042625 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    -8204000 | OU      | $-34174.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                              | CUSIP: 465970AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1476254 | PA      | $1493708.43    | 0.12%             | 2064-07-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |           1 | NC      | $-19676.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136B0LQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      719557 | PA      | $90559.04      | 0.01%             | 2048-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust               | Morgan Stanley Mortgage Loan Trust 2006-16AX                                                                                           | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      639236 | PA      | $103931.83     | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                | ILLINOIS ST                                                                                                                            | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3192857 | PA      | $3481036.15    | 0.28%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| CROSBY US ACQUISITION CORP                       | Crosby US Acquisition Corp 2024 1st Lien Term Loan B                                                                                   | CUSIP: 22739PAP1<br>LEI: 549300V5HSWHDNVOWE35 | Long             | LON              | CORP              | US        |     1645792 | PA      | $1651354.98    | 0.13%             | 2029-08-16      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                                                                         | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      535000 | PA      | $505970.90     | 0.04%             | 2029-02-15      | Fixed         | 3.38%                 | 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        |    53000000 | OU      | $178671.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon 67 Ltd                                   | Octagon 67 Ltd                                                                                                                         | CUSIP: 67571LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4020884.00    | 0.32%             | 2038-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                 | Bbam US Clo V Ltd                                                                                                                      | CUSIP: 05556BAE2<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |     4150000 | PA      | $4164715.90    | 0.33%             | 2038-07-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |           1 | NC      | $4294.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PWUBSAUNZ202510141126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |   -14632000 | OU      | $-5847.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                             | Diameter Capital CLO 4 Ltd                                                                                                             | CUSIP: 25255NAQ1<br>LEI: 25490087B17FBD0ODC27 | Long             | ABS-CBDO         | CORP              | KY        |     3900000 | PA      | $3915603.90    | 0.31%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2151.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-11234.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | Navient Corp                                                                                                                           | CUSIP: 63938CAM0<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      615000 | PA      | $603069.00     | 0.05%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $401964.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUCH202510010936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8056000 | OU      | $-16722.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crown City CLO                                   | Crown City CLO V                                                                                                                       | CUSIP: 22823AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1706818.70    | 0.14%             | 2037-04-20      | Floating      | 5.92%                 | 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        |  9826450000 | OU      | $8932.86       | 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        |  2715790000 | OU      | $-11454.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Adient US LLC                                    | Adient US LLC 2024 Term Loan B2                                                                                                        | CUSIP: 00687MAH4<br>LEI: 213800SOTRCDGZUHL712 | Long             | LON              | CORP              | US        |     1674500 | PA      | $1674500.00    | 0.13%             | 2031-01-31      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1330.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MHNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         567 | PA      | $567.66        | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | OPS09586A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -3920000 | NC      | $-108091.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-17587.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-8017.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                | Lithia Motors Inc                                                                                                                      | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      520000 | PA      | $496730.00     | 0.04%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-13174.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $69546.19      | 0.01%             |  |  |  | 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        |    20210000 | OU      | $15557.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-140660.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUGHES SATELLITE SYSTEMS                         | Hughes Satellite Systems Corp                                                                                                          | CUSIP: 444454AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      650000 | PA      | $618767.50     | 0.05%             | 2026-08-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-4383.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Captree Park CLO Ltd                             | Captree Park CLO Ltd                                                                                                                   | CUSIP: 14074FAA6<br>LEI: 254900T5FZQKDOCWVD69 | Long             | ABS-CBDO         | CORP              | JE        |      625000 | PA      | $631024.38     | 0.05%             | 2037-07-20      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                         | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                                       | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      985000 | PA      | $951707.00     | 0.08%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                 | RALI Series 2006-QO7 Trust                                                                                                             | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56101 | PA      | $55069.68      | 0.00%             | 2046-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $349444.64     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2024-MGP                                                                                         | CUSIP: 95003TAU7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     1825000 | PA      | $1808521.42    | 0.14%             | 2041-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                    | 1988 CLO 6 Ltd                                                                                                                         | CUSIP: 65444GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2058000.00    | 0.16%             | 2038-04-15      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                  | Benefit Street Partners Clo XXXV Ltd                                                                                                   | CUSIP: 08183CAA3<br>LEI: 254900U0SNDVHNBLRW07 | Long             | ABS-CBDO         | CORP              | JE        |     1000000 | PA      | $1011556.00    | 0.08%             | 2037-04-25      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    83000000 | PA      | $82449079.20   | 6.58%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2025-VIS3                                                                                                     | CUSIP: 46594EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3504426.45    | 0.28%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAAUUS202510220647 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -26256000 | OU      | $-25434.