# EDGAR Filing Document

**Accession Number:** 0000794614
**File Stem:** 0000869392-23-000658
**Filing Date:** 2023-3
**Character Count:** 653836
**Document Hash:** 9cbe67d5a96b723577d4096579a05a56
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000658.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0000869392-23-000658

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM GLOBAL INCOME TRUST
- **CENTRAL INDEX KEY:** 0000794614
- **IRS NUMBER:** 046549525
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04524
- **FILM NUMBER:** 23774398

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GOVERNMENT INCOME GLOBAL TRUST
- **DATE OF NAME CHANGE:** 19870225

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GLOBAL GOVERNMENT INCOME TRUST
- **DATE OF NAME CHANGE:** 19870115

## Series and Classes Contracts Data

### PUTNAM GLOBAL INCOME TRUST (Series ID: S000005653)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000015446 | Class C Shares |  |
| C000015447 | Class Y Shares |  |
| C000015448 | Class A Shares | PGGIX           |
| C000015449 | Class B Shares | PGLBX           |
| C000015451 | Class R Shares | PGBRX           |
| C000118067 | Class R5       |  |
| C000118068 | Class R6       |  |

## Nport-Ex

------

---

| |
|:---|
| **Putnam Global Income Trust** |
| **The fund's portfolio** |
| **1/31/23 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (82.6%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (82.6%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (82.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (9.5%)** | **U.S. Government Guaranteed Mortgage Obligations (9.5%)** | **U.S. Government Guaranteed Mortgage Obligations (9.5%)** |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | $5000000 | $4964734 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 4000000 | 3887153 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 1000000 | 946319 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 2/1/53 | 5000000 | 4593423 |
|  |  | **14391629** |
| **U.S. Government Agency Mortgage Obligations (73.1%)** | **U.S. Government Agency Mortgage Obligations (73.1%)** | **U.S. Government Agency Mortgage Obligations (73.1%)** |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 3/1/53 | 6000000 | 6152813 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 2/1/53 | 6000000 | 6164531 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 3/1/53 | 6000000 | 6090706 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 2/1/53 | 15000000 | 15239070 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 3/1/53 | 17000000 | 17057773 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 2/1/53 | 41000000 | 41163360 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 9000000 | 8889610 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 2000000 | 1930625 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 4000000 | 3754062 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 2/1/53 | 2000000 | 1750468 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 2/1/53 | 3000000 | 2524970 |
|  |  | **110717988** |
| **Total U.S. government and agency mortgage obligations (cost $123,720,450)** | **Total U.S. government and agency mortgage obligations (cost $123,720,450)** | **$125109617** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.1%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Notes 1.75%, 11/15/29***<sup>(i)</sup>*** | $129000 | $116127 |
| **Total U.S. treasury obligations (cost $116,127)** |  | **$116127** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.6%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.6%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.6%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.6%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| Australia (Government of) sr. unsec. bonds 3.00%, 3/21/47 (Australia) | AUD | 120000 | $71863 |
| Australia (Government of) sr. unsec. bonds Ser. 144, 3.75%, 4/21/37 (Australia) | AUD | 350000 | 245407 |
| Australia (Government of) sr. unsec. bonds Ser. 149, 2.25%, 5/21/28 (Australia) | AUD | 810000 | 542677 |
| Australia (Government of) sr. unsec. notes 3.25%, 4/21/25 (Australia) | AUD | 630000 | 445748 |
| Austria (Republic of) sr. unsec. bonds 1.50%, 2/20/47 (Austria) | EUR | 290000 | 238813 |
| Austria (Republic of) sr. unsec. notes 0.50%, 4/20/27 (Austria) | EUR | 570000 | 567313 |
| Belgium (Kingdom of) sr. unsec. bonds Ser. 77, 1.00%, 6/22/26 (Belgium) | EUR | 560000 | 578181 |
| Belgium (Kingdom of) unsec. bonds Ser. 60, 4.25%, 3/28/41 (Belgium) | EUR | 440000 | 549189 |
| Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) | EUR | 225000 | 178122 |
| Canada (Government of) sr. unsec. bonds 3.50%, 12/1/45 (Canada) | CAD | 80000 | 64728 |
| Canada (Government of) unsec. notes 1.50%, 6/1/26 (Canada) | CAD | 90000 | 64110 |
| China (Republic of) unsec. notes Ser. 1913, 2.94%, 10/17/24 (China) | CNY | 6000000 | 898207 |
| Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) |  | $460000 | 416074 |
| Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d'lvoire) | EUR | 100000 | 91358 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) |  | $300000 | 291375 |
| Denmark (Kingdom of) unsec. bonds 4.50%, 11/15/39 (Denmark) | DKK | 750000 | 138237 |
| Denmark (Kingdom of) unsec. bonds 1.75%, 11/15/25 (Denmark) | DKK | 1470000 | 209607 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | $218000 | 185396 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |  | 255000 | 262388 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) |  | 150000 | 147042 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) |  | 241000 | 240041 |
| Finland (Government of) sr. unsec. bonds Ser. REGS, 1.125%, 4/15/34 (Finland) | EUR | 260000 | 234367 |
| France (Government of) unsec. bonds 4.50%, 4/25/41 (France) | EUR | 830000 | 1079734 |
| France (Government of) unsec. bonds 4.00%, 4/25/55 (France) | EUR | 190000 | 244958 |
| France (Government of) unsec. bonds 3.25%, 5/25/45 (France) | EUR | 70000 | 78361 |
| France (Government of) unsec. bonds 2.75%, 10/25/27 (France) | EUR | 1300000 | 1424178 |
| France (Government of) unsec. bonds 0.50%, 5/25/25 (France) | EUR | 710000 | 734209 |
| France (Government of) unsec. notes zero %, 11/25/30 (France) | EUR | 330000 | 293071 |
| France (Government of) unsec. notes Ser. REGS, 0.50%, 5/25/29 (France) | EUR | 410000 | 392155 |
| Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) |  | $200000 | 180738 |
| Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) |  | 710000 | 678851 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) |  | 1235000 | 1230949 |
| Ireland (Republic of) unsec. bonds 2.00%, 2/18/45 (Ireland) | EUR | 90000 | 80623 |
| Ireland (Republic of) unsec. notes 0.20%, 5/15/27 (Ireland) | EUR | 410000 | 403610 |
| Italy (Republic of) sr. unsec. bonds 6.50%, 11/1/27 (Italy) | EUR | 850000 | 1046213 |
| Italy (Republic of) sr. unsec. bonds 4.75%, 9/1/44 (Italy) | EUR | 450000 | 512910 |
| Italy (Republic of) sr. unsec. bonds 4.00%, 2/1/37 (Italy) | EUR | 190000 | 200915 |
| Italy (Republic of) sr. unsec. bonds 2.50%, 12/1/24 (Italy) | EUR | 980000 | 1054114 |
| Italy (Republic of) sr. unsec. bonds 1.70%, 9/1/51 (Italy) | EUR | 80000 | 51300 |
| Italy (Republic of) sr. unsec. bonds 1.65%, 3/1/32 (Italy) | EUR | 1170000 | 1046726 |
| Japan (Government of) sr. unsec. bonds Ser. 95, 2.30%, 6/20/27 (Japan) | JPY | 60000000 | 504500 |
| Japan (Government of) sr. unsec. unsub. bonds 0.80%, 3/20/47 (Japan) | JPY | 93000000 | 611579 |
| Japan (Government of) sr. unsec. unsub. bonds 0.50%, 3/20/60 (Japan) | JPY | 18000000 | 95760 |
| Japan (Government of) sr. unsec. unsub. bonds Ser. 32, 2.30%, 3/20/40 (Japan) | JPY | 260000000 | 2313883 |
| Japan (Government of) sr. unsec. unsub. bonds Ser. 125, 2.20%, 3/20/31 (Japan) | JPY | 105000000 | 915182 |
| Japan (Government of) sr. unsec. unsub. bonds Ser. 156, 0.40%, 3/20/36 (Japan) | JPY | 239000000 | 1710925 |
| Japan (Government of) sr. unsec. unsub. notes Ser. 346, 0.10%, 3/20/27 (Japan) | JPY | 645000000 | 4952672 |
| Japan (Government of) 30 yr sr. unsec. unsub. bonds Ser. 51, 0.30%, 6/20/46 (Japan) | JPY | 47000000 | 276212 |
| Japan (Government of) 40 yr sr. unsec. unsub. bonds Ser. 4, 2.20%, 3/20/51 (Japan) | JPY | 184000000 | 1614094 |
| Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) |  | $670000 | 607958 |
| Malaysia (Government of) sr. unsec. notes 3.885%, 8/15/29 (Malaysia) | MYR | 2650000 | 626048 |
| Mexico (Government of) sr. unsec. notes 7.50%, 6/3/27 (Mexico) | MXN | 12510000 | 638300 |
| Netherlands (Government of) unsec. bonds 3.75%, 1/15/42 (Netherlands) | EUR | 280000 | 356181 |
| Netherlands (Government of) unsec. notes 0.25%, 7/15/29 (Netherlands) | EUR | 110000 | 103813 |
| Netherlands (Government of) unsec. notes Ser. REGS, 0.50%, 7/15/26 (Netherlands) | EUR | 430000 | 436388 |
| New Zealand (Government of) sr. unsec. notes 3.00%, 4/20/29 (New Zealand) | NZD | 380000 | 231016 |
| Norway (Kingdom of) sr. unsec. notes 1.75%, 2/17/27 (Norway) | NOK | 1880000 | 180022 |
| Ontario (Province of) unsec. bonds 6.50%, 3/8/29 (Canada) | CAD | 850000 | 743768 |
| Ontario (Province of) unsec. bonds 2.90%, 12/2/46 (Canada) | CAD | 410000 | 255226 |
| Ontario (Province of) unsec. notes 2.60%, 6/2/25 (Canada) | CAD | 1560000 | 1142140 |
| Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) |  | $370000 | 358900 |
| Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) |  | 200000 | 197500 |
| Paraguay (Republic of) 144A sr. unsec. bonds 2.739%, 1/29/33 (Paraguay) |  | 220000 | 177100 |
| Poland (Government of) unsec. notes 0.75%, 4/25/25 (Poland) | PLN | 1850000 | 379251 |
| Portugal (Republic of) sr. unsec. notes 1.95%, 6/15/29 (Portugal) | EUR | 510000 | 525367 |
| Romania (Government of) 144A sr. unsec. bonds 3.00%, 2/14/31 (Romania) |  | $540000 | 443918 |
| Spain (Kingdom of) sr. unsec. bonds 5.15%, 10/31/44 (Spain) | EUR | 350000 | 467759 |
| Spain (Kingdom of) sr. unsec. bonds 5.15%, 10/31/28 (Spain) | EUR | 640000 | 774141 |
| Spain (Kingdom of) sr. unsec. bonds 4.20%, 1/31/37 (Spain) | EUR | 150000 | 175114 |
| Spain (Kingdom of) sr. unsec. bonds 1.00%, 10/31/50 (Spain) | EUR | 20000 | 11911 |
| Spain (Kingdom of) sr. unsec. notes 1.60%, 4/30/25 (Spain) | EUR | 560000 | 592531 |
| Spain (Kingdom of) sr. unsec. notes 1.50%, 4/30/27 (Spain) | EUR | 430000 | 442357 |
| Spain (Kingdom of) sr. unsec. notes 1.25%, 10/31/30 (Spain) | EUR | 200000 | 190336 |
| Spain (Kingdom of) sr. unsec. unsub. bonds 2.90%, 10/31/46 (Spain) | EUR | 170000 | 164443 |
| Sweden (Government of) notes 1.00%, 11/12/26 (Sweden) | SEK | 6110000 | 557394 |
| Sweden (Government of) unsec. bonds Ser. 1053, 3.50%, 3/30/39 (Sweden) | SEK | 140000 | 16128 |
| Switzerland (Government of) unsec. bonds 4.00%, 4/8/28 (Switzerland) | CHF | 500000 | 623157 |
| Switzerland (Government of) unsec. bonds 1.50%, 4/30/42 (Switzerland) | CHF | 170000 | 188439 |
| Thailand (Government of) sr. unsec. bonds 2.00%, 12/17/31 (Thailand) | THB | 19600000 | 574914 |
| United Kingdom Treasury unsec. bonds 4.50%, 9/7/34 (United Kingdom) | GBP | 1120000 | 1513347 |
| United Kingdom Treasury unsec. bonds 3.50%, 7/22/68 (United Kingdom) | GBP | 120000 | 145368 |
| United Kingdom Treasury unsec. notes 4.00%, 1/22/60 (United Kingdom) | GBP | 880000 | 1166927 |
| United Kingdom Treasury unsec. notes Ser. REGS, 2.00%, 9/7/25 (United Kingdom) | GBP | 1330000 | 1590663 |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) |  | $1110000 | 910053 |
| Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 4.375%, 1/23/31 (Uruguay) |  | 1170000 | 1166545 |
| Uruguay (Oriental Republic of) sr. unsec. unsub. notes 4.375%, 10/27/27 (Uruguay) |  | 225000 | 227241 |
| **Total foreign government and agency bonds and notes (cost $56,264,927)** | **Total foreign government and agency bonds and notes (cost $56,264,927)** | **Total foreign government and agency bonds and notes (cost $56,264,927)** | **$49290329** |