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4667.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2023-2                                                                                                      | CUSIP: 46656DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1306812 | PA      | $1288485.95    | 0.10%             | 2053-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CTCHAUSJP2025112014715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    36841000 | OU      | $494774.63     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                             | WR Grace Holdings LLC                                                                                                                  | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     1315000 | PA      | $1223410.25    | 0.10%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $443.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $10014.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                           | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      610000 | PA      | $618857.20     | 0.05%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296KES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         265 | PA      | $269.65        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3350.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-7455.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -70000000 | PA      | $-56415625.00  | -4.50%            | 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        |     1800000 | PA      | $1806160.77    | 0.14%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-92826.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PTBNPEUUS2025100911615 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    48159000 | OU      | $42575.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                  | Venture 49 CLO Ltd                                                                                                                     | CUSIP: 922972AJ3<br>LEI: 254900CWURXJKKIUGG97 | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1708374.20    | 0.14%             | 2037-04-20      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                 | SLG Office Trust 2021-OVA                                                                                                              | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2664826.56    | 0.21%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | PWMSIEUSG202510091512 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -8480000 | OU      | $-18757.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                 | TriNet Group Inc                                                                                                                       | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      525000 | PA      | $492392.25     | 0.04%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4378.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                     | ADT Security Corp/The                                                                                                                  | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1475071.50    | 0.12%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                    | VTR Commercial Mortgage Trust 2025-STEM                                                                                                | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2750000 | PA      | $2750000.00    | 0.22%             | 2041-10-13      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $110587.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $2661.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEREX CORP                                       | Terex Corp                                                                                                                             | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |      520000 | PA      | $529729.20     | 0.04%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $761.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                                                                          | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4002414.00    | 0.32%             | 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        |   664010000 | OU      | $-2347187.22   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                          | Sensata Technologies BV                                                                                                                | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      515000 | PA      | $494564.80     | 0.04%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-9218.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $15194.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOURYON FINANCE BV                               | Nouryon Finance BV 2024 USD Term Loan B1                                                                                               | CUSIP: 000000000<br>LEI: 549300GD4NJGLPVYB245 | Long             | LON              | CORP              | NL        |     1231983 | PA      | $1232758.85    | 0.10%             | 2028-04-03      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | OneMain Finance Corp                                                                                                                   | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      645000 | PA      | $620070.75     | 0.05%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $31106.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $28129.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-358227.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Kaman Corporation                                | Kaman Corporation 2025 Delayed Draw Term Loan                                                                                          | CUSIP: 48354VAN2<br>LEI: 5493003YK076OLTEQF95 | Long             | LON              | CORP              | US        |      206379 | PA      | $205586.81     | 0.02%             | 2032-02-26      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      331172 | PA      | $325781.64     | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $681780.12     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-25377.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6000000 | PA      | $5968143.00    | 0.48%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-30860.57     | -0.00%            |  |  |  | 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        |     1500000 | PA      | $1350472.59    | 0.11%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $218510.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09654A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -24120000 | NC      | $-109670.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                      | Chemours Co/The                                                                                                                        | CUSIP: 163851AE8<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      285000 | PA      | $284700.75     | 0.02%             | 2027-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-151381.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-61495.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6541183 | PA      | $6466688.68    | 0.52%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $6295.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                            | Nabors Industries Inc                                                                                                                  | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      660000 | PA      | $686578.20     | 0.05%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 31397BVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95640 | PA      | $94858.90      | 0.01%             | 2036-10-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                        | ALA Trust 2025-OANA                                                                                                                    | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3450000 | PA      | $3462504.70    | 0.28%             | 2040-06-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $14711.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    62000000 | PA      | $63332032.80   | 5.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                                  | Murphy Oil Corp                                                                                                                        | CUSIP: 626717AP7<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |      712000 | PA      | $702309.68     | 0.06%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KQLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4414414 | PA      | $4547973.71    | 0.36%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68451 | PA      | $67422.39      | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $366.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $87041.79      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $8196.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    78130000 | PA      | $77873635.94   | 6.22%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| VALE OVERSEAS LIMITED                            | Vale Overseas Ltd                                                                                                                      | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     1320000 | PA      | $1354689.60    | 0.11%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-124.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CWCITUSCA202510011372 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -9427000 | OU      | $-131421.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $7815.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-6383.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-2367.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | OPS09587A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    39790000 | NC      | $70918.77      | 0.01%             |  |  |  | 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        |     5190000 | OU      | $73511.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-135.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $25218.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $935938.92     | 0.07%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $65798.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $23319.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $14645.16      | 0.00%             |  |  |  | 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        |    39390000 | OU      | $-230068.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK33                                                                                                                        | CUSIP: 06541CBT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1470000 | PA      | $1300424.31    | 0.10%             | 2064-05-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PWCITUSSG202510211282 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -9765000 | OU      | $-18875.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                          | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2545000 | PA      | $2532453.15    | 0.20%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAEUSE202510071099 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -8168000 | OU      | $-59964.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $1351.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                              | BWAY 2013-1515 Mortgage Trust                                                                                                          | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1709980 | PA      | $1634642.05    | 0.13%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                   | KIND Commercial Mortgage Trust 2024-1                                                                                                  | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      950000 | PA      | $953987.21     | 0.08%             | 2041-08-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -25000000 | PA      | $-23557617.50  | -1.88%            | 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        |      387125 | PA      | $347171.49     | 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        |     1523201 | PA      | $1307189.78    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112950 | PA      | $112440.34     | 0.01%             | 2037-09-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                               | Elmwood CLO 29 Ltd                                                                                                                     | CUSIP: 289913AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1325000 | PA      | $1327573.15    | 0.11%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-67898.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EGNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7425 | PA      | $7435.65       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                          | Aethon United BR LP / Aethon United Finance Corp                                                                                       | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      478000 | PA      | $498453.62     | 0.04%             | 2029-10-01      | Fixed         | 7.50%                 | 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        |    66980000 | OU      | $57589.37      | 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        |    54780000 | OU      | $-263678.05    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-60714.12     | -0.00%            |  |  |  | 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        |     7000000 | OU      | $46884.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $6185.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                             | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    49000000 | PA      | $47516402.50   | 3.79%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | CWCITUSCN202511147105 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -38941000 | OU      | $-156270.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                  | Hillenbrand Inc                                                                                                                        | CUSIP: 431571AF5<br>LEI: U246OE781574J2BUD366 | Long             | DBT              | CORP              | US        |      436000 | PA      | $447144.16     | 0.04%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | OPS09659A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -25450000 | NC      | $-185754.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $12100.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                             | Raizen Fuels Finance SA                                                                                                                | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      210000 | PA      | $193431.00     | 0.02%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38380YR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      569126 | PA      | $69768.38      | 0.01%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CLP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |           1 | NC      | $18599.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                            | Freedom Mortgage Holdings LLC                                                                                                          | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     1395000 | PA      | $1471125.15    | 0.12%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                           | OPS09631A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -23010000 | NC      | $-139418.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $247.88        | 0.00%             |  |  |  | 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        |      769952 | PA      | $777122.00     | 0.06%             | 2054-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                             | Matador Resources Co                                                                                                                   | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      696000 | PA      | $700433.52     | 0.06%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $16319.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296PBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3752 | PA      | $3814.08       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | 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        |     1900000 | PA      | $1987200.80    | 0.16%             | 2042-06-05      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1050000 | PA      | $1133212.50    | 0.09%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: SX003335  CDS USD R F  5.00000 2 CCPCDX / Short: SX003335  CDS USD P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    27050000 | OU      | $2095203.74    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $628694.97     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-215650.