---

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| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (28.6%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (28.6%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (28.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Agency collateralized mortgage obligations (5.2%)** | **Agency collateralized mortgage obligations (5.2%)** | **Agency collateralized mortgage obligations (5.2%)** |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4972, IO, 6.00%, 5/25/50 | $2609841 | $549175 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5160, Class IA, IO, 4.00%, 11/25/51 | 4420399 | 845564 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4973, Class LI, IO, 4.00%, 4/25/50 | 4184265 | 831693 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 350543 | 51791 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5077, Class GI, IO, 3.50%, 2/25/51 | 3807987 | 667777 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 | 755908 | 90474 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 1515049 | 116213 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4979, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 6/25/50 | 1045114 | 131021 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 | 324286 | 40760 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 | 339923 | 13164 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 12-116, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 7.20%), 2.694%, 10/25/42 | 493757 | 70748 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-42, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 8/25/49 | 3211120 | 375920 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 | 534645 | 91635 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-21, Class IN, IO, 5.00%, 2/20/48 | 209547 | 42074 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-76, IO, 5.00%, 5/20/44 | 232633 | 46367 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 76293 | 15734 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 159242 | 32645 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 50428 | 10344 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 | 6410829 | 1170735 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-153, Class AI, IO, 4.50%, 9/16/45 | 3881466 | 696840 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 350556 | 58275 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 247709 | 43262 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-138, Class GI, IO, 4.00%, 10/20/46 | 2255247 | 386210 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H02, Class BI, IO, 3.561%, 1/20/67***<sup>(WAC)</sup>*** | 2165502 | 73465 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 | 3753412 | 551564 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 | 228049 | 10655 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H04, Class BI, IO, 2.673%, 2/20/67***<sup>(WAC)</sup>*** | 1843502 | 77091 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67***<sup>(WAC)</sup>*** | 1134848 | 64686 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 10-171, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.45%), 1.991%, 12/16/40 | 388871 | 35045 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H26, Class EI, IO, 1.682%, 10/20/65***<sup>(WAC)</sup>*** | 1645573 | 74544 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H16, Class EI, IO, 1.638%, 6/20/66***<sup>(WAC)</sup>*** | 2113376 | 99329 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-32, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 3/20/50 | 658832 | 75111 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class AI, IO, 1.535%, 9/20/65***<sup>(WAC)</sup>*** | 1850293 | 66611 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H12, Class BI, IO, 1.507%, 5/20/64***<sup>(WAC)</sup>*** | 2012813 | 82702 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H13, Class EI, IO, 0.402%, 4/20/66***<sup>(WAC)</sup>*** | 1373687 | 64866 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H23, Class NI, IO, 0.36%, 10/20/66***<sup>(WAC)</sup>*** | 2541559 | 103187 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H26, Class DI, IO, 0.077%, 10/20/65***<sup>(WAC)</sup>*** | 1664719 | 63151 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H21, Class AI, IO, 0.047%, 10/20/64***<sup>(WAC)</sup>*** | 1740413 | 56553 |
|  |  | **7876981** |
| **Commercial mortgage-backed securities (13.5%)** | **Commercial mortgage-backed securities (13.5%)** | **Commercial mortgage-backed securities (13.5%)** |
| ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class A, 5.665%, 6/15/36 | 418000 | 408091 |
| BANK |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-BN30, Class XA, IO, 1.315%, 12/15/53***<sup>(WAC)</sup>*** | 4894308 | 343565 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-BN20, Class XA, IO, 0.813%, 9/15/62***<sup>(WAC)</sup>*** | 9052743 | 374564 |
| Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C3, Class B, 4.096%, 5/15/52 | 201000 | 178723 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C8, Class XA, IO, 1.831%, 10/15/53***<sup>(WAC)</sup>*** | 4649063 | 444941 |
| CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50***<sup>(WAC)</sup>*** | 210000 | 191283 |
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 1053000 | 863460 |
| Citigroup Commercial Mortgage Trust FRB Ser. 13-GC17, Class C, 5.101%, 11/10/46***<sup>(WAC)</sup>*** | 221000 | 214578 |
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.088%, 3/11/47***<sup>(WAC)</sup>*** | 455000 | 427069 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR11, Class B, 5.11%, 8/10/50***<sup>(WAC)</sup>*** | 243000 | 238072 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 492000 | 467505 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47***<sup>(WAC)</sup>*** | 942000 | 861494 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR18, Class C, 4.747%, 7/15/47***<sup>(WAC)</sup>*** | 393000 | 371012 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS6, Class C, 4.436%, 12/10/47***<sup>(WAC)</sup>*** | 110000 | 101971 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-CR21, Class B, 4.339%, 12/10/47***<sup>(WAC)</sup>*** | 433000 | 409773 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC19, Class C, 4.215%, 2/10/48***<sup>(WAC)</sup>*** | 430000 | 399085 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS6, Class XA, IO, 0.836%, 12/10/47***<sup>(WAC)</sup>*** | 7460582 | 83536 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC21, Class XA, IO, 0.654%, 7/10/48***<sup>(WAC)</sup>*** | 9539929 | 118287 |
| COMM Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class D, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 280000 | 239779 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-CR2, Class D, 4.871%, 8/15/45***<sup>(WAC)</sup>*** | 160437 | 148014 |
| Credit Suisse Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-C4, Class AX, IO, 0.846%, 9/15/39***<sup>(WAC)</sup>*** | 2112 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 07-C2, Class AX, IO, 0.024%, 1/15/49***<sup>(WAC)</sup>*** | 645540 | 6 |
| CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.258%, 4/15/50***<sup>(WAC)</sup>*** | 819000 | 718849 |
| CSMC Trust FRB Ser. 16-NXSR, Class C, 4.447%, 12/15/49***<sup>(WAC)</sup>*** | 822000 | 674236 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.355%, 8/10/44***<sup>(WAC)</sup>*** | 764958 | 677013 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Multifamily Structured Pass-Through Certificates FRB Ser. K113, Class XAM, IO, 1.585%, 6/25/30***<sup>(WAC)</sup>*** | 2243000 | 213172 |
| &nbsp;&nbsp;&nbsp;&nbsp;Multifamily Structured Pass-Through Certificates FRB Ser. K098, Class X1, IO, 1.144%, 8/25/29***<sup>(WAC)</sup>*** | 2787738 | 167579 |
| GS Mortgage Securities Trust FRB Ser. 15-GC30, Class C, 4.069%, 5/10/50***<sup>(WAC)</sup>*** | 286000 | 259090 |
| GS Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 10-C1, Class D, 6.356%, 8/10/43***<sup>(WAC)</sup>*** | 328000 | 262947 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC14, Class B, 4.698%, 8/10/46***<sup>(WAC)</sup>*** | 296000 | 287629 |
| JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class C, 4.547%, 9/15/47***<sup>(WAC)</sup>*** | 225000 | 205352 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class B, 4.112%, 7/15/45***<sup>(WAC)</sup>*** | 473000 | 468084 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C33, Class XA, IO, 0.901%, 12/15/48***<sup>(WAC)</sup>*** | 3173104 | 66112 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class XA, IO, 0.799%, 9/15/47***<sup>(WAC)</sup>*** | 8503323 | 74691 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class XA, IO, 0.355%, 7/15/45***<sup>(WAC)</sup>*** | 14442430 | 144 |
| JPMBB Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C17, Class D, 4.883%, 1/15/47***<sup>(WAC)</sup>*** | 505000 | 471761 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C23, Class D, 3.984%, 9/15/47***<sup>(WAC)</sup>*** | 437000 | 377430 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC11, Class AS, 3.216%, 4/15/46 | 339000 | 336524 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-COR5, Class XA, IO, 1.467%, 6/13/52***<sup>(WAC)</sup>*** | 8111404 | 502441 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-CB17, Class X, IO, 1.144%, 12/12/43***<sup>(WAC)</sup>*** | 256841 | 4674 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C16, Class XA, IO, 0.832%, 12/15/46***<sup>(WAC)</sup>*** | 6984307 | 21422 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C6, Class E, 4.964%, 5/15/45***<sup>(WAC)</sup>*** | 777000 | 605361 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-1MEM, Class D, 2.654%, 10/9/42***<sup>(WAC)</sup>*** | 915000 | 627287 |
| LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39***<sup>(WAC)</sup>*** | 686987 | 82 |
| Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49***<sup>(WAC)</sup>*** | 1175 |  |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C14, Class C, 5.059%, 2/15/47***<sup>(WAC)</sup>*** | 207000 | 200047 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C17, Class C, 4.485%, 8/15/47***<sup>(WAC)</sup>*** | 591000 | 557062 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C18, Class C, 4.474%, 10/15/47***<sup>(WAC)</sup>*** | 310000 | 264716 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C24, Class B, 4.328%, 5/15/48***<sup>(WAC)</sup>*** | 253000 | 239095 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C6, Class D, 4.54%, 11/15/45***<sup>(WAC)</sup>*** | 278000 | 244716 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C9, Class D, 4.102%, 5/15/46***<sup>(WAC)</sup>*** | 274000 | 242349 |
| Morgan Stanley Capital I Trust Ser. 15-UBS8, Class B, 4.315%, 12/15/48***<sup>(WAC)</sup>*** | 191000 | 165930 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.083%, 7/15/49***<sup>(WAC)</sup>*** | 185000 | 179339 |
| Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 7.756%, 10/25/49 | 661070 | 625715 |
| UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50***<sup>(WAC)</sup>*** | 4193260 | 150978 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-RC1, Class C, 4.591%, 1/15/60 | 225000 | 201315 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C30, Class C, 4.498%, 9/15/58***<sup>(WAC)</sup>*** | 342000 | 314617 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC12, Class C, 4.291%, 7/15/46***<sup>(WAC)</sup>*** | 363000 | 307171 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C57, Class C, 4.023%, 8/15/53***<sup>(WAC)</sup>*** | 314000 | 265104 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-BNK1, Class AS, 2.814%, 8/15/49 | 707000 | 638035 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-C52, Class XA, IO, 1.603%, 8/15/52***<sup>(WAC)</sup>*** | 3430954 | 250374 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-LC25, Class XA, IO, 0.832%, 12/15/59***<sup>(WAC)</sup>*** | 4108228 | 105639 |
| WF-RBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C19, Class B, 4.723%, 3/15/47***<sup>(WAC)</sup>*** | 930000 | 893675 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C22, Class AS, 4.069%, 9/15/57***<sup>(WAC)</sup>*** | 397000 | 375323 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C14, Class XA, IO, 0.646%, 6/15/46***<sup>(WAC)</sup>*** | 9729856 | 5364 |
| WF-RBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 11-C4, Class E, 4.845%, 6/15/44***<sup>(WAC)</sup>*** | 163000 | 126889 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C4, Class C, 4.845%, 6/15/44***<sup>(WAC)</sup>*** | 120071 | 115446 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class D, 4.392%, 12/15/45***<sup>(WAC)</sup>*** | 180000 | 112841 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class XA, IO, 1.151%, 12/15/45***<sup>(WAC)</sup>*** | 174537 | 2 |
|  |  | **20488464** |
| **Residential mortgage-backed securities (non-agency) (9.9%)** | **Residential mortgage-backed securities (non-agency) (9.9%)** | **Residential mortgage-backed securities (non-agency) (9.9%)** |
| Arroyo Mortgage Trust 144A Ser. 19-3, Class A3, 3.416%, 10/25/48***<sup>(WAC)</sup>*** | 89259 | 82705 |
| BankUnited Trust FRB Ser. 05-1, Class 1A1, (ICE LIBOR USD 1 Month + 0.60%), 5.106%, 9/25/45 | 97482 | 87379 |
| Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 7.006%, 10/25/29 (Bermuda) | 156132 | 154957 |
| BRAVO Residential Funding Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-A, Class A1, 1.991%, 10/25/59 | 389708 | 371696 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-C, Class A1, 1.62%, 3/1/61 | 282195 | 245510 |
| Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 4.986%, 6/25/36 | 165389 | 158914 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 4.686%, 11/25/47 | 183578 | 152385 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A2, 3.094%, 3/25/65***<sup>(WAC)</sup>*** | 665000 | 629024 |
| Countrywide Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 | 275006 | 222132 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 4.666%, 2/20/47 | 153952 | 117874 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 3.387%, 8/25/46 | 109964 | 96638 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 3.367%, 6/25/46 | 236450 | 199165 |
| Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.206%, 11/25/28 (Bermuda) | 258096 | 257282 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 10.856%, 9/25/28 | 398067 | 420375 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 12/25/28 | 447410 | 466733 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.206%, 4/25/28 | 484012 | 508616 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (ICE LIBOR USD 1 Month + 3.80%), 8.306%, 3/25/29 | 128346 | 131375 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 8.056%, 8/25/29 | 350696 | 362970 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 7.26%, 6/25/42 | 87298 | 89363 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.11%, 10/25/50 | 25696 | 26024 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 6.96%, 7/25/42 | 395515 | 400459 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 6.906%, 2/25/47 | 113938 | 114508 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.46%, 9/25/42 | 20076 | 20218 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 6.406%, 1/25/50 | 37101 | 37009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.16%, 1/25/42 | 212000 | 205239 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.61%, 2/25/42 | 197485 | 196004 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 2/25/47 | 595747 | 590698 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.31%, 1/25/42 | 49794 | 48908 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 5.16%, 9/25/41 | 13889 | 13408 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.11%, 10/25/41 | 251309 | 249297 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56***<sup>(WAC)</sup>*** | 512886 | 500095 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.456%, 8/25/28 | 145952 | 154428 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.256%, 8/25/28 | 231276 | 245785 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 10.506%, 9/25/28 | 141161 | 148282 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.406%, 10/25/28 | 55283 | 57771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.206%, 4/25/28 | 295674 | 312073 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 10.056%, 4/25/28 | 493200 | 517829 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 9.806%, 10/25/28 | 71348 | 74920 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, (ICE LIBOR USD 1 Month + 5.25%), 9.756%, 10/25/23 | 66927 | 68687 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 11/25/24 | 6408 | 6487 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 8.806%, 2/25/25 | 49032 | 50735 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/25 | 25428 | 25940 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.156%, 9/25/29 | 72000 | 74456 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.406%, 7/25/24 | 271081 | 274095 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.306%, 2/25/30 | 64000 | 64661 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 6.856%, 1/25/31 | 81545 | 82259 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 5.756%, 7/25/29 | 53210 | 53019 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 5/25/30 | 261906 | 260673 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.31%, 1/25/42 | 427000 | 414991 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.26%, 6/25/42 | 57497 | 58680 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 | 7133 | 7142 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 6.81%, 9/25/42 | 131188 | 131908 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/39 | 34463 | 34211 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 6.556%, 1/25/40 | 495396 | 496013 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.51%, 1/25/42 | 97771 | 96793 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.31%, 12/25/41 | 110510 | 109267 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 5.06%, 10/25/41 | 3243 | 3229 |
| GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36***<sup>(WAC)</sup>*** | 928433 | 309437 |
| JP Morgan Alternative Loan Trust FRB Ser. 07-S1, Class A1, (ICE LIBOR USD 1 Month + 0.28%), 5.066%, 4/25/47 | 157708 | 148950 |
| Legacy Mortgage Asset Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-GS5, Class A1, 3.25%, 6/25/60 | 212685 | 209573 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-GS3, Class A1, 1.75%, 7/25/61 | 267171 | 248106 |
| LHOME Mortgage Trust 144A Ser. 21-RTL2, Class A1, 2.09%, 6/25/26 | 365000 | 340740 |
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.484%, 8/26/47***<sup>(WAC)</sup>*** | 110478 | 107336 |
| New Residential Mortgage Loan Trust 144A FRB Ser. 18-4A, Class A1M, (ICE LIBOR USD 1 Month + 0.90%), 5.406%, 1/25/48 | 51269 | 50115 |
| New York Mortgage Trust 144A Ser. 21-BPL1, Class A1, 2.239%, 5/25/26 | 300000 | 279217 |
| NovaStar Mortgage Funding Trust FRB Ser. 06-5, Class A2C, (ICE LIBOR USD 1 Month + 0.34%), 4.846%, 11/25/36 | 1034513 | 325872 |
| Renaissance Home Equity Loan Trust FRB Ser. 03-4, Class A1, (ICE LIBOR USD 1 Month + 1.04%), 5.546%, 3/25/34 | 143387 | 129285 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 5.356%, 5/25/47 | 298407 | 238068 |
| Toorak Mortgage Corp., Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-1, Class A1, 2.734%, 3/25/23***<sup>(WAC)</sup>*** | 135254 | 130344 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-1, Class A1, 2.24%, 6/25/24 | 120000 | 114525 |
| Vista Point Securitization Trust 144A FRB Ser. 20-2, Class A2, 1.986%, 4/25/65***<sup>(WAC)</sup>*** | 74059 | 64482 |
| WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.486%, 10/25/45 | 114544 | 107284 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 5.466%, 7/25/45 | 197055 | 181054 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR1, Class A1B, (ICE LIBOR USD 1 Month + 0.78%), 5.286%, 1/25/45 | 113821 | 104275 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR2, Class 2A1B, (ICE LIBOR USD 1 Month + 0.74%), 5.246%, 1/25/45 | 129552 | 126080 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR10, Class 1A3, 3.832%, 9/25/35***<sup>(WAC)</sup>*** | 88799 | 79273 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR12, Class 1A8, 3.809%, 10/25/35***<sup>(WAC)</sup>*** | 262062 | 229741 |
| Washington Mutual Asset-Backed Certificates Trust FRB Ser. 06-HE2, Class A3, (ICE LIBOR USD 1 Month + 0.30%), 4.806%, 5/25/36 | 524691 | 380948 |
|  |  | **14885999** |
| **Total mortgage-backed securities (cost $47,101,101)** |  | **$43251444** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (22.5%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (22.5%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (22.5%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (22.5%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| **Basic materials (1.5%)** | **Basic materials (1.5%)** | **Basic materials (1.5%)** | **Basic materials (1.5%)** |
| Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 |  | $275000 | $268079 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) |  | 450000 | 455810 |
| Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) |  | 157000 | 158684 |
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 |  | 278000 | 260682 |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |  | 260000 | 213525 |
| International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 |  | 132000 | 109404 |
| Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 |  | 632000 | 604536 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 |  | 172000 | 201552 |
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32***<sup>(R)</sup>*** |  | 33000 | 38107 |
|  |  |  | **2310379** |
| **Capital goods (0.7%)** | **Capital goods (0.7%)** | **Capital goods (0.7%)** | **Capital goods (0.7%)** |
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 |  | 351000 | 307058 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 |  | 324000 | 292887 |
| Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 |  | 179000 | 165491 |
| Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 |  | 70000 | 50084 |
| L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 |  | 176000 | 171195 |
| Waste Connections, Inc. sr. unsec. bonds 4.20%, 1/15/33 |  | 110000 | 106859 |
|  |  |  | **1093574** |
| **Communication services (2.4%)** | **Communication services (2.4%)** | **Communication services (2.4%)** | **Communication services (2.4%)** |
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30***<sup>(R)</sup>*** |  | 291000 | 254244 |
| American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27***<sup>(R)</sup>*** |  | 406000 | 383435 |
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 |  | 487000 | 445086 |
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 |  | 16000 | 12937 |
| AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 |  | 355000 | 353104 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 |  | 464000 | 461615 |
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 |  | 178000 | 169433 |
| Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28***<sup>(R)</sup>*** |  | 137000 | 130736 |
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27***<sup>(R)</sup>*** |  | 192000 | 183198 |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29***<sup>(R)</sup>*** |  | 404000 | 365706 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 |  | 18000 | 16858 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 |  | 440000 | 423226 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 |  | 92000 | 80408 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 |  | 312000 | 278244 |
|  |  |  | **3558230** |
| **Conglomerates (0.1%)** | **Conglomerates (0.1%)** | **Conglomerates (0.1%)** | **Conglomerates (0.1%)** |
| General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 8.099%, perpetual maturity |  | 214000 | 213251 |
|  |  |  | **213251** |
| **Consumer cyclicals (1.6%)** | **Consumer cyclicals (1.6%)** | **Consumer cyclicals (1.6%)** | **Consumer cyclicals (1.6%)** |
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) |  | 344000 | 323790 |
| Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 |  | 193000 | 146405 |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 |  | 354000 | 295596 |
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 |  | 385000 | 386522 |
| General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 |  | 147000 | 141596 |
| General Motors Financial Co., Inc. sr. unsec. notes 2.35%, 2/26/27 |  | 100000 | 89746 |
| Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 |  | 76000 | 68373 |
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 |  | 163000 | 160788 |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 |  | 400000 | 352881 |
| Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 |  | 463000 | 412049 |
|  |  |  | **2377746** |
| **Consumer staples (1.7%)** | **Consumer staples (1.7%)** | **Consumer staples (1.7%)** | **Consumer staples (1.7%)** |
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 |  | 435000 | 417181 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 |  | 281000 | 286208 |
| GSK Consumer Healthcare Capital US, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27 |  | 250000 | 236644 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 |  | 240000 | 229465 |
| Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 |  | 584000 | 568935 |
| Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 | EUR | 435000 | 461480 |
| Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 |  | $441000 | 437750 |
|  |  |  | **2637663** |
| **Energy (1.9%)** | **Energy (1.9%)** | **Energy (1.9%)** | **Energy (1.9%)** |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 |  | 231000 | 232740 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 |  | 183000 | 152774 |
| Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 |  | 418000 | 397716 |
| EQT Corp. sr. unsec. notes 5.678%, 10/1/25 |  | 128000 | 128167 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 |  | 318000 | 351788 |
| ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 |  | 220000 | 231336 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) |  | 267000 | 267633 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) |  | 44000 | 42327 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) |  | 246000 | 196934 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |  | 31000 | 25732 |
| Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) |  | 200000 | 195400 |
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 |  | 294000 | 294543 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 |  | 90000 | 84134 |
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) |  | 355000 | 317281 |
|  |  |  | **2918505** |
| **Financials (8.8%)** | **Financials (8.8%)** | **Financials (8.8%)** | **Financials (8.8%)** |
| ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) |  | 400000 | 392160 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) |  | 660000 | 554142 |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 |  | 380000 | 367101 |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 |  | 180000 | 198242 |
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 |  | 386000 | 309777 |
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 |  | 524000 | 492909 |
| Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) |  | 200000 | 192654 |
| Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) |  | 400000 | 398721 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity |  | 346000 | 347717 |
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 |  | 525000 | 457503 |
| BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) |  | 400000 | 390029 |
| BPCE SA 144A sr. unsec. notes 3.50%, 10/23/27 (France) |  | 250000 | 230769 |
| BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) |  | 540000 | 525784 |
| Capital One Financial Corp. sr. unsec. unsub. FRN 1.878%, 11/2/27 |  | 264000 | 233710 |
| Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity |  | 622000 | 567824 |
| Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) |  | 212000 | 196495 |
| Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 |  | 200000 | 186668 |
| Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) |  | 400000 | 361798 |
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) |  | 200000 | 189500 |
| Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) |  | 250000 | 219668 |
| Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) |  | 400000 | 388046 |
| Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28***<sup>(R)</sup>*** |  | 160000 | 155052 |
| Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 |  | 160000 | 100657 |
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 |  | 306000 | 320758 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 |  | 88000 | 87910 |
| Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 |  | 188000 | 163485 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 |  | 138000 | 120027 |
| Goldman Sachs Group, Inc. (The) unsec. sub. notes 5.95%, 1/15/27 |  | 192000 | 199669 |
| Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) |  | 505000 | 401808 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25***<sup>(R)</sup>*** |  | 280000 | 277900 |
| JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 |  | 138000 | 136608 |
| Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 |  | 429000 | 311483 |
| MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 |  | 230000 | 253000 |
| NatWest Group PLC sr. unsec. unsub. FRN 1.642%, 6/14/27 (United Kingdom) |  | 595000 | 528889 |
| Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 |  | 136000 | 133613 |
| Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) |  | 643000 | 552935 |
| Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 |  | 102000 | 117970 |
| Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 |  | 181000 | 173437 |
| UBS Group AG 144A jr. unsec. sub. FRN 4.375%, perpetual maturity (Switzerland) |  | 225000 | 184478 |
| UBS Group AG 144A sr. unsec. FRN 4.703%, 8/5/27 (Switzerland) |  | 379000 | 374082 |
| UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) |  | 300000 | 298125 |
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 |  | 500000 | 399577 |
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28***<sup>(R)</sup>*** |  | 183000 | 177204 |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27***<sup>(R)</sup>*** |  | 68000 | 62828 |
| Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity |  | 163000 | 150266 |
| Wells Fargo & Co. unsec. sub. notes Ser. GMTN, 4.30%, 7/22/27 |  | 267000 | 264017 |
| Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) |  | 126000 | 120945 |
|  |  |  | **13267940** |
| **Health care (0.5%)** | **Health care (0.5%)** | **Health care (0.5%)** | **Health care (0.5%)** |
| Danaher Corp. sr. unsec. unsub. notes 3.35%, 9/15/25 |  | 203000 | 197625 |
| GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 |  | 190000 | 196860 |
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 |  | 240000 | 250546 |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 |  | 105000 | 99823 |
|  |  |  | **744854** |
| **Technology (1.5%)** | **Technology (1.5%)** | **Technology (1.5%)** | **Technology (1.5%)** |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 |  | 461000 | 444194 |
| Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 |  | 361000 | 336752 |
| Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 |  | 489000 | 448835 |
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 |  | 244000 | 213084 |
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 |  | 108000 | 103715 |
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 |  | 75000 | 58294 |
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 |  | 207000 | 163834 |
| Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 |  | 100000 | 87962 |
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 |  | 91000 | 82992 |
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 |  | 426000 | 361609 |
|  |  |  | **2301271** |
| **Transportation (0.4%)** | **Transportation (0.4%)** | **Transportation (0.4%)** | **Transportation (0.4%)** |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 |  | 103000 | 96072 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 |  | 529000 | 516276 |
|  |  |  | **612348** |
| **Utilities and power (1.4%)** | **Utilities and power (1.4%)** | **Utilities and power (1.4%)** | **Utilities and power (1.4%)** |
| AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 |  | 276000 | 248824 |
| Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 |  | 77000 | 66949 |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity |  | 330000 | 275609 |
| IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 |  | 351000 | 324572 |
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 |  | 220000 | 210059 |
| Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 |  | 129000 | 129728 |
| Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 |  | 100000 | 83486 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 |  | 204000 | 188586 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 |  | 108000 | 104388 |
| WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (ICE LIBOR USD 3 Month + 2.11%), 6.719%, 5/15/67 |  | 498000 | 423593 |
|  |  |  | **2055794** |
| **Total corporate bonds and notes (cost $36,754,747)** | **Total corporate bonds and notes (cost $36,754,747)** |  | **$34091555** |

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| | | |
|:---|:---|:---|
| **COLLATERALIZED LOAN OBLIGATIONS (4.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (4.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (4.0%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | $250000 | $245692 |
| AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 263000 | 259431 |
| AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.915%, 4/22/34 | 250000 | 246318 |
| Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.968%, 10/25/32 (Cayman Islands) | 250000 | 245235 |
| Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/31 (Cayman Islands) | 500000 | 495528 |
| Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 4/15/34 (Cayman Islands) | 500000 | 491339 |
| Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 5.898%, 4/20/31 | 250000 | 248341 |
| Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.065%, 11/22/34 (Cayman Islands) | 323000 | 315111 |
| BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 250000 | 245878 |
| CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 313000 | 309251 |
| Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.785%, 7/27/30 (Cayman Islands) | 344277 | 340634 |
| Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 6.022%, 10/15/31 (Cayman Islands) | 398485 | 396126 |
| Gulf Stream Meridian 1, Ltd. 144A FRB Ser. 20-IA, Class A1, (ICE LIBOR USD 3 Month + 1.37%), 6.162%, 4/15/33 (Cayman Islands) | 250000 | 246463 |
| Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 6.215%, 10/22/30 (Cayman Islands) | 250000 | 245495 |
| OZLM XVIII, Ltd. 144A FRB Ser. 18-18A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.85%, 4/15/31 (Cayman Islands) | 250000 | 245490 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.606%, 5/15/32 (Cayman Islands) | 250000 | 241521 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 5.808%, 10/20/31 (Cayman Islands) | 250000 | 245875 |
| Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 250000 | 246237 |
| Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (ICE LIBOR USD 3 Month + 1.26%), 6.052%, 1/15/32 (Cayman Islands) | 250000 | 245729 |
| Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 6.508%, 1/20/29 (Cayman Islands) | 200000 | 194476 |
| Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.282%, 7/15/32 | 364000 | 358908 |
| **Total collateralized loan obligations (cost $6,135,675)** |  | **$6109078** |