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1306.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | CTDEUUSCO202511243957 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    19896000 | OU      | $329636.93     | 0.03%             |  |  |  | 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        |     3000000 | PA      | $3144668.70    | 0.25%             | 2058-05-15      | Fixed         | 5.66%                 | 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        |    82630000 | OU      | $1315767.07    | 0.11%             |  |  |  | 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        |    33390000 | OU      | $-297130.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $55104.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                      | Ivory Coast Government International Bond                                                                                              | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      560000 | PA      | $579040.00     | 0.05%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-165377.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PWCITNZUS20251020059 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -97873000 | OU      | $-1072705.35   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2588 | PA      | $2630.65       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $93486.84      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $18660.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITEUUS202511031173 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    50236000 | OU      | $385018.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $19343.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | OPS09614A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -24280000 | NC      | $-361742.86    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $2845.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $20669.89      | 0.00%             |  |  |  | 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        |    41870000 | OU      | $98060.71      | 0.01%             |  |  |  | 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        |   236470000 | OU      | $-1120477.87   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |           1 | NC      | $-26023.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $146.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $76730.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRAIRIE ECI ACQUIROR LP                          | Prairie ECI Acquiror LP 2025 Repriced Term Loan B                                                                                      | CUSIP: 73955HAF1<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |     1980038 | PA      | $1989106.07    | 0.16%             | 2029-08-01      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312930J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1293 | PA      | $1314.76       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                         | Performance Food Group Inc                                                                                                             | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      701000 | PA      | $700971.96     | 0.06%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                    | CoreWeave Inc                                                                                                                          | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     2104000 | PA      | $2156494.80    | 0.17%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-18507.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-59077.47     | -0.00%            |  |  |  | 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        |   902790000 | OU      | $1480485.32    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-8707.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUCH202510150934 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -8289000 | OU      | $-28533.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEP Intermediate Holdco LLC                      | BEP Intermediate Holdco LLC 2025 Term Loan B                                                                                           | CUSIP: 05554YAE4<br>LEI: 254900510SAMOPG9CQ76 | Long             | LON              | CORP              | US        |      543149 | PA      | $544170.15     | 0.04%             | 2031-07-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $11801.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-13544.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296TQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         390 | PA      | $396.13        | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| USI INC/NY                                       | USI Inc/NY                                                                                                                             | CUSIP: 90346KAB5<br>LEI: 2549006D7UF7072T7I27 | Long             | DBT              | CORP              | US        |      320000 | PA      | $335705.60     | 0.03%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-9245.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAAUNZ202510211123 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -14765000 | OU      | $-5989.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-7798.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                          | Bryant Park Funding 2023-21 Ltd                                                                                                        | CUSIP: 117650AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2000000.00    | 0.16%             | 2036-10-18      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | CWBNPEUCH2025101009315 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    -8187000 | OU      | $-36784.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTRUCTION PARTNERS INC                        | Construction Partners Inc Term Loan B                                                                                                  | CUSIP: 21043XAH5<br>LEI: 549300MHLFL4E8JLZU44 | Long             | LON              | CORP              | US        |      347375 | PA      | $348135.75     | 0.03%             | 2031-11-03      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $11628.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | CWCHAUSCN202510217104 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -9765000 | OU      | $-37956.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                    | ZF North America Capital Inc                                                                                                           | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      885000 | PA      | $895965.15     | 0.07%             | 2028-04-14      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                         | Charles River Laboratories International Inc                                                                                           | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $981159.30     | 0.08%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                                                                                 | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     1800000 | PA      | $1959750.00    | 0.16%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $5305.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-6927.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                         | Eagle Funding Luxco Sarl                                                                                                               | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     3300000 | PA      | $3351150.00    | 0.27%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-85418.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | Newell Brands Inc                                                                                                                      | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      235000 | PA      | $232903.80     | 0.02%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                            | Caesars Entertainment Inc                                                                                                              | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      670000 | PA      | $659789.20     | 0.05%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-20692.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $42795.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $25917.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                   | Transocean International Ltd                                                                                                           | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $294075.00     | 0.02%             | 2031-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $22818.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Long: IBX00102  TRS USD R V 00MSOFR SOFRRATE -57 BPS / Short: IBX00102  TRS USD P F   .00000 JPMBKTL4 INDEX                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    53592377 | OU      | $-2844000.90   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      279000 | PA      | $286355.67     | 0.02%             | 2042-04-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-47280.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOLP Trust                                       | DOLP Trust 2021-NYC                                                                                                                    | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1428996.67    | 0.11%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                             | OHA Loan Funding 2013-2 Ltd                                                                                                            | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3925000 | PA      | $3925000.00    | 0.31%             | 2038-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PWBNPEUCH2025101009315 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    -8187000 | OU      | $-12908.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                            | Civitas Resources Inc                                                                                                                  | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      435000 | PA      | $451155.90     | 0.04%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $596.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2966.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PWBARNZUS2025093005815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -47938000 | OU      | $-82403.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-277P Mortgage Trust                                                                                                          | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2634328.48    | 0.21%             | 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        |         773 | PA      | $785.69        | 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        |     2660832 | PA      | $142654.10     | 0.01%             | 2043-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $47949.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $8271.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-5008.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $19012.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                           | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       15000 | PA      | $15502.50      | 0.00%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2022-C2 Mortgage Trust                                                                                                             | CUSIP: 05602NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1361000 | PA      | $1376859.16    | 0.11%             | 2054-07-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-89167.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAAUNZ202510231125 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -15094000 | OU      | $-9298.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $-77259.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-NQM1 Trust                                                                                                                    | CUSIP: 67114VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $399321.90     | 0.03%             | 2061-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292H4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2185 | PA      | $2221.48       | 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        |        1868 | PA      | $1899.20       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                         | LCM Investments Holdings II LLC                                                                                                        | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     1273000 | PA      | $1247285.40    | 0.10%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                   | ARD Finance SA                                                                                                                         | CUSIP: 000000000<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |      249939 | PA      | $7365.37       | 0.00%             | 2027-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-93187.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                                           | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      415000 | PA      | $440460.25     | 0.04%             | 2029-03-15      | Fixed         | 8.00%                 | 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        |    54910000 | OU      | $71679.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| iSolved Inc                                      | iSolved Inc 2025 Term Loan                                                                                                             | CUSIP: 46488HAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      631534 | PA      | $632797.27     | 0.05%             | 2030-10-15      | Floating      | 6.91%                 | 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        |     2950000 | PA      | $3009447.49    | 0.24%             | 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        |       29874 | PA      | $30367.75      | 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        |      900000 | PA      | $907267.95     | 0.07%             | 2044-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $3530.17       | 0.00%             |  |  |  | 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        |     1050000 | PA      | $900752.10     | 0.07%             | 2054-11-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| KKR APPLE BIDCO LLC                              | KKR Apple Bidco LLC 2025 Term Loan                                                                                                     | CUSIP: 48254EAG6<br>LEI: 2549001SCJD3WEYJFM53 | Long             | LON              | CORP              | US        |     1444088 | PA      | $1443567.63    | 0.12%             | 2031-09-23      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $23191.32      | 0.00%             |  |  |  | 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        |     1350000 | PA      | $1352385.17    | 0.11%             | 2027-12-08      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2025-5C36                                                                                                         | CUSIP: 05556CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2550000 | PA      | $2646846.96    | 0.21%             | 2058-08-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -1948 | NC      | $-1956224.13   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $11363.23      | 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        |    57560000 | OU      | $16540.08      | 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        |    47020000 | OU      | $-370512.90    | -0.03%            |  |  |  | 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        |   964466555 | OU      | $-1111497.67   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-20678.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                                           | CUSIP: 06738EBN4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $2503375.00    | 0.20%             | 2025-12-15      | Fixed         | 6.12%                 | 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    | 0.11%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $19633.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $59455.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296YUA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         188 | PA      | $191.48        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-6621.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379M2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1320402 | PA      | $132584.98     | 0.01%             | 2045-09-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |           1 | NC      | $148390.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $49619.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-XL5                                                                                                  | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      863025 | PA      | $862989.90     | 0.07%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-43555.