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| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.9%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.9%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $192338 | $189934 |
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 500000 | 500000 |
| Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 5.77%, 5/29/23 | 693000 | 693000 |
| **Total asset-backed securities (cost $1,385,338)** |  | **$1382934** |

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (10.0%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (10.0%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (10.0%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (10.0%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| Putnam Short Term Investment Fund Class P 4.58%***<sup>(AFF)</sup>*** | Shares | 9693286 | $9693286 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%***<sup>(P)</sup>*** | Shares | 2936000 | 2936000 |
| U.S. Treasury Bills 4.480%, 3/9/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | $2597000 | 2585398 |
| **Total short-term investments (cost $15,214,883)** |  |  | **$15214684** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $286,693,248)** |  |  | **$274565768** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $160,784,978) (Unaudited)** |
|  | **Counterparty** | **Currency** | **Contract type\*** | **Delivery<br>date** | **Value** | **Aggregate face value** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  |  | Australian Dollar | Buy | 4/19/23 | $4247 | $4091 | $156 |
|  |  | Canadian Dollar | Sell | 4/19/23 | 1199428 | 1178999 | (20429) |
|  |  | Czech Koruna | Buy | 3/15/23 | 94137 | 87584 | 6553 |
|  |  | Euro | Sell | 3/15/23 | 70197 | 68388 | (1809) |
|  |  | Japanese Yen | Buy | 2/15/23 | 5689158 | 5605004 | 84154 |
|  |  | Japanese Yen | Sell | 2/15/23 | 5689158 | 5172024 | (517134) |
|  |  | Japanese Yen | Sell | 5/17/23 | 4101884 | 4094278 | (7606) |
|  |  | Mexican Peso | Sell | 4/19/23 | 330991 | 319686 | (11305) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 7048 | 6866 | (182) |
|  |  | Swedish Krona | Sell | 3/15/23 | 2250 | 2263 | 13 |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  |  | Euro | Buy | 3/15/23 | 56354 | 54668 | 1686 |
|  |  | Swiss Franc | Sell | 3/15/23 | 385103 | 374849 | (10254) |
|  | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
|  |  | Canadian Dollar | Sell | 4/19/23 | 5941 | 5822 | (119) |
|  |  | Danish Krone | Sell | 3/15/23 | 85022 | 81484 | (3538) |
|  |  | Euro | Buy | 3/15/23 | 763 | 760 | 3 |
|  |  | Japanese Yen | Buy | 2/15/23 | 1723464 | 1674558 | 48906 |
|  |  | Japanese Yen | Sell | 2/15/23 | 1723464 | 1719901 | (3563) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1745633 | 1742152 | 3481 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 3252 | 3266 | 14 |
|  |  | Romanian Leu | Buy | 3/15/23 | 76020 | 73216 | 2804 |
|  |  | Swedish Krona | Sell | 3/15/23 | 6067 | 6039 | (28) |
|  |  | Swiss Franc | Sell | 3/15/23 | 160515 | 160058 | (457) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 9568053 | 9258841 | 309212 |
|  |  | Chinese Yuan (Offshore) | Sell | 2/15/23 | 9568053 | 9203095 | (364958) |
|  |  | Chinese Yuan (Offshore) | Sell | 5/17/23 | 449325 | 449021 | (304) |
|  |  | Euro | Buy | 3/15/23 | 65183 | 63216 | 1967 |
|  |  | Indonesian Rupiah | Buy | 2/15/23 | 1038888 | 1004485 | 34403 |
|  |  | Indonesian Rupiah | Sell | 2/15/23 | 1038888 | 1023692 | (15196) |
|  |  | Indonesian Rupiah | Buy | 5/17/23 | 434246 | 435265 | (1019) |
|  |  | Japanese Yen | Buy | 2/15/23 | 569358 | 568280 | 1078 |
|  |  | Japanese Yen | Sell | 2/15/23 | 569358 | 509706 | (59652) |
|  |  | Japanese Yen | Sell | 5/17/23 | 576682 | 575590 | (1092) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 3905 | 3926 | 21 |
|  |  | Polish Zloty | Sell | 3/15/23 | 83426 | 79858 | (3568) |
|  |  | South African Rand | Sell | 4/19/23 | 18273 | 18447 | 174 |
|  |  | Swedish Krona | Sell | 3/15/23 | 132452 | 133345 | 893 |
|  |  | Swiss Franc | Buy | 3/15/23 | 224038 | 218074 | 5964 |
|  | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** |
|  |  | Australian Dollar | Buy | 4/19/23 | 163527 | 157588 | 5939 |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 6793107 | 6359644 | 433463 |
|  |  | Chinese Yuan (Offshore) | Sell | 2/15/23 | 6793107 | 6786704 | (6403) |
|  |  | Chinese Yuan (Offshore) | Buy | 5/17/23 | 6025316 | 6021411 | 3905 |
|  |  | Danish Krone | Sell | 3/15/23 | 110599 | 108343 | (2256) |
|  |  | Euro | Sell | 3/15/23 | 9692586 | 9406722 | (285864) |
|  |  | Japanese Yen | Buy | 2/15/23 | 2616756 | 2366520 | 250236 |
|  |  | Japanese Yen | Sell | 2/15/23 | 2616756 | 2590860 | (25896) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1966992 | 1963739 | 3253 |
|  |  | Norwegian Krone | Buy | 3/15/23 | 11875 | 12355 | (480) |
|  |  | Polish Zloty | Sell | 3/15/23 | 84185 | 80661 | (3524) |
|  |  | Singapore Dollar | Buy | 2/15/23 | 77429 | 77481 | (52) |
|  |  | Singapore Dollar | Sell | 2/15/23 | 77429 | 75235 | (2194) |
|  |  | Swedish Krona | Sell | 3/15/23 | 47470 | 48799 | 1329 |
|  |  | Swiss Franc | Buy | 3/15/23 | 125404 | 121921 | 3483 |
|  | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
|  |  | Australian Dollar | Buy | 4/19/23 | 154678 | 149081 | 5597 |
|  |  | British Pound | Sell | 3/15/23 | 1513093 | 1498880 | (14213) |
|  |  | Canadian Dollar | Buy | 4/19/23 | 14214 | 13973 | 241 |
|  |  | Euro | Buy | 3/15/23 | 6725471 | 6522145 | 203326 |
|  |  | Japanese Yen | Buy | 2/15/23 | 2699147 | 2693701 | 5446 |
|  |  | Japanese Yen | Sell | 2/15/23 | 2699147 | 2455248 | (243899) |
|  |  | Japanese Yen | Sell | 5/17/23 | 2603305 | 2597999 | (5306) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 30745 | 30832 | 87 |
|  |  | Singapore Dollar | Buy | 2/15/23 | 533553 | 505844 | 27709 |
|  |  | Singapore Dollar | Sell | 2/15/23 | 533553 | 524218 | (9335) |
|  |  | Singapore Dollar | Buy | 5/17/23 | 193117 | 192901 | 216 |
|  |  | South Korean Won | Buy | 2/15/23 | 2459352 | 2236764 | 222588 |
|  |  | South Korean Won | Sell | 2/15/23 | 2459352 | 2367761 | (91591) |
|  |  | South Korean Won | Buy | 5/17/23 | 1094621 | 1096495 | (1874) |
|  |  | Swiss Franc | Buy | 3/15/23 | 4825 | 4700 | 125 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  |  | Australian Dollar | Buy | 4/19/23 | 143281 | 138092 | 5189 |
|  |  | British Pound | Buy | 3/15/23 | 1479283 | 1466276 | 13007 |
|  |  | Canadian Dollar | Buy | 4/19/23 | 363385 | 357132 | 6253 |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 420321 | 420919 | (598) |
|  |  | Chinese Yuan (Offshore) | Sell | 2/15/23 | 420321 | 403080 | (17241) |
|  |  | Euro | Buy | 3/15/23 | 714937 | 698709 | 16228 |
|  |  | Japanese Yen | Buy | 2/15/23 | 5519781 | 5323824 | 195957 |
|  |  | Japanese Yen | Sell | 2/15/23 | 5519781 | 5501578 | (18203) |
|  |  | Japanese Yen | Buy | 5/17/23 | 5236802 | 5227042 | 9760 |
|  |  | Mexican Peso | Sell | 4/19/23 | 66521 | 64373 | (2148) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 350603 | 339359 | (11244) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 79518 | 79869 | 351 |
|  |  | Swedish Krona | Sell | 3/15/23 | 74603 | 74921 | 318 |
|  |  | Swiss Franc | Buy | 3/15/23 | 97317 | 96320 | 997 |
|  | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** |
|  |  | British Pound | Buy | 3/15/23 | 158565 | 155920 | 2645 |
|  |  | Euro | Sell | 3/15/23 | 2300030 | 2230988 | (69042) |
|  |  | Japanese Yen | Buy | 2/15/23 | 2085783 | 2051727 | 34056 |
|  |  | Japanese Yen | Sell | 2/15/23 | 2085783 | 2065035 | (20748) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1745633 | 1742343 | 3290 |
|  | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** |
|  |  | Australian Dollar | Sell | 4/19/23 | 757108 | 729603 | (27505) |
|  |  | British Pound | Sell | 3/15/23 | 28875 | 29115 | 240 |
|  |  | Canadian Dollar | Buy | 4/19/23 | 74302 | 73027 | 1275 |
|  |  | Chinese Yuan (Offshore) | Buy | 2/15/23 | 2904732 | 2716302 | 188430 |
|  |  | Chinese Yuan (Offshore) | Sell | 2/15/23 | 2904732 | 2885423 | (19309) |
|  |  | Chinese Yuan (Offshore) | Buy | 5/17/23 | 1959475 | 1958210 | 1265 |
|  |  | Euro | Sell | 3/15/23 | 183667 | 183508 | (159) |
|  |  | Hong Kong Dollar | Buy | 2/15/23 | 25424 | 25403 | 21 |
|  |  | Hong Kong Dollar | Sell | 2/15/23 | 25424 | 25441 | 17 |
|  |  | Hong Kong Dollar | Buy | 5/17/23 | 25502 | 25516 | (14) |
|  |  | Hungarian Forint | Buy | 3/16/23 | 131185 | 118978 | 12207 |
|  |  | Israeli Shekel | Buy | 4/19/23 | 55202 | 53771 | 1431 |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 129520 | 125370 | (4150) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 132316 | 132848 | 532 |
|  |  | Swedish Krona | Sell | 3/15/23 | 200729 | 201527 | 798 |
|  |  | Swiss Franc | Buy | 3/15/23 | 227659 | 222775 | 4884 |
|  | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
|  |  | British Pound | Sell | 3/15/23 | 107849 | 105687 | (2162) |
|  |  | Japanese Yen | Buy | 2/15/23 | 986869 | 883428 | 103441 |
|  |  | Japanese Yen | Sell | 2/15/23 | 986869 | 984980 | (1889) |
|  |  | Japanese Yen | Buy | 5/17/23 | 999563 | 997655 | 1908 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 130460 | 131017 | 557 |
|  | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
|  |  | Australian Dollar | Buy | 4/19/23 | 2973 | 2865 | 108 |
|  |  | British Pound | Sell | 3/15/23 | 715208 | 708399 | (6809) |
|  |  | Chinese Yuan (Offshore) | Buy | 5/17/23 | 103742 | 103702 | 40 |
|  |  | Euro | Buy | 3/15/23 | 7062937 | 6851766 | 211171 |
|  |  | Hungarian Forint | Sell | 3/16/23 | 86682 | 81771 | (4911) |
|  |  | Japanese Yen | Buy | 2/15/23 | 1760794 | 1576504 | 184290 |
|  |  | Japanese Yen | Sell | 2/15/23 | 1760794 | 1757626 | (3168) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1783443 | 1780302 | 3141 |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 14097 | 13646 | (451) |
|  |  | Swedish Krona | Sell | 3/15/23 | 227642 | 228719 | 1077 |
|  | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** |
|  |  | British Pound | Buy | 3/15/23 | 13327 | 13211 | 116 |
|  |  | Euro | Buy | 3/15/23 | 1549776 | 1500816 | 48960 |
|  |  | Japanese Yen | Buy | 2/15/23 | 16206 | 16187 | 19 |
|  |  | Japanese Yen | Sell | 2/15/23 | 16206 | 14664 | (1542) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 37052 | 35861 | (1191) |
|  |  | Swiss Franc | Sell | 3/15/23 | 2520 | 2526 | 6 |
|  | **Unrealized appreciation** | **Unrealized appreciation** |  |  |  |  | **2722410** |
|  | **Unrealized (depreciation)** | **Unrealized (depreciation)** |  |  |  |  | **(1927584)** |
|  | **Total** |  |  |  |  |  | **$794826** |
| \* | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. |