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1197.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -91000000 | PA      | $-88262892.90  | -7.04%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding LXI Ltd                                                                                                           | CUSIP: 55822NAA7<br>LEI: 2138008EAUXBYEZRP521 | Long             | ABS-CBDO         | CORP              | JE        |     1000000 | PA      | $1002763.00    | 0.08%             | 2037-01-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296MF38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         427 | PA      | $433.50        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-12468.04     | -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        |    41000000 | PA      | $34539297.90   | 2.76%             | 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        |   -21190000 | NC      | $-43835.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                            | Qnity Electronics Inc                                                                                                                  | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      895000 | PA      | $902777.55     | 0.07%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC           | CWMSIEUSG202510091512 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -8480000 | OU      | $-31211.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-30352.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2024-5C29                                                                                                         | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1488034.40    | 0.12%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                     | OCP Euro 2025-12 DAC                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2335745.62    | 0.19%             | 2038-01-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                  | Residential Mortgage Loan Trust 2020-2                                                                                                 | CUSIP: 76123MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152000 | PA      | $147937.39     | 0.01%             | 2060-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-3396.29      | -0.00%            |  |  |  | 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        |   163360000 | OU      | $132975.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $94.60         | 0.00%             |  |  |  | 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        |   102300000 | OU      | $-39209.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-7431.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | CWBNPEUGB202510290874 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    -8549000 | OU      | $-50415.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                   | Apidos CLO XXIII                                                                                                                       | CUSIP: 03765YBG8<br>LEI: 635400C39IXGGYE6DH05 | Long             | ABS-CBDO         | CORP              | KY        |     2565524 | PA      | $2565770.61    | 0.20%             | 2033-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2022-BNK39                                                                                                                        | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2400000 | PA      | $2179199.64    | 0.17%             | 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        |    87210000 | OU      | $816124.51     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                             | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAC0<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      210000 | PA      | $194880.00     | 0.02%             | 2054-03-05      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-44583.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A7NR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1552389 | PA      | $155093.15     | 0.01%             | 2042-07-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | CWBOAEUSE2025100610995 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -8193000 | OU      | $-54837.90     | -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        |     5230000 | OU      | $44010.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2594.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                   | Palmer Square Loan Funding 2022-3 Ltd                                                                                                  | CUSIP: 69690CAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3009960.00    | 0.24%             | 2031-04-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 31395NEU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198724 | PA      | $197148.79     | 0.02%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-281480.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-111451.00    | -0.01%            |  |  |  | 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        |   124380000 | OU      | $85394.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $55803.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $6749.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2022-L8                                                                                                 | CUSIP: 61774LBF5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $516683.61     | 0.04%             | 2055-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-70573.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BlackRock European CLO DAC                       | Blackrock European CLO XII DAC                                                                                                         | CUSIP: 000000000<br>LEI: 635400ZPCUGNUXRP2Y51 | Long             | ABS-CBDO         | CORP              | IE        |     1500000 | PA      | $1762951.54    | 0.14%             | 2038-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1350000 | PA      | $1361156.94    | 0.11%             | 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        |     2450000 | PA      | $2447004.78    | 0.20%             | 2035-06-15      | Floating      | 5.55%                 | 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        |    65250000 | OU      | $-4299135.63   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |           1 | NC      | $-22923.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Series 2025-R01                                                                                          | CUSIP: 20755JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2172000 | PA      | $2163634.11    | 0.17%             | 2045-01-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99000000 | PA      | $98176290.30   | 7.84%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $33115.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $371.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-2625.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                     | Voya CLO 2024-1 Ltd                                                                                                                    | CUSIP: 92920DAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1375000 | PA      | $1383980.13    | 0.11%             | 2037-04-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379Q8A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3408244 | PA      | $304454.31     | 0.02%             | 2045-10-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORP                                    | Ingevity Corp                                                                                                                          | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Long             | DBT              | CORP              | US        |     1461000 | PA      | $1403904.12    | 0.11%             | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-4436.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PTBARNZUS202510170588 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |    65143000 | OU      | $604870.88     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PHINIA INC                                       | Phinia Inc                                                                                                                             | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      460000 | PA      | $474002.40     | 0.04%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                 | Marathon CLO XIII Ltd                                                                                                                  | CUSIP: 56579ABL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2050000 | PA      | $2050469.45    | 0.16%             | 2032-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAUSSG20251029129 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -9983000 | OU      | $-56234.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 31396W3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80370 | PA      | $79870.40      | 0.01%             | 2037-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      331525 | PA      | $38398.87      | 0.00%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAAUUS202510290644 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -26659000 | OU      | $-28206.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PWCHAEUSE202510141094 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -8269000 | OU      | $-6349.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $27545.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                    | 1988 CLO 3 Ltd                                                                                                                         | CUSIP: 653949AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2504537.50    | 0.20%             | 2038-10-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                             | TTM Technologies Inc                                                                                                                   | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |     1040000 | PA      | $1000854.40    | 0.08%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38382KWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1042632 | PA      | $152101.92     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $30097.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-1039.52      | -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        |     3523473 | PA      | $3552239.15    | 0.28%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-241683.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $36860.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |           1 | NC      | $-3146.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | OneMain Finance Corp                                                                                                                   | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     1055000 | PA      | $980717.45     | 0.08%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $22802.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd                              | Brant Point Clo 2024-3 Ltd                                                                                                             | CUSIP: 835937AA1<br>LEI: 254900ONWQ51D1IGDN52 | Long             | ABS-CBDO         | CORP              | JE        |     2400000 | PA      | $2404567.20    | 0.19%             | 2037-02-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: CX003306  CDS USD R F   .50000 2 CMBX / Short: CX003306  CDS USD P V 01MEVENT 1 CMBX                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |    13175000 | OU      | $-172742.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORPORATION                      | Epicor Software Corporation 2024 Term Loan F                                                                                           | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |      391050 | PA      | $391351.11     | 0.03%             | 2031-05-30      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2025-5YR16                                                                                                                       | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3050000 | PA      | $3158678.55    | 0.25%             | 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        |   161610000 | OU      | $-213664.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS                           | Methanex US Operations Inc                                                                                                             | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      630000 | PA      | $641012.40     | 0.05%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3760146 | PA      | $3713798.09    | 0.30%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | PWBOAEUUS202510241168 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -49615000 | OU      | $-223856.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -53000000 | PA      | $-46550975.90  | -3.72%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | OPS08401A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    21760000 | NC      | $69966.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $19712.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                      | PTCITEUUS202510301165 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    33919000 | OU      | $147503.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED HUF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |           1 | NC      | $368692.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                                                                                                 | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      766628 | PA      | $766646.41     | 0.06%             | 2042-08-15      | Floating      | 6.05%                 | 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        |   103990000 | OU      | $72265.77      | 0.01%             |  |  |  | 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        |      298665 | PA      | $300061.33     | 0.02%             | 2054-05-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                          | Bryant Park Funding 2023-21 Ltd                                                                                                        | CUSIP: 117650AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2000876.00    | 0.16%             | 2038-10-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AG ISSUER LLC                                    | AG Issuer LLC                                                                                                                          | CUSIP: 00119LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1193000 | PA      | $1195397.93    | 0.10%             | 2028-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                        | CFK Trust 2020-MF2                                                                                                                     | CUSIP: 12529AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1094987.47    | 0.09%             | 2039-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                                           | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      470000 | PA      | $517249.10     | 0.04%             | 2028-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                              | Go Daddy Operating Co LLC / GD Finance Co Inc                                                                                          | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      520000 | PA      | $492970.40     | 0.04%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-VLT5                                                                                                 | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1018317.51    | 0.08%             | 2046-11-13      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $25660.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    56500000 | PA      | $57259218.75   | 4.57%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-23104.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $13537.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                             | LifePoint Health Inc 2024 1st Lien Term Loan B                                                                                         | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |      936791 | PA      | $934355.61     | 0.07%             | 2031-05-19      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-5625.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X4RK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317107 | PA      | $312044.82     | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $106868.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                    | NYC Commercial Mortgage Trust 2025-300P                                                                                                | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1309874.37    | 0.10%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                               | CUSIP: 38379M2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1016570 | PA      | $102121.18     | 0.01%             | 2045-09-20      | Floating      | 1.45%                 | 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