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------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| Canadian Government Bond 10 yr (Long) | 4 | $379572 | $379572 | &nbsp;&nbsp;&nbsp;Mar-23 | $2333 |
| Euro-Bobl 5 yr (Long) | 10 | 1275227 | 1275227 | &nbsp;&nbsp;&nbsp;Mar-23 | (21328) |
| Euro-Bund 10 yr (Long) | 5 | 743719 | 743720 | &nbsp;&nbsp;&nbsp;Mar-23 | (22242) |
| Euro-Buxl 30 yr (Long) | 6 | 939298 | 939298 | &nbsp;&nbsp;&nbsp;Mar-23 | (112466) |
| Euro-Schatz 2 yr (Short) | 6 | 689764 | 689764 | &nbsp;&nbsp;&nbsp;Mar-23 | 5337 |
| Japanese Government Bond 10 yr (Long) | 4 | 4503822 | 4503822 | &nbsp;&nbsp;&nbsp;Mar-23 | (55640) |
| Japanese Government Bond 10 yr (Short) | 10 | 11259555 | 11259555 | &nbsp;&nbsp;&nbsp;Mar-23 | 139009 |
| U.S. Treasury Bond 30 yr (Long) | 17 | 2207875 | 2207875 | &nbsp;&nbsp;&nbsp;Mar-23 | 60790 |
| U.S. Treasury Bond Ultra 30 yr (Long) | 14 | 1984500 | 1984500 | &nbsp;&nbsp;&nbsp;Mar-23 | 88890 |
| U.S. Treasury Note 2 yr (Short) | 96 | 19742250 | 19742250 | &nbsp;&nbsp;&nbsp;Mar-23 | (76052) |
| U.S. Treasury Note 5 yr (Long) | 62 | 6773016 | 6773016 | &nbsp;&nbsp;&nbsp;Mar-23 | 65993 |
| U.S. Treasury Note 10 yr (Long) | 41 | 4695141 | 4695141 | &nbsp;&nbsp;&nbsp;Mar-23 | 61970 |
| U.S. Treasury Note Ultra 10 yr (Long) | 8 | 969625 | 969625 | &nbsp;&nbsp;&nbsp;Mar-23 | 16701 |
| **Unrealized appreciation** |  |  |  |  | **441023** |
| **Unrealized (depreciation)** |  |  |  |  | **(287728)** |
| **Total** |  |  |  |  | **$153295** |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date** | **Expiration date/strike** | | **Notional/<br>Contract amount** | **Premium receivable/<br>(payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | $20479800 | $(235518) | $359830 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | 20479800 | (235518) | (161586) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 5748900 | 418232 | 54845 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 5748900 | 418232 | 43577 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 |  | 3876400 | 53204 | 46633 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 |  | 2521500 | (131118) | (10994) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 |  | 2521500 | (128597) | (22340) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 2505700 | (162495) | 19394 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 2505700 | (162495) | (51818) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 |  | 2445800 | (123513) | (8145) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 |  | 2445800 | (123513) | (19713) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 2276600 | 177802 | 15959 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 2276600 | 177802 | 14479 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 2156400 | (318716) | (13650) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 2156400 | (318716) | (65900) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 |  | 1938200 | (93615) | (74563) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 1742600 | (258776) | 1655 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 1742600 | (258776) | (66794) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.405)/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 1573300 | (241305) | 185555 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.405/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 1573300 | (241305) | (143957) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 1070200 | (139394) | 147944 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 1070200 | (139394) | (92797) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 |  | 969100 | 15118 | 13248 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 |  | 678400 | (33368) | (26464) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 564100 | (40390) | 67506 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 564100 | (40390) | (27697) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 287300 | (20973) | 35372 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 287300 | (20973) | (14569) |
| **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.09)/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 |  | 3823600 | (311050) | (10668) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.09/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 |  | 3823600 | (311050) | (16136) |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 |  | 13990100 | (160187) | (19027) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 |  | 13990100 | (160187) | (38053) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.703/US SOFR/Jul-33 (Purchased) | Jul-23/2.703 |  | 9805200 | (109299) | (16865) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.643/US SOFR/Jul-33 (Purchased) | Jul-23/2.643 |  | 9805200 | (109299) | (29416) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 |  | 3465600 | (41934) | (13169) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.887)/US SOFR/Jan-35 (Written) | Jan-25/1.887 |  | 3431800 | 58975 | 13350 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.25)/US SOFR/Jan-34 (Written) | Jan-24/2.25 |  | 3431800 | 44700 | 11153 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.947)/US SOFR/Jan-35 (Written) | Jan-25/1.947 |  | 3431800 | 58975 | 9815 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.311)/US SOFR/Jan-34 (Written) | Jan-24/2.311 |  | 3431800 | 44700 | 7413 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 2979400 | (220029) | 152843 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 2979400 | (220029) | (98588) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 2731200 | (36407) | 37144 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 2731200 | (36407) | (17889) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 1665400 | (124655) | 260718 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 1665400 | (124655) | (124122) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 1604100 | (121029) | 258276 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 1604100 | (121029) | (120500) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 1591200 | (51873) | 60832 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 1591200 | (51873) | (30837) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 1523800 | (112647) | 244296 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 1523800 | (112647) | (112152) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 933600 | (137706) | 34553 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 933600 | (137706) | (35570) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 577800 | (42093) | 21552 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 577800 | (42093) | (16132) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 377000 | (48539) | (969) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 377000 | (48539) | (29972) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 43551100 | 139730 | 133991 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 21775600 | (137362) | (131624) |
| **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.40)/US SOFR/May-57 (Purchased) | May-27/2.40 |  | $5415500 | (698600) | 117246 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.40/US SOFR/May-57 (Purchased) | May-27/2.40 |  | 5415500 | (698600) | (177791) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 371900 | (46952) | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 371900 | (46952) | (19889) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 4312800 | (363353) | (12119) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 4312800 | (363353) | (37737) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 3884900 | 82894 | 68297 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 3884900 | 82894 | (151705) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 2442700 | 206897 | 75113 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 2442700 | 206897 | (52054) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 |  | 1174900 | (75840) | 599 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 |  | 1174900 | (75840) | (18434) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 723500 | 42759 | 24671 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 723500 | 42759 | (41753) |
| &nbsp;&nbsp;&nbsp;&nbsp;(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2140600 | (111675) | 5621 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2140600 | (111675) | (6890) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 1458600 | (90707) | 143859 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 1458600 | (90707) | (58489) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 261200 | (9791) | 25797 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 261200 | (9791) | (7581) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 163800 | (5110) | 18351 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 163800 | (5110) | (4698) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 125100 | (7399) | 22723 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 125100 | (7399) | (6696) |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | $734900 | (83852) | (31784) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | 734900 | (83852) | (48746) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 413900 | (52462) | 8394 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 413900 | (52462) | (17533) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 377000 | (57756) | (1598) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 377000 | (40565) | (26002) |
| **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 2002500 | (104731) | 136450 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 2002500 | (104731) | (68726) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 94500 | (6591) | 3845 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 94500 | (6591) | (2505) |
| **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 1140000 | (69219) | 18797 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 1140000 | (69219) | (15876) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 975900 | (51942) | 38210 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 975900 | (51942) | (17744) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 8776300 | (50617) | (25475) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 8776300 | (50617) | (31009) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.60)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 3814900 | 133852 | 30939 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.65)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 3814900 | 134338 | 26211 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.675)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 3814900 | 133852 | 23806 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.675/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 3814900 | 133852 | 21359 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.65/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 3814900 | 134338 | 19285 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.60/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 3814900 | 133852 | 15013 |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2404600 | (188646) | 305752 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2404600 | (188646) | (100436) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1628600 | (225795) | 118183 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1628600 | (225795) | (105506) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 801500 | (121280) | 140235 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 801500 | (121280) | (64452) |
| **Unrealized appreciation** |  |  |  |  | **3660737** |
| **Unrealized (depreciation)** |  |  |  |  | **(2815904)** |
| **Total** |  |  |  |  | **$844833** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $44,050,840) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $44,050,840) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $44,050,840) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $44,050,840) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Uniform Mortgage-Backed Securities, 6.00%, 2/1/53 | $6000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6164531 |
| Uniform Mortgage-Backed Securities, 5.50%, 2/1/53 | 9000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9143442 |
| Uniform Mortgage-Backed Securities, 5.00%, 2/1/53 | 21000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21083672 |
| Uniform Mortgage-Backed Securities, 3.00%, 2/1/53 | 5000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4538279 |
| Uniform Mortgage-Backed Securities, 2.00%, 2/1/53 | 4000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3366628 |
| **Total** |  |  | **$44296552** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $1059500 | $168842 | $44379 | 9/1/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(126475) |
|  |  | 670000 | 24428 | (54) | 12/23/23 | &nbsp;&nbsp;US SOFR — Annually | 0.695% — Annually | (27176) |
|  |  | 10276000 | 909837 | 883 | 12/23/26 | &nbsp;&nbsp;1.085% — Annually | US SOFR — Annually | 947587 |
|  |  | 3190000 | 467845 | 385 | 12/23/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 478966 |
|  |  | 1262000 | 368189 | (2247) | 12/23/51 | &nbsp;&nbsp;US SOFR — Annually | 1.437% — Annually | (374470) |
|  |  | 8457000 | 308173 | (861) | 12/24/23 | &nbsp;&nbsp;0.697% — Annually | US SOFR — Annually | 337046 |
|  |  | 5228000 | 461005 | 333 | 12/24/26 | &nbsp;&nbsp;US SOFR — Annually | 1.096% — Annually | (477025) |
|  |  | 1358000 | 199205 | (606) | 12/24/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 202597 |
|  |  | 4264000 | 1245642 | (2304) | 12/24/51 | &nbsp;&nbsp;1.435% — Annually | US SOFR — Annually | 1255270 |
|  |  | 252000 | 69300 | (41) | 12/31/51 | &nbsp;&nbsp;US SOFR — Annually | 1.525% — Annually | (69985) |
|  |  | 1711000 | 148925 | (227) | 12/31/26 | &nbsp;&nbsp;US SOFR — Annually | 1.135% — Annually | (154137) |
|  |  | 1865000 | 264009 | 7257 | 12/31/31 | &nbsp;&nbsp;US SOFR — Annually | 1.355% — Annually | (261810) |
|  |  | 446900 | 27654 ***<sup>(E)</sup>*** | (10) | 1/15/47 | &nbsp;&nbsp;1.724% — Annually | US SOFR — Annually | 27644 |
|  |  | 769000 | 189051 | (26) | 1/21/52 | &nbsp;&nbsp;1.679% — Annually | US SOFR — Annually | 189530 |
|  |  | 1051000 | 268972 | (36) | 1/19/52 | &nbsp;&nbsp;US SOFR — Annually | 1.626% — Annually | (270025) |
|  |  | 300000 | 75162 | (10) | 2/1/52 | &nbsp;&nbsp;1.6545% — Annually | US SOFR — Annually | 75519 |
|  |  | 2024000 | 427975 | (69) | 2/24/52 | &nbsp;&nbsp;US SOFR — Annually | 1.86% — Annually | (428679) |
|  |  | 1338000 | 306576 | (46) | 2/29/52 | &nbsp;&nbsp;1.7674% — Annually | US SOFR — Annually | 309209 |
|  |  | 1801000 | 203207 | (24) | 2/29/32 | &nbsp;&nbsp;US SOFR — Annually | 1.75% — Annually | (205957) |
|  |  | 5321000 | 367202 | (43) | 2/28/27 | &nbsp;&nbsp;1.675% — Annually | US SOFR — Annually | 390781 |
|  |  | 12331000 | 427886 | (47) | 2/29/24 | &nbsp;&nbsp;US SOFR — Annually | 1.47709% — Annually | (505290) |
|  |  | 245600 | 28986 | (3) | 3/7/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (28870) |
|  |  | 3539800 | 456563 | (47) | 3/9/32 | &nbsp;&nbsp;1.5475% — Annually | US SOFR — Annually | 472247 |
|  |  | 3670200 | 475107 | (49) | 3/9/32 | &nbsp;&nbsp;1.5415% — Annually | US SOFR — Annually | 492026 |
|  |  | 1935000 | 221035 | (26) | 3/11/32 | &nbsp;&nbsp;1.737% — Annually | US SOFR — Annually | 226091 |
|  |  | 1901000 | 50281 | (7) | 4/7/24 | &nbsp;&nbsp;2.45% — Annually | US SOFR — Annually | 49545 |
|  |  | 558000 | 22169 | (5) | 4/7/27 | &nbsp;&nbsp;US SOFR — Annually | 2.465% — Annually | (21894) |
|  |  | 2074000 | 141571 | (28) | 4/7/23 | &nbsp;&nbsp;2.3305% — Annually | US SOFR — Annually | 139604 |
|  |  | 1751000 | 289878 | (60) | 4/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.1005% — Annually | (291398) |
|  |  | 442000 | 24398 | (6) | 4/14/32 | &nbsp;&nbsp;2.4975% — Annually | US SOFR — Annually | 22751 |
|  |  | 1966000 | 235507 | (67) | 4/14/52 | &nbsp;&nbsp;US SOFR — Annually | 2.3395% — Annually | (231156) |
|  |  | 1816000 | 70987 | (15) | 4/14/27 | &nbsp;&nbsp;2.483% — Annually | US SOFR — Annually | 66782 |
|  |  | 4526000 | 123424 | (17) | 4/14/24 | &nbsp;&nbsp;2.405% — Annually | US SOFR — Annually | 125248 |
|  |  | 4420200 | 138573 | (42) | 5/2/27 | &nbsp;&nbsp;US SOFR — Annually | 2.685% — Annually | (135647) |
|  |  | 2960500 | 78720 | (11) | 5/25/24 | &nbsp;&nbsp;2.5945% — Annually | US SOFR — Annually | 82321 |
|  |  | 81000 | 7181 | (3) | 5/25/52 | &nbsp;&nbsp;US SOFR — Annually | 2.501% — Annually | (7199) |
|  |  | 722100 | 39708 ***<sup>(E)</sup>*** | (25) | 5/28/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 39684 |
|  |  | 1905000 | 67037 | (25) | 6/7/32 | &nbsp;&nbsp;2.7565% — Annually | US SOFR — Annually | 64347 |
|  |  | 14111300 | 419388 | (187) | 6/8/32 | &nbsp;&nbsp;US SOFR — Annually | 2.825% — Annually | (416428) |
|  |  | 802700 | 143627 | (100750) | 6/22/52 | &nbsp;&nbsp;2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 45189 |
|  |  | 11780500 | 205334 | (44) | 6/15/24 | &nbsp;&nbsp;US SOFR — Annually | 3.3385% — Annually | (175926) |
|  |  | 7874500 | 90163 | (64) | 6/15/27 | &nbsp;&nbsp;3.185% — Annually | US SOFR — Annually | 78168 |
|  |  | 918800 | 9372 | (13) | 9/8/32 | &nbsp;&nbsp;US SOFR — Annually | 3.07% — Annually | (11078) |
|  |  | 4255600 | 121370 | (60) | 2/3/33 | &nbsp;&nbsp;3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 121309 |
|  |  | 803000 | 59366 | (27) | 7/8/52 | &nbsp;&nbsp;US SOFR — Annually | 2.5765% — Annually | (61027) |
|  |  | 3107200 | 169995 | (44) | 1/31/33 | &nbsp;&nbsp;2.545% — Annually | US SOFR — Annually | 169731 |
|  |  | 3107200 | 168659 | (44) | 1/31/33 | &nbsp;&nbsp;2.55% — Annually | US SOFR — Annually | 168395 |
|  |  | 2926500 | 172400 | (41) | 2/1/33 | &nbsp;&nbsp;2.495% — Annually | US SOFR — Annually | 172359 |
|  |  | 4033000 | 251175 | (53) | 8/2/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4275% — Annually | (267393) |
|  |  | 2861500 | 189803 | (41) | 2/1/33 | &nbsp;&nbsp;2.4075% — Annually | US SOFR — Annually | 189763 |
|  |  | 178500 | 5687 ***<sup>(E)</sup>*** | (3) | 4/1/42 | &nbsp;&nbsp;US SOFR — Annually | 2.63% — Annually | (5691) |
|  |  | 660100 | 29104 ***<sup>(E)</sup>*** | (10) | 3/24/35 | &nbsp;&nbsp;US SOFR — Annually | 2.39% — Annually | (29114) |
|  |  | 851800 | 63681 | (25) | 8/10/42 | &nbsp;&nbsp;2.645% — Annually | US SOFR — Annually | 66611 |
|  |  | 1443800 | 116284 | (3219) | 8/10/42 | &nbsp;&nbsp;US SOFR — Annually | 2.605% — Annually | (124437) |
|  |  | 592100 | 48848 | (17) | 8/10/42 | &nbsp;&nbsp;2.5915% — Annually | US SOFR — Annually | 50921 |
|  |  | 7294000 | 180235 ***<sup>(E)</sup>*** | (69) | 2/6/29 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 180166 |
|  |  | 4794000 | 227140 | (63) | 8/16/32 | &nbsp;&nbsp;US SOFR — Annually | 2.613% — Annually | (243886) |
|  |  | 662500 | 12800 ***<sup>(E)</sup>*** | (15) | 1/15/47 | &nbsp;&nbsp;2.49% — Annually | US SOFR — Annually | 12785 |
|  |  | 113000 | 3258 | (1) | 8/25/32 | &nbsp;&nbsp;US SOFR — Annually | 2.8415% — Annually | (3546) |
|  |  | 1070000 | 13386 ***<sup>(E)</sup>*** | (16) | 2/21/35 | &nbsp;&nbsp;2.785% — Annually | US SOFR — Annually | 13370 |
|  |  | 1761700 | 29315 | (7) | 9/6/24 | &nbsp;&nbsp;US SOFR — Annually | 3.413% — Annually | (30063) |
|  |  | 3297600 | 3693 ***<sup>(E)</sup>*** | (18) | 1/15/27 | &nbsp;&nbsp;US SOFR — Annually | 2.73% — Annually | (3712) |
|  |  | 1670900 | 20736 | (22) | 9/13/32 | &nbsp;&nbsp;3.043% — Annually | US SOFR — Annually | 24003 |
|  |  | 635800 | 3624 ***<sup>(E)</sup>*** | (12) | 1/15/41 | &nbsp;&nbsp;3.0500% — Annually | US SOFR — Annually | 3612 |
|  |  | 337300 | 3221 ***<sup>(E)</sup>*** | (7) | 1/15/42 | &nbsp;&nbsp;2.9825% — Annually | US SOFR — Annually | 3215 |
|  |  | 1205000 | 11881 | (41) | 9/26/52 | &nbsp;&nbsp;2.905% — Annually | US SOFR — Annually | 15040 |
|  |  | 6264000 | 9083 | (59) | 9/26/27 | &nbsp;&nbsp;US SOFR — Annually | 3.465% — Annually | 4863 |
|  |  | 422000 | 1583 | (6) | 9/19/32 | &nbsp;&nbsp;3.24% — Annually | US SOFR — Annually | (993) |
|  |  | 720000 | 7884 | (10) | 9/23/32 | &nbsp;&nbsp;3.3275% — Annually | US SOFR — Annually | (6988) |
|  |  | 693100 | 19636 ***<sup>(E)</sup>*** | (10) | 10/3/33 | &nbsp;&nbsp;3.394% — Annually | US SOFR — Annually | (19645) |
|  |  | 1196000 | 16409 | (10) | 10/4/27 | &nbsp;&nbsp;3.75% — Annually | US SOFR — Annually | (16641) |
|  |  | 5692000 | 127615 | (75) | 10/5/32 | &nbsp;&nbsp;US SOFR — Annually | 3.466% — Annually | 122661 |
|  |  | 192000 | 1513 ***<sup>(E)</sup>*** | (3) | 10/21/36 | &nbsp;&nbsp;US SOFR — Annually | 3.116% — Annually | 1510 |
|  |  | 245000 | 3087 | (3) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | 3004 |
|  |  | 867000 | 10811 | (12) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.337% — Annually | 10880 |
|  |  | 867000 | 10517 | (12) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.333% — Annually | 10513 |
|  |  | 2030000 | 27182 ***<sup>(E)</sup>*** | (29) | 8/23/33 | &nbsp;&nbsp;US SOFR — Annually | 3.237% — Annually | 27153 |
|  |  | 809000 | 9328 | (11) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.3255% — Annually | 9316 |
|  |  | 1952000 | 24986 ***<sup>(E)</sup>*** | (28) | 9/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.225% — Annually | 24958 |
|  |  | 242000 | 3107 | (3) | 11/14/32 | &nbsp;&nbsp;3.347% — Annually | US SOFR — Annually | (2795) |
|  |  | 779000 | 2984 | (26) | 2/3/53 | &nbsp;&nbsp;2.9275% — Annually | US SOFR — Annually | 2957 |
|  |  | 679000 | 6824 | (10) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.308% — Annually | 6814 |
|  |  | 1411000 | 5870 | (5) | 10/7/24 | &nbsp;&nbsp;US SOFR — Annually | 4.1845% — Annually | (4062) |
|  |  | 4284000 | 108300 | (57) | 10/7/32 | &nbsp;&nbsp;3.5005% — Annually | US SOFR — Annually | (106537) |
|  |  | 2822000 | 11486 | 646 | 10/7/24 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 8453 |
|  |  | 8096000 | 104681 | (1914) | 10/7/27 | &nbsp;&nbsp;US SOFR — Annually | 3.73% — Annually | 101216 |
|  |  | 25213000 | 636376 | (9912) | 10/7/32 | &nbsp;&nbsp;3.50% — Annually | US SOFR — Annually | (622612) |
|  |  | 8568000 | 223282 | (8205) | 10/7/32 | &nbsp;&nbsp;US SOFR — Annually | 3.51% — Annually | 207311 |
|  |  | 7869000 | 144160 | 5271 | 10/7/52 | &nbsp;&nbsp;US SOFR — Annually | 3.05% — Annually | 130532 |
|  |  | 4790000 | 27064 ***<sup>(E)</sup>*** | (33) | 4/8/28 | &nbsp;&nbsp;3.44% — Annually | US SOFR — Annually | (27097) |
|  |  | 13125000 | 55519 ***<sup>(E)</sup>*** | (49) | 1/31/25 | &nbsp;&nbsp;US SOFR — Annually | 4.035% — Annually | 55470 |
|  |  | 768400 | 30336 | (11) | 1/17/33 | &nbsp;&nbsp;3.6575% — Annually | US SOFR — Annually | (30219) |
|  |  | 81000 | 2954 ***<sup>(E)</sup>*** | (3) | 1/16/55 | &nbsp;&nbsp;2.97% — Annually | US SOFR — Annually | (2957) |
|  |  | 9901000 | 69604 ***<sup>(E)</sup>*** | (55) | 1/16/26 | &nbsp;&nbsp;US SOFR — Annually | 3.605% — Annually | 69549 |
|  |  | 1928000 | 35745 ***<sup>(E)</sup>*** | (38) | 4/17/41 | &nbsp;&nbsp;US SOFR — Annually | 3.417% — Annually | 35708 |
|  |  | 1344000 | 78785 | (46) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.2571% — Annually | 76904 |
|  |  | 758800 | 46955 ***<sup>(E)</sup>*** | (26) | 10/9/54 | &nbsp;&nbsp;3.115% — Annually | US SOFR — Annually | (46980) |
|  |  | 3085700 | 139659 ***<sup>(E)</sup>*** | (44) | 10/10/33 | &nbsp;&nbsp;US SOFR — Annually | 3.594% — Annually | 139615 |
|  |  | 228000 | 16918 | (8) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.3375% — Annually | 16651 |
|  |  | 345600 | 23148 ***<sup>(E)</sup>*** | (12) | 1/24/55 | &nbsp;&nbsp;3.135% — Annually | US SOFR — Annually | (23160) |
|  |  | 1871800 | 55780 ***<sup>(E)</sup>*** | (18) | 4/13/28 | &nbsp;&nbsp;3.965% — Annually | US SOFR — Annually | (55797) |
|  |  | 619100 | 30175 ***<sup>(E)</sup>*** | (9) | 4/4/35 | &nbsp;&nbsp;3.5575% — Annually | US SOFR — Annually | (30184) |
|  |  | 1238100 | 37032 ***<sup>(E)</sup>*** | (14) | 5/8/30 | &nbsp;&nbsp;US SOFR — Annually | 3.52% — Annually | 37018 |
|  |  | 1695000 | 13289 ***<sup>(E)</sup>*** | (15) | 4/4/32 | &nbsp;&nbsp;3.515% — Annually | US SOFR — Annually | (13304) |
|  |  | 9316300 | 526650 ***<sup>(E)</sup>*** | (131) | 11/24/33 | &nbsp;&nbsp;US SOFR — Annually | 3.708% — Annually | 526519 |
|  |  | 581800 | 32808 ***<sup>(E)</sup>*** | (8) | 6/6/34 | &nbsp;&nbsp;US SOFR — Annually | 3.645% — Annually | 32800 |
|  |  | 44400 | 2181 ***<sup>(E)</sup>*** | (1) | 2/19/36 | &nbsp;&nbsp;US SOFR — Annually | 3.6145% — Annually | 2180 |
|  |  | 32900 | 1609 ***<sup>(E)</sup>*** | (1) | 3/3/36 | &nbsp;&nbsp;US SOFR — Annually | 3.614% — Annually | 1609 |
|  |  | 2486700 | 22355 ***<sup>(E)</sup>*** | (9) | 6/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.31% — Annually | 22346 |
|  |  | 973000 | 106271 | (33) | 10/27/32 | &nbsp;&nbsp;3.5176% — Annually | US SOFR — Annually | (105620) |
|  |  | 2297700 | 142549 ***<sup>(E)</sup>*** | (32) | 12/4/33 | &nbsp;&nbsp;US SOFR — Annually | 3.77% — Annually | 142517 |
|  |  | 922000 | 27264 ***<sup>(E)</sup>*** | (10) | 3/24/32 | &nbsp;&nbsp;US SOFR — Annually | 3.64% — Annually | 27253 |
|  |  | 422600 | 20644 ***<sup>(E)</sup>*** | (6) | 6/28/37 | &nbsp;&nbsp;US SOFR — Annually | 3.70% — Annually | 20638 |
|  |  | 96100 | 4047 ***<sup>(E)</sup>*** | (2) | 6/20/40 | &nbsp;&nbsp;US SOFR — Annually | 3.75% — Annually | 4045 |
|  |  | 10658000 | 70769 | (40) | 11/9/24 | &nbsp;&nbsp;US SOFR — Annually | 4.7655% — Annually | 94797 |
|  |  | 4645000 | 265740 | (61) | 11/14/32 | &nbsp;&nbsp;3.88% — Annually | US SOFR — Annually | (265175) |
|  |  | 582700 | 13839 | (8) | 11/25/32 | &nbsp;&nbsp;3.477% — Annually | US SOFR — Annually | (13439) |
|  |  | 11786000 | 4714 | (44) | 12/5/24 | &nbsp;&nbsp;4.3515% — Annually | US SOFR — Annually | (11784) |
|  |  | 464700 | 18514 ***<sup>(E)</sup>*** | (16) | 12/10/57 | &nbsp;&nbsp;2.47% — Annually | US SOFR — Annually | 18498 |
|  |  | 539100 | 13370 ***<sup>(E)</sup>*** | (18) | 12/13/57 | &nbsp;&nbsp;2.558% — Annually | US SOFR — Annually | 13351 |
|  |  | 2686000 | 11577 ***<sup>(E)</sup>*** | (12178) | 3/15/33 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | (601) |
|  |  | 2396000 | 3235 ***<sup>(E)</sup>*** | 8489 | 3/15/25 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 5254 |
|  |  | 45973000 | 16550 ***<sup>(E)</sup>*** | (149071) | 3/15/25 | &nbsp;&nbsp;4.10% — Annually | US SOFR — Annually | (132521) |
|  |  | 23587000 | 385883 ***<sup>(E)</sup>*** | 323650 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | (62233) |
|  |  | 15579000 | 172460 ***<sup>(E)</sup>*** | (218075) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | (390535) |
|  |  | 5516000 | 37619 ***<sup>(E)</sup>*** | 269624 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | 232005 |
|  |  | 296000 | 13962 | (10) | 12/29/52 | &nbsp;&nbsp;US SOFR — Annually | 3.1925% — Annually | 13639 |
|  |  | 1266000 | 35397 | (17) | 12/29/32 | &nbsp;&nbsp;3.5235% — Annually | US SOFR — Annually | (34471) |
|  |  | 1795000 | 21720 | (24) | 1/6/33 | &nbsp;&nbsp;3.3345% — Annually | US SOFR — Annually | (20477) |
|  |  | 846000 | 6362 | (7) | 1/6/28 | &nbsp;&nbsp;3.5615% — Annually | US SOFR — Annually | (5911) |
|  |  | 2572000 | 5633 | (10) | 1/6/25 | &nbsp;&nbsp;4.3875% — Annually | US SOFR — Annually | (5781) |
|  |  | 1362000 | 22623 | (18) | 1/6/33 | &nbsp;&nbsp;3.388% — Annually | US SOFR — Annually | (21730) |
|  |  | 1851000 | 23063 | (15) | 1/9/28 | &nbsp;&nbsp;3.6695% — Annually | US SOFR — Annually | (22323) |
|  |  | 40000 | 166 |  | 1/9/25 | &nbsp;&nbsp;4.487% — Annually | US SOFR — Annually | (170) |
|  |  | 2672000 | 44115 | (35) | 1/9/33 | &nbsp;&nbsp;3.3865% — Annually | US SOFR — Annually | (42576) |
|  |  | 889500 | 836 | (30) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9445% — Annually | (1608) |
|  |  | 889500 | 1103 | (30) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.943% — Annually | (1875) |
|  |  | 2049000 | 1086 | (27) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.197% — Annually | (273) |
|  |  | 1477000 | 10147 | (19) | 1/12/33 | &nbsp;&nbsp;3.272% — Annually | US SOFR — Annually | (9313) |
|  |  | 2383000 | 548 | (19) | 1/13/28 | &nbsp;&nbsp;US SOFR — Annually | 3.3965% — Annually | (620) |
|  |  | 2547000 | 4330 | (10) | 1/17/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1565% — Annually | (4502) |
|  |  | 788000 | 3798 | (10) | 1/17/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1335% — Annually | (4195) |
|  |  | 701500 | 8664 | (24) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.8855% — Annually | (9104) |
|  |  | 701500 | 8867 | (24) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.884% — Annually | (9307) |
|  |  | 2246000 | 1550 | (76) | 1/18/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9451% — Annually | (2817) |
|  |  | 14332100 | 17772 | (135) | 1/24/28 | &nbsp;&nbsp;US SOFR — Annually | 3.36% — Annually | (15770) |
|  |  | 2871000 | 3732 | (38) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.175% — Annually | (4941) |
|  |  | 1863000 | 1788 | (7) | 1/19/25 | &nbsp;&nbsp;US SOFR — Annually | 4.19% — Annually | (1872) |
|  |  | 310000 | 43 | (4) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.192% — Annually | (85) |
|  |  | 1381000 | 1063 | (18) | 1/19/33 | &nbsp;&nbsp;3.1995% — Annually | US SOFR — Annually | (531) |
|  |  | 10055000 | 29361 | (38) | 1/23/25 | &nbsp;&nbsp;4.082% — Annually | US SOFR — Annually | 29887 |
|  |  | 4941000 | 37502 | (40) | 1/23/28 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | (38884) |
|  |  | 4086000 | 8049 | (54) | 1/24/33 | &nbsp;&nbsp;3.167% — Annually | US SOFR — Annually | 9030 |
|  |  | 2395000 | 1078 | (32) | 1/30/33 | &nbsp;&nbsp;3.19529% — Annually | US SOFR — Annually | (962) |
|  | AUD | 9400 | 1322 ***<sup>(E)</sup>*** |  | 1/30/35 | &nbsp;&nbsp;1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1322 |
|  | AUD | 32200 | 4918 ***<sup>(E)</sup>*** |  | 3/5/35 | &nbsp;&nbsp;1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 4917 |
|  | AUD | 12000 | 1877 ***<sup>(E)</sup>*** |  | 3/25/35 | &nbsp;&nbsp;1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1877 |
|  | AUD | 20900 | 2819 ***<sup>(E)</sup>*** |  | 3/28/40 | &nbsp;&nbsp;1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 2819 |
|  | AUD | 76000 | 11177 ***<sup>(E)</sup>*** | (1) | 4/1/40 | &nbsp;&nbsp;1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 11176 |
|  | AUD | 5000 | 1218 ***<sup>(E)</sup>*** |  | 7/2/45 | &nbsp;&nbsp;1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1218 |
|  | AUD | 200000 | 21414 | (2) | 4/6/31 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (22073) |
|  | AUD | 900000 | 4968 | 531 | 12/21/32 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.201% — Semiannually | 8497 |
|  | AUD | 750000 | 4526 | 743 | 12/21/27 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.001% — Semiannually | 7648 |
|  | AUD | 904300 | 148392 | 157344 | 11/24/42 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | 7631 |
|  | AUD | 1287000 | 5596 ***<sup>(E)</sup>*** | 2800 | 3/15/33 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.05% — Semiannually | (2796) |
|  | AUD | 2009000 | 950 ***<sup>(E)</sup>*** | (1305) | 3/15/25 | &nbsp;&nbsp;3.72% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | (2255) |
|  | CAD | 640000 | 3208 | 2222 | 12/21/27 | &nbsp;&nbsp;3 month CAD-BA-CDOR — Semiannually | 3.501% — Semiannually | 4695 |
|  | CAD | 730000 | 9892 | 1853 | 12/21/32 | &nbsp;&nbsp;3 month CAD-BA-CDOR — Semiannually | 3.551% — Semiannually | 10938 |
|  | CAD | 780000 | 26902 | (16522) | 12/21/52 | &nbsp;&nbsp;3 month CAD-BA-CDOR — Semiannually | 3.601% — Semiannually | 9550 |
|  | CAD | 2204000 | 1342 ***<sup>(E)</sup>*** | 9103 | 3/15/25 | &nbsp;&nbsp;4.15% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 7761 |
|  | CAD | 1104000 | 5908 ***<sup>(E)</sup>*** | (12875) | 3/15/33 | &nbsp;&nbsp;3.24% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | (6967) |
|  | CHF | 340000 | 5890 ***<sup>(E)</sup>*** | 563 | 3/15/33 | &nbsp;&nbsp;Swiss Average Rate Overnight — Annually | 1.55% — Annually | (5327) |
|  | CNY | 119892000 | 94750 ***<sup>(E)</sup>*** |  | 6/21/28 | &nbsp;&nbsp;China Fixing Repo Rates 7 day — Quarterly | 2.86% — Quarterly | (94750) |
|  | EUR | 60400 | 6140 ***<sup>(E)</sup>*** | (2) | 11/29/58 | &nbsp;&nbsp;1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 6138 |
|  | EUR | 82300 | 18657 | (3) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (17879) |
|  | EUR | 91000 | 22270 | (3) | 3/11/50 | &nbsp;&nbsp;1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | 21721 |
|  | EUR | 91800 | 23539 | (4) | 3/12/50 | &nbsp;&nbsp;1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 23041 |
|  | EUR | 260300 | 72161 | (10) | 3/26/50 | &nbsp;&nbsp;1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 71347 |
|  | EUR | 420000 | 54596 ***<sup>(E)</sup>*** | (16) | 11/29/58 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (54612) |
|  | EUR | 283000 | 82202 | (11) | 2/19/50 | &nbsp;&nbsp;1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 80332 |
|  | EUR | 87500 | 22860 ***<sup>(E)</sup>*** | (3) | 6/7/54 | &nbsp;&nbsp;1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 22856 |
|  | EUR | 79600 | 25592 | (3) | 2/19/50 | &nbsp;&nbsp;0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 25179 |
|  | EUR | 211200 | 72503 | (9) | 2/21/50 | &nbsp;&nbsp;0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 71677 |
|  | EUR | 258600 | 98668 ***<sup>(E)</sup>*** | (10) | 8/8/54 | &nbsp;&nbsp;0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 98658 |
|  | EUR | 107000 | 47961 ***<sup>(E)</sup>*** | (4) | 6/6/54 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (47965) |
|  | EUR | 312300 | 144475 | (11) | 2/19/50 | &nbsp;&nbsp;0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 144873 |
|  | EUR | 585500 | 226253 | (22) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | (225002) |
|  | EUR | 115200 | 54331 ***<sup>(E)</sup>*** | (4) | 3/4/54 | &nbsp;&nbsp;0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 54327 |
|  | EUR | 81200 | 44746 ***<sup>(E)</sup>*** | (3) | 3/13/54 | &nbsp;&nbsp;— | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 44743 |
|  | EUR | 302300 | 57559 ***<sup>(E)</sup>*** | (6) | 5/13/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (57565) |
|  | EUR | 55900 | 10409 ***<sup>(E)</sup>*** | (1) | 6/24/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 10408 |
|  | EUR | 133400 | 25394 ***<sup>(E)</sup>*** | (3) | 1/16/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 25391 |
|  | EUR | 52200 | 9832 ***<sup>(E)</sup>*** | (1) | 3/28/40 | &nbsp;&nbsp;0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 9831 |
|  | EUR | 238200 | 97102 | (10) | 5/21/51 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (97409) |
|  | EUR | 51000 | 10989 | (1) | 6/14/31 | &nbsp;&nbsp;0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 11120 |
|  | EUR | 377200 | 85340 | (6) | 7/15/31 | &nbsp;&nbsp;0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 85712 |
|  | EUR | 146400 | 65201 | (6) | 9/14/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (65868) |
|  | EUR | 446000 | 87082 | (7) | 3/7/32 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (87062) |
|  | EUR | 2262200 | 16920 ***<sup>(E)</sup>*** | (36) | 2/2/36 | &nbsp;&nbsp;2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | (16956) |
|  | EUR | 1286300 | 28318 | (19) | 9/8/32 | &nbsp;&nbsp;2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 21739 |
|  | EUR | 3113800 | 99355 ***<sup>(E)</sup>*** | (12) | 6/28/25 | &nbsp;&nbsp;1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 99343 |
|  | EUR | 2251000 | 362573 | (78) | 8/29/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (356550) |
|  | EUR | 475600 | 22936 ***<sup>(E)</sup>*** | (5) | 9/12/29 | &nbsp;&nbsp;1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | 22931 |
|  | EUR | 4691000 | 338934 | (45) | 9/2/27 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (336105) |
|  | EUR | 55700 | 2866 ***<sup>(E)</sup>*** | (2) | 6/6/54 | &nbsp;&nbsp;2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 2864 |
|  | EUR | 82000 | 3131 ***<sup>(E)</sup>*** | (3) | 6/7/54 | &nbsp;&nbsp;2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 3128 |
|  | EUR | 5850000 | 121791 | 93953 | 12/21/24 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 2.201% — Annually | (31422) |
|  | EUR | 4180000 | 217353 | 164751 | 12/21/32 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 2.301% — Annually | (54664) |
|  | EUR | 470000 | 756 | (13303) | 12/21/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 2.351% — Annually | (12751) |
|  | EUR | 2960000 | 97215 | 68570 | 12/21/27 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 2.251% — Annually | (30282) |
|  | EUR | 10846000 | 88670 | (40) | 10/10/24 | &nbsp;&nbsp;2.7975% — Annually | 6 month EUR-EURIBOR — Semiannually | 57036 |
|  | EUR | 217500 | 9387 ***<sup>(E)</sup>*** | (3) | 2/18/36 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | 9384 |
|  | EUR | 55700 | 1704 ***<sup>(E)</sup>*** | (1) | 8/22/39 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | 1703 |
|  | EUR | 2766100 | 31605 ***<sup>(E)</sup>*** | (19) | 6/26/28 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 31587 |
|  | EUR | 116500 | 3332 ***<sup>(E)</sup>*** | (2) | 3/28/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | 3330 |
|  | EUR | 930000 | 22112 ***<sup>(E)</sup>*** | (8427) | 3/15/33 | &nbsp;&nbsp;2.625% — Annually | 6 month EUR-EURIBOR — Semiannually | 13684 |
|  | EUR | 2730000 | 23832 ***<sup>(E)</sup>*** | 25 | 3/15/25 | &nbsp;&nbsp;2.90% — Annually | 6 month EUR-EURIBOR — Semiannually | 23858 |
|  | GBP | 83100 | 19237 | (2) | 5/19/31 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.754% — Annually | (20160) |
|  | GBP | 19660400 | 501976 | 16286 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.84% — Annually | (646966) |
|  | GBP | 19660400 | 525244 | 24456 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.68% — Annually | (676190) |
|  | GBP | 19660400 | 548271 | (38182) | 9/15/23 | &nbsp;&nbsp;0.52% — Annually | Sterling Overnight Index Average — Annually | 699617 |
|  | GBP | 7864200 | 187799 | (41) | 9/15/23 | &nbsp;&nbsp;1.065% — Annually | Sterling Overnight Index Average — Annually | 242312 |
|  | GBP | 40000 | 1840 | (2060) | 12/21/52 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.401% — Annually | (213) |
|  | GBP | 710000 | 2188 | 8223 | 12/21/32 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.351% — Annually | 6114 |
|  | GBP | 700000 | 11771 | 20551 | 12/21/27 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.301% — Annually | 8809 |
|  | GBP | 2874000 | 39011 | (43) | 9/21/32 | &nbsp;&nbsp;3.522% — Annually | Sterling Overnight Index Average — Annually | (47803) |
|  | GBP | 89000 | 654 ***<sup>(E)</sup>*** | (2) | 1/14/40 | &nbsp;&nbsp;3.306% — Annually | Sterling Overnight Index Average — Annually | (656) |
|  | GBP | 46000 | 341 ***<sup>(E)</sup>*** | (1) | 8/20/39 | &nbsp;&nbsp;3.299% — Annually | Sterling Overnight Index Average — Annually | (342) |
|  | GBP | 9694000 | 276074 | (41) | 11/7/24 | &nbsp;&nbsp;5.495% — Annually | Sterling Overnight Index Average — Annually | (343126) |
|  | GBP | 3665000 | 356095 | (58) | 11/9/32 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 4.35% — Annually | 368563 |
|  | GBP | 65300 | 3186 ***<sup>(E)</sup>*** | (1) | 2/26/39 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.778% — Annually | 3185 |
|  | GBP | 517000 | 3321 ***<sup>(E)</sup>*** | 56 | 3/15/25 | &nbsp;&nbsp;4.29% — Annually | Sterling Overnight Index Average — Annually | (3265) |
|  | GBP | 27000 | 216 ***<sup>(E)</sup>*** | 479 | 3/15/33 | &nbsp;&nbsp;3.45% — Annually | Sterling Overnight Index Average — Annually | 263 |
|  | NOK | 4527000 | 2907 ***<sup>(E)</sup>*** | (1058) | 3/15/33 | &nbsp;&nbsp;6 month NOK-NIBOR-NIBR — Semiannually | 2.965% — Annually | (3965) |
|  | NZD | 449000 | 1579 ***<sup>(E)</sup>*** | (471) | 3/15/33 | &nbsp;&nbsp;3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | 1107 |
|  | SEK | 16289000 | 24673 ***<sup>(E)</sup>*** | (4535) | 3/15/33 | &nbsp;&nbsp;2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 20138 |
|  | **Total** |  |  | **$620776** |  |  |  | **$1526537** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments received<br>(paid) by fund** | **Total return received by or paid by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| $492994 | $440676 | $— | 9/29/25 | &nbsp;&nbsp;(0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/25 — Annually | $(47676) |
| 469326 | 449412 |  | 7/17/24 | &nbsp;&nbsp;3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019-01, 7/10/24 — Quarterly | (18673) |
| **Upfront premium received** | **Upfront premium received** | **—** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | **—** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **—** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | **(66349)** |
|  | **Total** | **$—** |  |  | **Total** | **$(66349)** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | $40115 | $71000 | $14867 | 11/18/54 | 500 bp — Monthly | $25317 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 5002 | 53000 | 13642 | 12/16/72 | 500 bp — Monthly | (8589) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 6250 | 57000 | 13127 | 12/16/72 | 500 bp — Monthly | (6822) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 30268 | 144227 | 53277 | 5/11/63 | 500 bp — Monthly | (22869) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 15922 | 312000 | 101899 | 1/17/47 | 500 bp — Monthly | (85673) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 407 | 2000 | 610 | 9/17/58 | 500 bp — Monthly | (201) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 14500 | 71000 | 21662 | 9/17/58 | 500 bp — Monthly | (7093) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 3722 | 30000 | 5406 | 11/17/59 | 300 bp — Monthly | (1666) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 5782 | 53000 | 9551 | 11/17/59 | 300 bp — Monthly | (3738) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 592 | 19000 | 3310 | 12/16/72 | 300 bp — Monthly | (2707) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 1050 | 21000 | 3658 | 12/16/72 | 300 bp — Monthly | (2596) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 104 | 1000 | 176 | 11/18/64 | 300 bp — Monthly | (71) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 8159 | 61000 | 19923 | 1/17/47 | 500 bp — Monthly | (11704) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (228) | 43000 | 3423 | 12/16/72 | 200 bp — Monthly | (3634) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 99 | 889 | 130 | 5/11/63 | 200 bp — Monthly | (31) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 721 | 6223 | 908 | 5/11/63 | 200 bp — Monthly | (184) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 1250 | 13000 | 3346 | 12/16/72 | 500 bp — Monthly | (2083) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 64 | 1000 | 146 | 11/18/54 | 300 bp — Monthly | (82) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 298 | 5000 | 996 | 12/16/72 | 300 bp — Monthly | (695) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 296 | 5000 | 996 | 12/16/72 | 300 bp — Monthly | (697) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 2325 | 37000 | 7367 | 12/16/72 | 300 bp — Monthly | (5020) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 267 | 3000 | 529 | 11/18/64 | 300 bp — Monthly | (260) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 277 | 3000 | 529 | 11/18/64 | 300 bp — Monthly | (250) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | &nbsp;&nbsp;B+/P | 2648 | 33000 | 10395 | 5/11/63 | 500 bp — Monthly | (7715) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 51480 | 68354 | 25250 | 5/11/63 | 500 bp — Monthly | 26296 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 10133 | 92000 | 13469 | 11/18/54 | 300 bp — Monthly | (3282) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 7799 | 59000 | 11747 | 12/16/72 | 300 bp — Monthly | (3914) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 4695 | 20000 | 3774 | 1/17/47 | 300 bp — Monthly | 933 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 4054 | 26000 | 4168 | 10/17/57 | 300 bp — Monthly | (98) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (251) | 30000 | 2388 | 12/16/72 | 200 bp — Monthly | (2627) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (276) | 46000 | 3662 | 12/16/72 | 200 bp — Monthly | (3920) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (1551) | 104000 | 8278 | 12/16/72 | 200 bp — Monthly | (9789) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | 5770 | 493000 | 39243 | 12/16/72 | 200 bp — Monthly | (33418) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 377 | 4000 | 1030 | 12/16/72 | 500 bp — Monthly | (648) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 554 | 6000 | 1544 | 12/16/72 | 500 bp — Monthly | (984) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 11787 | 32810 | 12120 | 5/11/63 | 500 bp — Monthly | (301) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 23902 | 66303 | 24492 | 5/11/63 | 500 bp — Monthly | (526) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 296 | 5000 | 996 | 12/16/72 | 300 bp — Monthly | (697) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 15616 | 210000 | 41811 | 12/16/72 | 300 bp — Monthly | (26073) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **276581** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **52546** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **(2306)** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(260657)** |
|  | **Total** |  | **$274275** |  |  |  | **Total** | **$(208111)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

---

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | $(664) | $3556 | $519 | 5/11/63 | (200 bp) — Monthly | $(147) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (164) | 889 | 130 | 5/11/63 | (200 bp) — Monthly | (35) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (162) | 889 | 130 | 5/11/63 | (200 bp) — Monthly | (33) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (81) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (16) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (82) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (17) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (82) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (17) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (101) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (36) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (20735) | 86000 | 27090 | 11/17/59 | (500 bp) — Monthly | 6272 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (18870) | 74000 | 23310 | 11/17/59 | (500 bp) — Monthly | 4368 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (3861) | 37000 | 11655 | 11/17/59 | (500 bp) — Monthly | 7758 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (3399) | 31000 | 9765 | 11/17/59 | (500 bp) — Monthly | 6336 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (5127) | 71000 | 14867 | 11/18/54 | (500 bp) — Monthly | 9672 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (2607) | 20293 | 7242 | 10/17/57 | (500 bp) — Monthly | 4615 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (5168) | 14495 | 5173 | 10/17/57 | (500 bp) — Monthly | (9) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (527) | 2899 | 1035 | 10/17/57 | (500 bp) — Monthly | 505 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4334) | 34000 | 6127 | 11/17/59 | (300 bp) — Monthly | 1773 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (8640) | 29000 | 5226 | 11/17/59 | (300 bp) — Monthly | (3431) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4875) | 21000 | 3784 | 11/17/59 | (300 bp) — Monthly | (1103) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (2953) | 12000 | 2162 | 11/17/59 | (300 bp) — Monthly | (797) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (1431) | 6000 | 1081 | 11/17/59 | (300 bp) — Monthly | (354) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (789) | 5000 | 901 | 11/17/59 | (300 bp) — Monthly | 109 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (5028) | 35000 | 5124 | 11/18/54 | (300 bp) — Monthly | 75 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (2881) | 9000 | 1318 | 11/18/54 | (300 bp) — Monthly | (1568) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (147) | 1000 | 146 | 11/18/54 | (300 bp) — Monthly | (1) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (20212) | 115000 | 20447 | 8/17/61 | (300 bp) — Monthly | 168 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (31283) | 90000 | 16002 | 8/17/61 | (300 bp) — Monthly | (15334) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (3276) | 48000 | 8534 | 8/17/61 | (300 bp) — Monthly | 5231 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (15365) | 46000 | 8179 | 8/17/61 | (300 bp) — Monthly | (7213) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (15466) | 44000 | 7823 | 8/17/61 | (300 bp) — Monthly | (7669) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (14368) | 43000 | 7645 | 8/17/61 | (300 bp) — Monthly | (6748) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5096) | 30000 | 5334 | 8/17/61 | (300 bp) — Monthly | 220 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5641) | 25000 | 4445 | 8/17/61 | (300 bp) — Monthly | (1211) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4065) | 24000 | 4267 | 8/17/61 | (300 bp) — Monthly | 188 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5639) | 16000 | 2845 | 8/17/61 | (300 bp) — Monthly | (2803) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (7199) | 95000 | 18915 | 12/16/72 | (300 bp) — Monthly | 11660 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (336) | 3000 | 523 | 12/16/72 | (300 bp) — Monthly | 184 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (656) | 3000 | 566 | 1/17/47 | (300 bp) — Monthly | (92) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (15300) | 102000 | 16351 | 10/17/57 | (300 bp) — Monthly | 991 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (8325) | 60000 | 9618 | 10/17/57 | (300 bp) — Monthly | 1258 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (6523) | 49000 | 7855 | 10/17/57 | (300 bp) — Monthly | 1303 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (4163) | 30000 | 4809 | 10/17/57 | (300 bp) — Monthly | 629 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (1431) | 10000 | 1603 | 10/17/57 | (300 bp) — Monthly | 166 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (946) | 4000 | 702 | 9/17/58 | (300 bp) — Monthly | (246) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (10274) | 77000 | 24255 | 11/17/59 | (500 bp) — Monthly | 13907 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (9157) | 77000 | 24255 | 11/17/59 | (500 bp) — Monthly | 15024 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (5096) | 41000 | 12915 | 11/17/59 | (500 bp) — Monthly | 7779 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (8049) | 311693 | 115140 | 5/11/63 | (500 bp) — Monthly | 106788 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (29146) | 158000 | 51603 | 1/17/47 | (500 bp) — Monthly | 22304 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (2467) | 15000 | 4899 | 1/17/47 | (500 bp) — Monthly | 2417 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (16057) | 98000 | 32007 | 1/17/47 | (500 bp) — Monthly | 15855 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (19290) | 95000 | 31027 | 1/17/47 | (500 bp) — Monthly | 11645 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (4557) | 12562 | 4483 | 10/17/57 | (500 bp) — Monthly | (86) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (602) | 5000 | 1526 | 9/17/58 | (500 bp) — Monthly | 919 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (313) | 3000 | 915 | 9/17/58 | (500 bp) — Monthly | 599 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (319) | 2000 | 610 | 9/17/58 | (500 bp) — Monthly | 290 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (158) | 1000 | 305 | 9/17/58 | (500 bp) — Monthly | 146 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (40540) | 227000 | 40361 | 8/17/61 | (300 bp) — Monthly | (312) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (34234) | 191000 | 33960 | 8/17/61 | (300 bp) — Monthly | (386) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (11145) | 33000 | 5867 | 8/17/61 | (300 bp) — Monthly | (5297) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (3107) | 41000 | 8163 | 12/16/72 | (300 bp) — Monthly | 5032 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (276) | 3000 | 523 | 12/16/72 | (300 bp) — Monthly | 244 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (284) | 3000 | 523 | 12/16/72 | (300 bp) — Monthly | 237 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (126) | 2000 | 348 | 12/16/72 | (300 bp) — Monthly | 221 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (206) | 2000 | 348 | 12/16/72 | (300 bp) — Monthly | 141 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (217) | 2000 | 348 | 12/16/72 | (300 bp) — Monthly | 130 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (8487) | 55000 | 8817 | 10/17/57 | (300 bp) — Monthly | 297 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (3105) | 24000 | 3847 | 10/17/57 | (300 bp) — Monthly | 728 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4413) | 35000 | 6307 | 11/17/59 | (300 bp) — Monthly | 1873 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (1138) | 13000 | 2265 | 12/16/72 | (300 bp) — Monthly | 1119 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (305) | 5000 | 871 | 12/16/72 | (300 bp) — Monthly | 563 |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (4211) | 74000 | 23310 | 11/17/59 | (500 bp) — Monthly | 19028 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (5378) | 31000 | 10125 | 1/17/47 | (500 bp) — Monthly | 4717 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (13217) | 61000 | 10992 | 11/17/59 | (300 bp) — Monthly | (2260) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (1311) | 16000 | 3019 | 1/17/47 | (300 bp) — Monthly | 1699 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (4261) | 23000 | 4039 | 9/17/58 | (300 bp) — Monthly | (235) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (1667) | 9000 | 1580 | 9/17/58 | (300 bp) — Monthly | (92) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (3880) | 37000 | 11655 | 11/17/59 | (500 bp) — Monthly | 7739 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (10024) | 33000 | 10395 | 11/17/59 | (500 bp) — Monthly | 339 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (7515) | 32000 | 10080 | 11/17/59 | (500 bp) — Monthly | 2534 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (3278) | 17000 | 5552 | 1/17/47 | (500 bp) — Monthly | 2258 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (352) | 4000 | 1220 | 9/17/58 | (500 bp) — Monthly | 865 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (123) | 2000 | 610 | 9/17/58 | (500 bp) — Monthly | 485 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (8117) | 64000 | 11533 | 11/17/59 | (300 bp) — Monthly | 3379 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (3954) | 33000 | 5947 | 11/17/59 | (300 bp) — Monthly | 1973 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (7314) | 30000 | 5406 | 11/17/59 | (300 bp) — Monthly | (1925) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4553) | 21000 | 3784 | 11/17/59 | (300 bp) — Monthly | (781) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4109) | 19000 | 3424 | 11/17/59 | (300 bp) — Monthly | (696) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (1727) | 14000 | 2523 | 11/17/59 | (300 bp) — Monthly | 787 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (433) | 5000 | 901 | 11/17/59 | (300 bp) — Monthly | 465 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (15363) | 48000 | 7027 | 11/18/54 | (300 bp) — Monthly | (8364) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (10287) | 79000 | 14046 | 8/17/61 | (300 bp) — Monthly | 3713 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (1649) | 40000 | 7112 | 8/17/61 | (300 bp) — Monthly | 5440 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4382) | 21000 | 3734 | 8/17/61 | (300 bp) — Monthly | (661) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4320) | 13000 | 2311 | 8/17/61 | (300 bp) — Monthly | (2017) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (11402) | 185000 | 36834 | 12/16/72 | (300 bp) — Monthly | 25324 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (962) | 6000 | 1045 | 12/16/72 | (300 bp) — Monthly | 80 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (158) | 1000 | 174 | 12/16/72 | (300 bp) — Monthly | 15 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (41) | 1000 | 189 | 1/17/47 | (300 bp) — Monthly | 147 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (44741) | 292000 | 46808 | 10/17/57 | (300 bp) — Monthly | 1897 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (25875) | 167000 | 26770 | 10/17/57 | (300 bp) — Monthly | 798 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (7504) | 59000 | 9458 | 10/17/57 | (300 bp) — Monthly | 1919 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (5963) | 47000 | 7534 | 10/17/57 | (300 bp) — Monthly | 1544 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (6859) | 44000 | 7053 | 10/17/57 | (300 bp) — Monthly | 169 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (4531) | 29000 | 4649 | 10/17/57 | (300 bp) — Monthly | 101 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (4063) | 25000 | 4008 | 10/17/57 | (300 bp) — Monthly | (70) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (3119) | 23000 | 3687 | 10/17/57 | (300 bp) — Monthly | 554 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (3149) | 22000 | 3527 | 10/17/57 | (300 bp) — Monthly | 365 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (2044) | 15000 | 2405 | 10/17/57 | (300 bp) — Monthly | 349 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **360422** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(712902)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(72062)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(712902)** |  |  |  | **Total** | **$288360** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

---

------

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| | | | |
|:---|:---|:---|:---|
|  | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** |
| AUD | Australian Dollar | Australian Dollar | Australian Dollar |
| CAD | Canadian Dollar | Canadian Dollar | Canadian Dollar |
| CHF | Swiss Franc | Swiss Franc | Swiss Franc |
| CNY | Chinese Yuan (Onshore) | Chinese Yuan (Onshore) | Chinese Yuan (Onshore) |
| DKK | Danish Krone | Danish Krone | Danish Krone |
| EUR | Euro | Euro | Euro |
| GBP | British Pound | British Pound | British Pound |
| JPY | Japanese Yen | Japanese Yen | Japanese Yen |
| MXN | Mexican Peso | Mexican Peso | Mexican Peso |
| MYR | Malaysian Ringgit | Malaysian Ringgit | Malaysian Ringgit |
| NOK | Norwegian Krone | Norwegian Krone | Norwegian Krone |
| NZD | New Zealand Dollar | New Zealand Dollar | New Zealand Dollar |
| PLN | Polish Zloty | Polish Zloty | Polish Zloty |
| SEK | Swedish Krona | Swedish Krona | Swedish Krona |
| THB | Thai Baht | Thai Baht | Thai Baht |
| USD / $| United States Dollar | United States Dollar | United States Dollar |
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| bp | Basis Points | Basis Points | Basis Points |
| CME | Chicago Mercantile Exchange | Chicago Mercantile Exchange | Chicago Mercantile Exchange |
| DAC | Designated Activity Company | Designated Activity Company | Designated Activity Company |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| GMTN | Global Medium Term Notes | Global Medium Term Notes | Global Medium Term Notes |
| ICE | Intercontinental Exchange | Intercontinental Exchange | Intercontinental Exchange |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only | Interest Only | Interest Only |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate | London Interbank Offered Rate |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs | Real Estate Mortgage Investment Conduits | Real Estate Mortgage Investment Conduits | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $151,420,113. | Percentages indicated are based on net assets of $151,420,113. | Percentages indicated are based on net assets of $151,420,113. |
| ***<sup>(AFF)</sup>*** | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Fair value<br>as of<br>10/31/22** | **Shares outstanding<br>and fair<br>value as of<br>1/31/23** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\*\* | $6603751 | $9693286 |
|  | **Total Short-term investments** | **$6603751** | **$9693286** |
|  | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $728,633. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $728,633. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $728,633. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $271,744. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $271,744. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $271,744. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $1,211,402. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $1,211,402. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $1,211,402. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(R)</sup>*** | Real Estate Investment Trust. | Real Estate Investment Trust. | Real Estate Investment Trust. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **DIVERSIFICATION BY COUNTRY<sup>⌂</sup>** |  |  |
|  | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): |
|  | United States | 76.6% |  |
|  | Japan | 4.8 |  |
|  | France | 2.3 |  |
|  | Cayman Islands | 1.9 |  |
|  | United Kingdom | 1.8 |  |
|  | Italy | 1.6 |  |
|  | Spain | 1.3 |  |
|  | Canada | 1.1 |  |
|  | Indonesia | 0.8 |  |
|  | Switzerland | 0.8 |  |
|  | Mexico | 0.7 |  |
|  | Australia | 0.6 |  |
|  | Uruguay | 0.5 |  |
|  | Netherlands | 0.5 |  |
|  | Other | 4.7 |  |
|  | **Total** | **100.0%** |  |
|  | <sup>⌂</sup> Methodology differs from that used for purposes of complying with the fund's policy regarding investments in securities of foreign issuers, as discussed further in the fund's prospectus. | <sup>⌂</sup> Methodology differs from that used for purposes of complying with the fund's policy regarding investments in securities of foreign issuers, as discussed further in the fund's prospectus. | <sup>⌂</sup> Methodology differs from that used for purposes of complying with the fund's policy regarding investments in securities of foreign issuers, as discussed further in the fund's prospectus. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies. |
|  | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|  | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. |
|  | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $111,904 at the close of the reporting period. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $111,904 at the close of the reporting period. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $111,904 at the close of the reporting period. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $424,270 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $271,744 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $424,270 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $271,744 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $424,270 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $271,744 and may include amounts related to unsettled agreements. |

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|:---|:---|:---|:---|
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| Asset-backed securities | $— | $1382934 | $— |
| Collateralized loan obligations |  | 6109078 |  |
| Corporate bonds and notes |  | 34091555 |  |
| Foreign government and agency bonds and notes |  | 49290329 |  |
| Mortgage-backed securities |  | 43251444 |  |
| U.S. government and agency mortgage obligations |  | 125109617 |  |
| U.S. treasury obligations |  | 116127 |  |
| Short-term investments | 2936000 | 12278684 |  |
| **Totals by level** | **$2936000** | **$271629768** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Forward currency contracts | $— | $794826 | $— |
| Futures contracts | 153295 |  |  |
| Forward premium swap option contracts |  | 844833 |  |
| TBA sale commitments |  | (44296552) |  |
| Interest rate swap contracts |  | 905761 |  |
| Total return swap contracts |  | (66349) |  |
| Credit default contracts |  | 518876 |  |
| **Totals by level** | **$153295** | **$(41298605)** | **$—** |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $238300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written swap option contracts (contract amount) | $115900000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 300 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts (contract amount) | $163000000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $694300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC total return swap contracts (notional) | $960000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $7100000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Global Income Trust

- **b. Investment Company Act file number:** 811-04524

- **c. CIK number of Registrant:** 0000794614

- **d. LEI of Registrant:** YG36PGJJVUMHC9JGGU34

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Global Income Trust

- **b. EDGAR series identifier (if any):** S000005653

- **c. LEI of Series:** YG36PGJJVUMHC9JGGU34

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $310479481.55

**Total Liabilities:** $159063098.95

**Net Assets:** $151416382.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 875.84 | **1-Year:** 11493.09 | **5-Year:** 24543.03 | **10-Year:** 31177.71 | **30-Year:** 18108.29

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

- **3-Month:** 22.13 | **1-Year:** 276.51 | **5-Year:** 1177.17 | **10-Year:** 1005.92 | **30-Year:** 5.05

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000015446 | 2.76%                | -0.30%               | 4.78%                |
| Class ID C000015448 | 2.80%                | -0.13%               | 4.83%                |
| Class ID C000015449 | 2.76%                | -0.30%               | 4.78%                |
| Class ID C000015451 | 2.79%                | -0.25%               | 4.81%                |
| Class ID C000015447 | 2.93%                | -0.21%               | 4.85%                |
| Class ID C000118067 | 2.83%                | -0.10%               | 4.86%                |
| Class ID C000118068 | 2.84%                | -0.09%               | 4.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3553.40                 | $4526805.53                                |
| Month 2  | $1417391.07              | $-2313402.15                               |
| Month 3  | $-1067469.88             | $8339209.60                                |

**Designated Index Information**

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

- **Index Identifier:** IDX01405

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2006-15                                                  | ASSET BACKED SECURITY                 | CUSIP: 3622E8AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928433 | PA      | $309437.39    | 0.20%             | 2036-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2003-4                                       | ASSET BACKED SECURITY                 | CUSIP: 759950BP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143387 | PA      | $129284.86    | 0.09%             | 2034-03-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    238453 | PA      | $236155.77    | 0.16%             | 2029-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO V-B LTD                                             | ASSET BACKED SECURITY                 | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248340.50    | 0.16%             | 2031-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-MBS          | CORP              | KY        |    364000 | PA      | $358907.64    | 0.24%             | 2032-07-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO II LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    313000 | PA      | $309250.89    | 0.20%             | 2032-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| 1828 CLO LTD                                                                    | ASSET BACKED SECURITY                 | CUSIP: 282523AH2<br>LEI: 549300TR3WW6GC2PC544 | Long             | ABS-CBDO         | CORP              | KY        |    398485 | PA      | $396125.79    | 0.26%             | 2031-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                                   | ASSET BACKED SECURITY                 | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    263000 | PA      | $259430.83    | 0.17%             | 2034-07-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491339.00    | 0.32%             | 2034-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-C                                          | ASSET BACKED SECURITY                 | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282195 | PA      | $245510.05    | 0.16%             | 2061-03-01      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 2 LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245692.25    | 0.16%             | 2034-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-1 LLC                                                              | ASSET BACKED SECURITY                 | CUSIP: 00141YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $246318.25    | 0.16%             | 2034-04-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2018-1                               | ASSET BACKED SECURITY                 | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245874.50    | 0.16%             | 2031-10-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2021-1 LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 09204WAA2<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-MBS          | CORP              | KY        |    323000 | PA      | $315111.05    | 0.21%             | 2034-11-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES 2006-HE2 TRUST        | ASSET BACKED SECURITY                 | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524691 | PA      | $380948.13    | 0.25%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2019-II LTD                                                     | ASSET BACKED SECURITY                 | CUSIP: 03755CAQ7<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245235.00    | 0.16%             | 2032-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-5                                   | ASSET BACKED SECURITY                 | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034513 | PA      | $325871.65    | 0.22%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXII LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245878.00    | 0.16%             | 2034-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-1 LTD                                                   | ASSET BACKED SECURITY                 | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246237.00    | 0.16%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 92331MAG3<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-MBS          | CORP              | KY        |    200000 | PA      | $194475.60    | 0.13%             | 2029-01-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XII                                                                  | ASSET BACKED SECURITY                 | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $495527.50    | 0.33%             | 2031-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 15137EBN2<br>LEI: 5493002BI0SI5QMH0P08 | Long             | ABS-MBS          | CORP              | KY        |    344277 | PA      | $340634.02    | 0.22%             | 2030-07-27      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1                               | ASSET BACKED SECURITY                 | CUSIP: 70017WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $241520.50    | 0.16%             | 2032-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII LTD                                                                  | ASSET BACKED SECURITY                 | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245489.75    | 0.16%             | 2031-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XIV LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55818RAY2<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245495.25    | 0.16%             | 2030-10-22      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 1 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402563AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246463.25    | 0.16%             | 2033-04-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| VENTURE XIX CLO LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245728.75    | 0.16%             | 2032-01-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2                                  | ASSET BACKED SECURITY                 | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165389 | PA      | $158913.86    | 0.10%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL1 LTD                                            | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418000 | PA      | $408090.81    | 0.27%             | 2036-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-CIBC17                | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46630EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256841 | PA      | $4673.67      | 0.00%             | 2043-12-12      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7460582 | PA      | $83536.14     | 0.06%             | 2047-12-10      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9052743 | PA      | $374564.49    | 0.25%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430954 | PA      | $250373.85    | 0.17%             | 2052-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2020-C8                                                    | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 05552ABG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4649063 | PA      | $444941.32    | 0.29%             | 2053-10-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK30                                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4894308 | PA      | $343564.76    | 0.23%             | 2053-12-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8503323 | PA      | $74691.49     | 0.05%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95000JAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4108228 | PA      | $105638.98    | 0.07%             | 2059-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C33                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46645JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3173104 | PA      | $66111.95     | 0.04%             | 2048-12-15      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9539929 | PA      | $118286.54    | 0.08%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C7                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4193260 | PA      | $150978.33    | 0.10%             | 2050-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645540 | PA      | $6.46         | 0.00%             | 2049-01-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2006-C4                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 22545MAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2112 | PA      | $33.75        | 0.00%             | 2039-09-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| MEZZ CAP COMMERCIAL MORTGAGE TRUST                                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 59317EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1175 | PA      | $0.01         | 0.00%             | 2049-12-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 50179MAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686987 | PA      | $82.30        | 0.00%             | 2039-09-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |   9729856 | PA      | $5364.07      | 0.00%             | 2046-06-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46641BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6984307 | PA      | $21421.57     | 0.01%             | 2046-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174537 | PA      | $1.75         | 0.00%             | 2045-12-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639NAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14442430 | PA      | $144.42       | 0.00%             | 2045-07-15      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR5                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8111404 | PA      | $502440.65    | 0.33%             | 2052-06-13      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $399085.28    | 0.26%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    819000 | PA      | $718848.91    | 0.47%             | 2050-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46654BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915000 | PA      | $627287.03    | 0.41%             | 2042-10-09      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05550MAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201000 | PA      | $178722.81    | 0.12%             | 2052-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    661070 | PA      | $625714.84    | 0.41%             | 2049-10-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765LAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253000 | PA      | $239095.12    | 0.16%             | 2048-05-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314000 | PA      | $265103.86    | 0.18%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-GC30                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36250GAW5<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    286000 | PA      | $259090.26    | 0.17%             | 2050-05-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342000 | PA      | $314617.09    | 0.21%             | 2058-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322AAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $427069.10    | 0.28%             | 2047-03-11      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2011-C3                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760RAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $179339.00    | 0.12%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2015-UBS8                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191000 | PA      | $165930.24    | 0.11%             | 2048-12-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000GBA1<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    707000 | PA      | $638035.47    | 0.42%             | 2049-08-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2016-NXSR                                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12594PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822000 | PA      | $674235.64    | 0.45%             | 2049-12-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RC1                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001FBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $201314.86    | 0.13%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $191282.91    | 0.13%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $244716.37    | 0.16%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2010-C1                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $262947.01    | 0.17%             | 2043-08-10      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764958 | PA      | $677013.34    | 0.45%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120071 | PA      | $115446.18    | 0.08%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $126888.62    | 0.08%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1053000 | PA      | $863460.00    | 0.57%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    777000 | PA      | $605360.70    | 0.40%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE2 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624KAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160437 | PA      | $148013.95    | 0.10%             | 2045-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $112841.48    | 0.07%             | 2045-12-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    274000 | PA      | $242348.94    | 0.16%             | 2046-05-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $336524.01    | 0.22%             | 2046-04-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473000 | PA      | $468084.11    | 0.31%             | 2045-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAS0<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    363000 | PA      | $307170.60    | 0.20%             | 2046-07-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GCJ14                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36198FAP7<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    296000 | PA      | $287629.39    | 0.19%             | 2046-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12626LBP6<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $238072.25    | 0.16%             | 2050-08-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17321RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221000 | PA      | $214577.92    | 0.14%             | 2046-11-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $239779.06    | 0.16%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492000 | PA      | $467505.24    | 0.31%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640UAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $471760.80    | 0.31%             | 2047-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207000 | PA      | $200046.79    | 0.13%             | 2047-02-15      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938VAT2<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $893675.13    | 0.59%             | 2047-03-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942000 | PA      | $861493.76    | 0.57%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE18 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12632QBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393000 | PA      | $371011.65    | 0.25%             | 2047-07-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591000 | PA      | $557061.83    | 0.37%             | 2047-08-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $205351.65    | 0.14%             | 2047-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397000 | PA      | $375323.48    | 0.25%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437000 | PA      | $377430.43    | 0.25%             | 2047-09-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C18                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $264716.32    | 0.17%             | 2047-10-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $101971.08    | 0.07%             | 2047-12-10      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE21 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592RBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433000 | PA      | $409773.45    | 0.27%             | 2047-12-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST I SERIES 2021-BPL1                                              | CORP CMO                              | CUSIP: 62955KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $279217.29    | 0.18%             | 2026-05-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                            | CORP CMO                              | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    267171 | PA      | $248106.26    | 0.16%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2021-1 LTD                                                 | CORP CMO                              | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120000 | PA      | $114525.13    | 0.08%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL2                                                  | CORP CMO                              | CUSIP: 501895AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    365000 | PA      | $340739.91    | 0.23%             | 2026-06-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                         | CORP CMO                              | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13889 | PA      | $13408.31     | 0.01%             | 2041-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                    | CORP CMO                              | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3243 | PA      | $3229.30      | 0.00%             | 2041-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                         | CORP CMO                              | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    251309 | PA      | $249296.63    | 0.16%             | 2041-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CORP CMO                              | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110510 | PA      | $109266.79    | 0.07%             | 2041-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     49794 | PA      | $48907.58     | 0.03%             | 2042-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KPV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    212000 | PA      | $205238.51    | 0.14%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CORP CMO                              | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97771 | PA      | $96792.89     | 0.06%             | 2042-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    427000 | PA      | $414990.63    | 0.27%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                         | CORP CMO                              | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    197485 | PA      | $196003.79    | 0.13%             | 2042-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                                | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    693000 | PA      | $693000.00    | 0.46%             | 2023-05-29      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     87298 | PA      | $89363.49     | 0.06%             | 2042-06-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R07                                    | CORP CMO                              | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57497 | PA      | $58680.25     | 0.04%             | 2042-06-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    395515 | PA      | $400459.22    | 0.26%             | 2042-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                       | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500000.00    | 0.33%             | 2023-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA6                                         | CORP CMO                              | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20076 | PA      | $20218.38     | 0.01%             | 2042-09-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                    | CORP CMO                              | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    131188 | PA      | $131907.75    | 0.09%             | 2042-09-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD                                                             | CORP CMO                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-CBDO         | CORP              | BM        |    258096 | PA      | $257281.98    | 0.17%             | 2028-11-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                           | CORP CMO                              | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |    113938 | PA      | $114507.58    | 0.08%             | 2047-02-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                    | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7133 | PA      | $7141.87      | 0.00%             | 2031-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA19                                                | CORP CMO                              | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153952 | PA      | $117873.96    | 0.08%             | 2047-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                                    | CORP CMO                              | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     89259 | PA      | $82705.01     | 0.05%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     53210 | PA      | $53019.15     | 0.04%             | 2029-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    261906 | PA      | $260672.76    | 0.17%             | 2030-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2019-4 LTD                                                        | CORP CMO                              | CUSIP: 07876LAC3<br>LEI: 254900KXN235YISGF415 | Long             | ABS-CBDO         | CORP              | BM        |    156132 | PA      | $154957.17    | 0.10%             | 2029-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                           | CORP CMO                              | CUSIP: 35564ABN0<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |    595747 | PA      | $590698.48    | 0.39%             | 2047-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1                                   | CORP CMO                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-CBDO         | CORP              | US        |     34463 | PA      | $34210.71     | 0.02%             | 2039-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-2                               | CORP CMO                              | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    512886 | PA      | $500094.83    | 0.33%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                    | CORP CMO                              | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    495396 | PA      | $496012.57    | 0.33%             | 2040-01-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                         | CORP CMO                              | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-CBDO         | CORP              | US        |     37101 | PA      | $37008.53     | 0.02%             | 2050-01-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                                 | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135254 | PA      | $130343.71    | 0.09%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUST                                                 | CORP CMO                              | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    665000 | PA      | $629023.50    | 0.42%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                                   | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192338 | PA      | $189933.89    | 0.13%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                                                | CORP CMO                              | CUSIP: 92838TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74059 | PA      | $64481.94     | 0.04%             | 2065-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2020-GS5                                            | CORP CMO                              | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212685 | PA      | $209572.95    | 0.14%             | 2060-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-S1                                        | CORP CMO                              | CUSIP: 466275AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157708 | PA      | $148949.94    | 0.10%             | 2047-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-A                                          | CORP CMO                              | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    389708 | PA      | $371696.41    | 0.25%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA5                                         | CORP CMO                              | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25696 | PA      | $26023.85     | 0.02%             | 2050-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     64000 | PA      | $64660.93     | 0.04%             | 2030-02-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     72000 | PA      | $74455.85     | 0.05%             | 2029-09-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                                 | CORP CMO                              | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236450 | PA      | $199164.50    | 0.13%             | 2046-06-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    295674 | PA      | $312072.62    | 0.21%             | 2028-04-25      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0GW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    484012 | PA      | $508616.44    | 0.34%             | 2028-04-25      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    231276 | PA      | $245784.95    | 0.16%             | 2028-08-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    145952 | PA      | $154427.86    | 0.10%             | 2028-08-25      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    398067 | PA      | $420374.85    | 0.28%             | 2028-09-25      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    141161 | PA      | $148282.40    | 0.10%             | 2028-09-25      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     55283 | PA      | $57771.04     | 0.04%             | 2028-10-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     71348 | PA      | $74920.31     | 0.05%             | 2028-10-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    493200 | PA      | $517829.28    | 0.34%             | 2028-04-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR10 TRUST                  | CORP CMO                              | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88799 | PA      | $79273.35     | 0.05%             | 2035-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0LJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    128346 | PA      | $131374.96    | 0.09%             | 2029-03-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     66927 | PA      | $68687.17     | 0.05%             | 2023-10-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0KQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    447410 | PA      | $466732.61    | 0.31%             | 2028-12-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0NE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    350696 | PA      | $362970.41    | 0.24%             | 2029-08-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR12 TRUST                  | CORP CMO                              | CUSIP: 92922F3N6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    262062 | PA      | $229740.55    | 0.15%             | 2035-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| BANKUNITED TRUST 2005-1                                                         | CORP CMO                              | CUSIP: 06652DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97482 | PA      | $87378.51     | 0.06%             | 2045-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR7                         | CORP CMO                              | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    298407 | PA      | $238068.43    | 0.16%             | 2047-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4              | CORP CMO                              | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-CBDO         | CORP              | US        |    183578 | PA      | $152385.46    | 0.10%             | 2047-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     81545 | PA      | $82258.98     | 0.05%             | 2031-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4                                      | CORP CMO                              | CUSIP: 64828FCS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51269 | PA      | $50114.67     | 0.03%             | 2048-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                                | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    275006 | PA      | $222131.86    | 0.15%             | 2046-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR1 TRUST                   | CORP CMO                              | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113821 | PA      | $104275.11    | 0.07%             | 2045-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                                | CORP CMO                              | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109964 | PA      | $96638.14     | 0.06%             | 2046-08-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR2 TRUST                   | CORP CMO                              | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    129552 | PA      | $126079.88    | 0.08%             | 2045-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST                  | CORP CMO                              | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    114544 | PA      | $107283.60    | 0.07%             | 2045-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR9 TRUST                   | CORP CMO                              | CUSIP: 92922FU89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    197055 | PA      | $181054.43    | 0.12%             | 2045-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    271081 | PA      | $274095.40    | 0.18%             | 2024-07-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      6408 | PA      | $6486.79      | 0.00%             | 2024-11-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     49032 | PA      | $50734.98     | 0.03%             | 2025-02-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     25428 | PA      | $25940.09     | 0.02%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R4                                   | CORP CMO                              | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110478 | PA      | $107336.11    | 0.07%             | 2047-08-26      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    324000 | PA      | $292887.38    | 0.19%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     92000 | PA      | $80407.99     | 0.05%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORP. NOTE                            | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    179000 | PA      | $165490.51    | 0.11%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    312000 | PA      | $278243.58    | 0.18%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                | CORP. NOTE                            | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $392160.00    | 0.26%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DANAHER CORP                                                                    | CORP. NOTE                            | CUSIP: 235851AQ5<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | DBT              | CORP              | US        |    203000 | PA      | $197625.34    | 0.13%             | 2025-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $398720.79    | 0.26%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORP. NOTE                            | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88000 | PA      | $87910.24     | 0.06%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | CORP. NOTE                            | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $390028.53    | 0.26%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORP. NOTE                            | CUSIP: 960413AT9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    632000 | PA      | $604535.51    | 0.40%             | 2026-08-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORP. NOTE                            | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    294000 | PA      | $294543.16    | 0.19%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    147000 | PA      | $141596.26    | 0.09%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI                                                        | CORP. NOTE                            | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    461000 | PA      | $444193.67    | 0.29%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    344000 | PA      | $323790.00    | 0.21%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | CORP. NOTE                            | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $230768.50    | 0.15%             | 2027-10-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK  AND  TRUST CO                                              | CORP. NOTE                            | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    306000 | PA      | $320757.90    | 0.21%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $192654.19    | 0.13%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | CORP. NOTE                            | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    163000 | PA      | $160787.98    | 0.11%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                     | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    267000 | PA      | $267632.52    | 0.18%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | CORP. NOTE                            | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $388046.00    | 0.26%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    464000 | PA      | $461615.12    | 0.30%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | CORP. NOTE                            | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    240000 | PA      | $250546.32    | 0.17%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | CORP. NOTE                            | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    190000 | PA      | $196859.52    | 0.13%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | CORP. NOTE                            | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    220000 | PA      | $231336.27    | 0.15%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     91000 | PA      | $82992.07     | 0.05%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    351000 | PA      | $307058.35    | 0.20%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                       | CORP. NOTE                            | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    400000 | PA      | $352880.80    | 0.23%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | CORP. NOTE                            | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     76000 | PA      | $68372.85     | 0.05%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                 | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    260000 | PA      | $213525.00    | 0.14%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89746.20     | 0.06%             | 2027-02-26      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    463000 | PA      | $412049.09    | 0.27%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 2027A0KK4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    212000 | PA      | $196495.20    | 0.13%             | 2027-03-14      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                           | CORP. NOTE                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236644.09    | 0.16%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | CORP. NOTE                            | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186668.13    | 0.12%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | CORP. NOTE                            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    183000 | PA      | $177203.86    | 0.12%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    529000 | PA      | $516275.53    | 0.34%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    450000 | PA      | $455809.72    | 0.30%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORP. NOTE                            | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    108000 | PA      | $103714.96    | 0.07%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    128000 | PA      | $128167.04    | 0.08%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    108000 | PA      | $104388.47    | 0.07%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    176000 | PA      | $171195.14    | 0.11%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    404000 | PA      | $365706.16    | 0.24%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    280000 | PA      | $277900.00    | 0.18%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                           | CORP. NOTE                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     68000 | PA      | $62828.29     | 0.04%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    138000 | PA      | $120026.73    | 0.08%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87962.49     | 0.06%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16858.46     | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    440000 | PA      | $423225.92    | 0.28%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    351000 | PA      | $324571.61    | 0.21%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                            | CORP. NOTE                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    385000 | PA      | $386521.96    | 0.26%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | CORP. NOTE                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    584000 | PA      | $568935.37    | 0.38%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORP. NOTE                            | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    487000 | PA      | $445086.17    | 0.29%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORP. NOTE                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    318000 | PA      | $351787.50    | 0.23%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | CORP. NOTE                            | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    524000 | PA      | $492908.61    | 0.33%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    276000 | PA      | $248824.21    | 0.16%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    441000 | PA      | $437749.83    | 0.29%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    132000 | PA      | $109404.16    | 0.07%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 26138EAX7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    240000 | PA      | $229464.91    | 0.15%             | 2027-06-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    355000 | PA      | $353104.07    | 0.23%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214DK6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    126000 | PA      | $120944.80    | 0.08%             | 2027-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORPORATE BONDS                       | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    231000 | PA      | $232739.78    | 0.15%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    406000 | PA      | $383435.24    | 0.25%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    178000 | PA      | $169433.34    | 0.11%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    192000 | PA      | $183197.50    | 0.12%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORPORATE BONDS                       | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    435000 | PA      | $417180.96    | 0.28%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CD4<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    105000 | PA      | $99823.26     | 0.07%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    137000 | PA      | $130736.05    | 0.09%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    418000 | PA      | $397715.72    | 0.26%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | CORPORATE BONDS                       | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    160000 | PA      | $155052.33    | 0.10%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    380000 | PA      | $367100.56    | 0.24%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                                        | CORPORATE BONDS                       | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $252999.54    | 0.17%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $198242.37    | 0.13%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE  AND  ANNUITY ASSOCIATION OF AMERICA                         | CORPORATE BONDS                       | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    102000 | PA      | $117969.99    | 0.08%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA LTD                                                     | CORPORATE BONDS                       | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |    157000 | PA      | $158684.44    | 0.10%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    281000 | PA      | $286208.29    | 0.19%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                                                  | CORPORATE BONDS                       | CUSIP: 00185AAB0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    386000 | PA      | $309777.35    | 0.20%             | 2042-12-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | CORPORATE BONDS                       | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    220000 | PA      | $210058.76    | 0.14%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | CORPORATE BONDS                       | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    540000 | PA      | $525784.42    | 0.35%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | CORPORATE BONDS                       | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    138000 | PA      | $136608.41    | 0.09%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | CORPORATE BONDS                       | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    267000 | PA      | $264016.77    | 0.17%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORPORATE BONDS                       | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    244000 | PA      | $213083.90    | 0.14%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | CORPORATE BONDS                       | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |     33000 | PA      | $38106.89     | 0.03%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |    172000 | PA      | $201551.86    | 0.13%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORPORATE BONDS                       | CUSIP: 38141GES9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    192000 | PA      | $199668.88    | 0.13%             | 2027-01-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    207000 | PA      | $163833.92    | 0.11%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58293.92     | 0.04%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                       | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    354000 | PA      | $295595.59    | 0.20%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                  | CORPORATE BONDS                       | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    193000 | PA      | $146405.07    | 0.10%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     16000 | PA      | $12937.16     | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    183000 | PA      | $152773.89    | 0.10%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                 | CORPORATE BONDS                       | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |    160000 | PA      | $100657.26    | 0.07%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORPORATE BONDS                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    660000 | PA      | $554142.01    | 0.37%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    261000 | PA      | $216647.08    | 0.14%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | CORPORATE BONDS                       | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     77000 | PA      | $66949.03     | 0.04%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    489000 | PA      | $448835.02    | 0.30%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    129000 | PA      | $129727.63    | 0.09%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CABOT CORP                                                                      | CORPORATE BONDS                       | CUSIP: 127055AM3<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268079.01    | 0.18%             | 2032-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $106859.22    | 0.07%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                      | CORPORATE BONDS                       | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    278000 | PA      | $260681.74    | 0.17%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: U74079AP6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    435000 | PA      | $461480.14    | 0.30%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    204000 | PA      | $188585.87    | 0.12%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE CO                                          | CORPORATE BONDS                       | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    429000 | PA      | $311483.02    | 0.21%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    291000 | PA      | $254244.14    | 0.17%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | CORPORATE BONDS                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    246000 | PA      | $196933.72    | 0.13%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    361000 | PA      | $336752.49    | 0.22%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                     | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     44000 | PA      | $42326.68     | 0.03%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83485.94     | 0.06%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                        | CORPORATE BONDS                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    426000 | PA      | $361608.96    | 0.24%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CORPORATE BONDS                       | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $84134.21     | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORPORATE BONDS                       | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103000 | PA      | $96072.39     | 0.06%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9692586.19   | 6.40%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2252.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6066.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $132452.02    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3383.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $224257.95    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $200729.03    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $47469.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $74602.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $715208.65    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1479282.48   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $107848.92    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $28874.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $158565.06    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1513093.24   | 1.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $13326.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $2300029.93   | 1.52%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $56353.51     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $65182.59     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7062937.26   | 4.66%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $763.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $183666.67    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1549776.10   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $83425.74     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $686667.45    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $352220.62    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $686667.45    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $352220.61    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1701619.96   | 1.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $757732.11    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1701619.96   | 1.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $757732.11    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4049791.18   | 2.67%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1942011.59   | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $986868.63    | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5170295.77   | 3.41%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $569357.94    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $84185.20     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $76019.43     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $131185.83    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $86682.46     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7048.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $66520.82     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $363385.44    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $74301.49     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $37051.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4247.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $143280.65    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2973.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $350603.00    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $163526.83    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $14096.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $757107.96    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $154677.97    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $129520.07    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $14213.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5941.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1199427.63   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $18273.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $147188.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $183802.99    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $55201.97     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1094621.44   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $434245.78    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $1723463.73   | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2570243.99   | 1.70%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1723463.73   | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1760793.69   | 1.16%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $16206.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $16206.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $446811.19    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5991607.98   | 3.96%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1948513.40   | 1.29%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $25423.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $192697.57    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $77429.25     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $77429.25     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $420320.76    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $420320.76    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $70196.64     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $714937.50    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6725470.20   | 4.44%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $224039.04    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $160513.77    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $125404.80    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $385101.39    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $97317.64     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4827.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $227659.66    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2523.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $94137.32     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $110598.62    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $85022.87     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5872.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $24873.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $132315.79    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $79517.95     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                           | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3904.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11874.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3252.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $130458.83    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515049 | PA      | $116213.33    | 0.08%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137F94J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3807987 | PA      | $667776.62    | 0.44%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FHLMC CMO IO                          | CUSIP: 3137H3WE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4420399 | PA      | $845563.51    | 0.56%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | FHLMC CMO IO                          | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2243000 | PA      | $213172.48    | 0.14%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AX2K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755908 | PA      | $90474.21     | 0.06%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137B1HN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350543 | PA      | $51791.00     | 0.03%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | FHLMC CMO IO                          | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2787738 | PA      | $167579.31    | 0.11%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FT2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4184265 | PA      | $831692.68    | 0.55%             | 2050-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FRZM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2609841 | PA      | $549174.71    | 0.36%             | 2050-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FTXU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1045114 | PA      | $131020.73    | 0.09%             | 2050-06-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339923 | PA      | $13164.16     | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324286 | PA      | $40760.16     | 0.03%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A8H52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493757 | PA      | $70747.86     | 0.05%             | 2042-10-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B5VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3211120 | PA      | $375920.10    | 0.25%             | 2049-08-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6090706.20   | 4.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $17057772.80  | 11.27%            | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $9143442.00   | 6.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15239070.00  | 10.06%            | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $21083672.40  | 13.92%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41000000 | PA      | $41163360.40  | 27.19%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6164531.40   | 4.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6164531.40   | 4.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3754062.40   | 2.48%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4538279.00   | 3.00%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3366626.80   | 2.22%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2524970.10   | 1.67%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1930625.00   | 1.28%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1750467.80   | 1.16%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6152812.80   | 4.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $8889609.60   | 5.87%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2165502 | PA      | $73464.66     | 0.05%             | 2067-01-20      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2541559 | PA      | $103187.29    | 0.07%             | 2066-10-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134848 | PA      | $64686.35     | 0.04%             | 2067-04-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1373687 | PA      | $64866.35     | 0.04%             | 2066-04-20      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380K3J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209547 | PA      | $42074.22     | 0.03%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381AY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3881466 | PA      | $696839.64    | 0.46%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382DRV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658832 | PA      | $75110.85     | 0.05%             | 2050-03-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376MCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2255247 | PA      | $386210.10    | 0.26%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382WEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3753412 | PA      | $551563.91    | 0.36%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382WBR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6410829 | PA      | $1170734.72   | 0.77%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1843502 | PA      | $77091.49     | 0.05%             | 2067-02-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2113376 | PA      | $99328.68     | 0.07%             | 2066-06-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534645 | PA      | $91634.65     | 0.06%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232633 | PA      | $46366.69     | 0.03%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38377NRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388871 | PA      | $35045.03     | 0.02%             | 2040-12-16      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247709 | PA      | $43262.49     | 0.03%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76293 | PA      | $15733.64     | 0.01%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159242 | PA      | $32644.52     | 0.02%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50428 | PA      | $10343.81     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WK46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350556 | PA      | $58274.86     | 0.04%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228049 | PA      | $10655.37     | 0.01%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2012813 | PA      | $82702.48     | 0.05%             | 2064-05-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850293 | PA      | $66610.54     | 0.04%             | 2065-09-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1645573 | PA      | $74544.47     | 0.05%             | 2065-10-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1664719 | PA      | $63151.11     | 0.04%             | 2065-10-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1740413 | PA      | $56552.99     | 0.04%             | 2064-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4593422.50   | 3.03%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3887153.20   | 2.57%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4964733.50   | 3.28%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $946318.50    | 0.62%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ITALY                                                               | GOVERNMENT BOND                       | CUSIP: T6031ZDM0<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    190000 | PA      | $200915.38    | 0.13%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF NORWAY                                                               | GOVERNMENT BOND                       | CUSIP: R34155AZ5<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |   1880000 | PA      | $180021.64    | 0.12%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    241000 | PA      | $240040.68    | 0.16%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2S39KRZ1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 645000000 | PA      | $4952672.38   | 3.27%             | 2027-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2S39KSB3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  93000000 | PA      | $611578.69    | 0.40%             | 2047-03-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                                             | GOVERNMENT BOND                       | CUSIP: A0654UFG1<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |    570000 | PA      | $567313.09    | 0.37%             | 2027-04-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: P75744AE5<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    200000 | PA      | $197500.00    | 0.13%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF FINLAND                                                             | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    260000 | PA      | $234366.78    | 0.15%             | 2034-04-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    380000 | PA      | $231016.17    | 0.15%             | 2029-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579ECB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    150000 | PA      | $147042.28    | 0.10%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PORTUGUESE REPUBLIC                                                             | GOVERNMENT BOND                       | CUSIP: X6694NAY7<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |    510000 | PA      | $525366.63    | 0.35%             | 2029-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ORIENTAL REPUBLIC OF URUGUAY                                                    | GOVERNMENT BOND                       | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1170000 | PA      | $1166544.87   | 0.77%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: N2R466HA5<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |    110000 | PA      | $103813.07    | 0.07%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FEDERATION OF MALAYSIA                                                          | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |   2650000 | PA      | $626047.94    | 0.41%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F43750KE1<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    410000 | PA      | $392154.69    | 0.26%             | 2029-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                       | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    100000 | PA      | $91357.59     | 0.06%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S REPUBLIC OF CHINA                                                      | GOVERNMENT BOND                       | CUSIP: Y6S39BVL1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   6000000 | PA      | $898206.74    | 0.59%             | 2024-10-17      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $180738.00    | 0.12%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E8922AJL5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     20000 | PA      | $11910.60     | 0.01%             | 2050-10-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780CS3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    710000 | PA      | $678850.88    | 0.45%             | 2030-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF IRELAND                                                             | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    410000 | PA      | $403609.99    | 0.27%             | 2027-05-15      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E8922AJR2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $190336.10    | 0.13%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: P75744AJ4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    370000 | PA      | $358900.00    | 0.24%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLAND                                                              | GOVERNMENT BOND                       | CUSIP: X8T024V93<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   1850000 | PA      | $379250.64    | 0.25%             | 2025-04-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  18000000 | PA      | $95760.30     | 0.06%             | 2060-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F43750LB6<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    330000 | PA      | $293070.72    | 0.19%             | 2030-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | GOVERNMENT BOND                       | CUSIP: 77586RAH3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    540000 | PA      | $443917.80    | 0.29%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    218000 | PA      | $185395.62    | 0.12%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ITALY BUONI POLIENNALI DEL TESORO                                               | GOVERNMENT BOND                       | CUSIP: T6052BYD4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     80000 | PA      | $51299.58     | 0.03%             | 2051-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: 699149AK6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    220000 | PA      | $177100.00    | 0.12%             | 2033-01-29      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                           | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1110000 | PA      | $910053.15    | 0.60%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF THAILAND                                                             | GOVERNMENT BOND                       | CUSIP: Y6065BNK9<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |  19600000 | PA      | $574914.40    | 0.38%             | 2031-12-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BENIN                                                               | GOVERNMENT BOND                       | CUSIP: V15389AF2<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    225000 | PA      | $178121.70    | 0.12%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ITALY                                                               | GOVERNMENT BOND                       | CUSIP: T6247ACT1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    850000 | PA      | $1046213.13   | 0.69%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                      | GOVERNMENT BOND                       | CUSIP: 683234LJ5<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    850000 | PA      | $743768.37    | 0.49%             | 2029-03-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: H7351PHB5<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |    500000 | PA      | $623156.74    | 0.41%             | 2028-04-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E89228YY5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    150000 | PA      | $175113.82    | 0.12%             | 2037-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F4040SY67<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    190000 | PA      | $244957.80    | 0.16%             | 2055-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                           | GOVERNMENT BOND                       | CUSIP: P4R086AF1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  12510000 | PA      | $638300.12    | 0.42%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2615QY41<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  60000000 | PA      | $504499.67    | 0.33%             | 2027-06-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                              | GOVERNMENT BOND                       | CUSIP: K5675SHC6<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    750000 | PA      | $138237.10    | 0.09%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SWEDEN                                                               | GOVERNMENT BOND                       | CUSIP: W9478GTX1<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    140000 | PA      | $16128.46     | 0.01%             | 2039-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND                            | GOVERNMENT BOND                       | CUSIP: G4527HPM7<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1120000 | PA      | $1513347.45   | 1.00%             | 2034-09-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F4040HAL4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    830000 | PA      | $1079733.78   | 0.71%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND                            | GOVERNMENT BOND                       | CUSIP: G4527HPN5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    880000 | PA      | $1166926.59   | 0.77%             | 2060-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2615Q6T7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 260000000 | PA      | $2313883.15   | 1.53%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF BELGIUM                                                              | GOVERNMENT BOND                       | CUSIP: B533BSKB9<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    440000 | PA      | $549189.20    | 0.36%             | 2041-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: N45810KU6<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |    280000 | PA      | $356180.88    | 0.24%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2615Q3X1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 105000000 | PA      | $915181.50    | 0.60%             | 2031-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2615Q7H2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 184000000 | PA      | $1614094.11   | 1.07%             | 2051-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CANADA                                                                          | GOVERNMENT BOND                       | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     80000 | PA      | $64728.12     | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: H7T729EJ4<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |    170000 | PA      | $188439.10    | 0.12%             | 2042-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F43750AD4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1300000 | PA      | $1424177.79   | 0.94%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F43750AW2<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     70000 | PA      | $78360.71     | 0.05%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780BL9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1235000 | PA      | $1230949.20   | 0.81%             | 2023-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ITALY                                                               | GOVERNMENT BOND                       | CUSIP: T6247AWL6<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    450000 | PA      | $512910.45    | 0.34%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVERNMENT                                                            | GOVERNMENT BOND                       | CUSIP: Q08184LZ6<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    630000 | PA      | $445748.17    | 0.29%             | 2025-04-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND                            | GOVERNMENT BOND                       | CUSIP: G4527HCU3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    120000 | PA      | $145367.75    | 0.10%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E4R46CAV9<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    640000 | PA      | $774141.48    | 0.51%             | 2028-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E4R46CBB2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    350000 | PA      | $467759.47    | 0.31%             | 2044-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                              | GOVERNMENT BOND                       | CUSIP: K30904AJ3<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |   1470000 | PA      | $209607.17    | 0.14%             | 2025-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                       | GOVERNMENT BOND                       | CUSIP: V73789AC9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    300000 | PA      | $291375.00    | 0.19%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ITALY                                                               | GOVERNMENT BOND                       | CUSIP: T6247AT89<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    980000 | PA      | $1054113.99   | 0.70%             | 2024-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                          | GOVERNMENT BOND                       | CUSIP: Y7276LDD7<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    670000 | PA      | $607958.00    | 0.40%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVERNMENT                                                            | GOVERNMENT BOND                       | CUSIP: Q08198AH8<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    350000 | PA      | $245407.04    | 0.16%             | 2037-04-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                      | GOVERNMENT BOND                       | CUSIP: 68323ACX0<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   1560000 | PA      | $1142139.72   | 0.75%             | 2025-06-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E8922AAN0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    560000 | PA      | $592530.84    | 0.39%             | 2025-04-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                      | GOVERNMENT BOND                       | CUSIP: 68323ACY8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    410000 | PA      | $255225.81    | 0.17%             | 2046-12-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF IRELAND                                                             | GOVERNMENT BOND                       | CUSIP: G4R49GAE3<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     90000 | PA      | $80623.07     | 0.05%             | 2045-02-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FRENCH REPUBLIC                                                                 | GOVERNMENT BOND                       | CUSIP: F43750CV2<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    710000 | PA      | $734209.14    | 0.48%             | 2025-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ITALY                                                               | GOVERNMENT BOND                       | CUSIP: T6247AY42<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   1170000 | PA      | $1046726.16   | 0.69%             | 2032-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND                            | GOVERNMENT BOND                       | CUSIP: G4527HDC2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1330000 | PA      | $1590663.14   | 1.05%             | 2025-09-07      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SWEDEN                                                               | GOVERNMENT BOND                       | CUSIP: W77537TA1<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   6110000 | PA      | $557393.77    | 0.37%             | 2026-11-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CANADA                                                                          | GOVERNMENT BOND                       | CUSIP: 135087E67<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     90000 | PA      | $64109.65     | 0.04%             | 2026-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ORIENTAL REPUBLIC OF URUGUAY                                                    | GOVERNMENT BOND                       | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    225000 | PA      | $227240.88    | 0.15%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF BELGIUM                                                              | GOVERNMENT BOND                       | CUSIP: B1124GEQ0<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    560000 | PA      | $578181.33    | 0.38%             | 2026-06-22      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                                             | GOVERNMENT BOND                       | CUSIP: A0654UAN1<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |    290000 | PA      | $238813.44    | 0.16%             | 2047-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    255000 | PA      | $262388.30    | 0.17%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E8922ABW9<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    170000 | PA      | $164443.34    | 0.11%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2S39KMW3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 239000000 | PA      | $1710925.29   | 1.13%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                                          | GOVERNMENT BOND                       | CUSIP: N8T17VYU7<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |    430000 | PA      | $436387.57    | 0.29%             | 2026-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVERNMENT                                                            | GOVERNMENT BOND                       | CUSIP: Q08184MW2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    810000 | PA      | $542676.88    | 0.36%             | 2028-05-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JAPAN                                                                           | GOVERNMENT BOND                       | CUSIP: J2S39KNW2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  47000000 | PA      | $276211.88    | 0.18%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVERNMENT                                                            | GOVERNMENT BOND                       | CUSIP: Q08184MX0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    120000 | PA      | $71862.85     | 0.05%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                            | GOVERNMENT BOND                       | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    460000 | PA      | $416074.14    | 0.27%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                                                | GOVERNMENT BOND                       | CUSIP: E8922ACV0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    430000 | PA      | $442357.22    | 0.29%             | 2027-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TMX GROUP LIMITED                                                               | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300N65GFVKSHGJW59       | N/A              | DIR              | CORP              | CA        |         4 | NC      | $379572.36    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 529900LN3S50JPU47S06       | N/A              | DIR              | CORP              | DE        |        10 | NC      | $1275227.32   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 529900LN3S50JPU47S06       | N/A              | DIR              | CORP              | DE        |         5 | NC      | $743719.53    | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 529900LN3S50JPU47S06       | N/A              | DIR              | CORP              | DE        |         6 | NC      | $939297.87    | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 529900LN3S50JPU47S06       | N/A              | DIR              | CORP              | DE        |         6 | NC      | $689764.26    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE                                                                  | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 3538001249AILNPRUX57       | N/A              | DIR              | CORP              | JP        |         4 | NC      | $4503822.07   | 2.97%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        14 | NC      | $1984500.00   | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        41 | NC      | $4695140.63   | 3.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         8 | NC      | $969625.00    | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        96 | NC      | $19742250.05  | 13.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        17 | NC      | $2207875.00   | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        62 | NC      | $6773015.66   | 4.47%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE                                                                  | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 3538001249AILNPRUX57       | N/A              | DIR              | CORP              | JP        |        10 | NC      | $11259555.18  | 7.44%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     60400 | NC      | $6140.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     82300 | NC      | $18656.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     91000 | NC      | $22270.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     91800 | NC      | $23538.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    260300 | NC      | $72161.21     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    420000 | NC      | $54596.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    283000 | NC      | $82201.52     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     87500 | NC      | $22859.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     79600 | NC      | $25591.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    211200 | NC      | $72502.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    258600 | NC      | $98667.84     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    107000 | NC      | $47960.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   1059500 | NC      | $168841.92    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    312300 | NC      | $144474.65    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    585500 | NC      | $226253.28    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |      9400 | NC      | $1321.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    115200 | NC      | $54331.48     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     32200 | NC      | $4917.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     81200 | NC      | $44745.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     12000 | NC      | $1877.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     20900 | NC      | $2819.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     76000 | NC      | $11177.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    302300 | NC      | $57558.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     55900 | NC      | $10408.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |      5000 | NC      | $1218.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    133400 | NC      | $25394.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     52200 | NC      | $9832.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $21414.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    238200 | NC      | $97101.90     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99MD509M8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |     83100 | NC      | $19237.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     51000 | NC      | $10988.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    377200 | NC      | $85340.29     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    146400 | NC      | $65200.98     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99MS149B5<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  19660400 | NC      | $501975.69    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99MS149C3<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  19660400 | NC      | $525244.48    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99MS149D1<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  19660400 | NC      | $548270.89    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7864200 | NC      | $187799.49    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10276000 | NC      | $909837.04    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3190000 | NC      | $467845.40    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1262000 | NC      | $368188.50    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    670000 | NC      | $24428.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8457000 | NC      | $308173.08    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5228000 | NC      | $461005.04    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1358000 | NC      | $199205.02    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4264000 | NC      | $1245642.32   | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    252000 | NC      | $69300.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1711000 | NC      | $148925.44    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1865000 | NC      | $264009.40    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    446900 | NC      | $27654.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    769000 | NC      | $189050.96    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1051000 | NC      | $268971.92    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $75162.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    446000 | NC      | $87082.45     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2024000 | NC      | $427974.80    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12331000 | NC      | $427885.70    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1338000 | NC      | $306575.94    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1801000 | NC      | $203206.83    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5321000 | NC      | $367202.21    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    245600 | NC      | $28985.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3539800 | NC      | $456563.40    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3670200 | NC      | $475107.39    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1935000 | NC      | $221035.05    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1901000 | NC      | $50281.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    558000 | NC      | $22169.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2074000 | NC      | $141571.24    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1751000 | NC      | $289878.05    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4526000 | NC      | $123424.02    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    442000 | NC      | $24398.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1966000 | NC      | $235507.14    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1816000 | NC      | $70987.44     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4420200 | NC      | $138573.27    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2960500 | NC      | $78719.69     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     81000 | NC      | $7181.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    722100 | NC      | $39708.28     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1905000 | NC      | $67036.95     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14111300 | NC      | $419387.84    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    802700 | NC      | $143627.11    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11780500 | NC      | $205334.12    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7874500 | NC      | $90163.02     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2262200 | NC      | $16920.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1286300 | NC      | $28317.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    918800 | NC      | $9371.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4255600 | NC      | $121369.71    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    803000 | NC      | $59365.79     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3113800 | NC      | $99354.67     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2251000 | NC      | $362573.40    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3107200 | NC      | $169994.91    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3107200 | NC      | $168658.82    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    475600 | NC      | $22936.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2926500 | NC      | $172400.12    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4033000 | NC      | $251175.24    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4691000 | NC      | $338934.08    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2861500 | NC      | $189803.30    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    178500 | NC      | $5687.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    660100 | NC      | $29103.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    851800 | NC      | $63680.57     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   1443800 | NC      | $116283.65    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    592100 | NC      | $48848.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7294000 | NC      | $180234.74    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4794000 | NC      | $227139.72    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    662500 | NC      | $12799.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    113000 | NC      | $3257.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1070000 | NC      | $13385.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1761700 | NC      | $29314.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3297600 | NC      | $3693.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     55700 | NC      | $2866.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1670900 | NC      | $20735.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    635800 | NC      | $3624.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    337300 | NC      | $3221.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     82000 | NC      | $3130.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1205000 | NC      | $11881.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6264000 | NC      | $9082.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    422000 | NC      | $1582.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     40000 | NC      | $1839.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    710000 | NC      | $2188.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    700000 | NC      | $11771.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    900000 | NC      | $4967.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    750000 | NC      | $4526.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5850000 | NC      | $121790.70    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4180000 | NC      | $217353.25    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    470000 | NC      | $756.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2960000 | NC      | $97214.69     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    640000 | NC      | $3208.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    730000 | NC      | $9892.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    780000 | NC      | $26901.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2874000 | NC      | $39010.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    720000 | NC      | $7884.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     89000 | NC      | $653.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     46000 | NC      | $341.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    693100 | NC      | $19635.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1196000 | NC      | $16409.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5692000 | NC      | $127614.64    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    192000 | NC      | $1512.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    245000 | NC      | $3087.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    867000 | NC      | $10811.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    867000 | NC      | $10516.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2030000 | NC      | $27181.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    809000 | NC      | $9327.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1952000 | NC      | $24985.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    242000 | NC      | $3107.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    779000 | NC      | $2983.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    679000 | NC      | $6823.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1411000 | NC      | $5869.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4284000 | NC      | $108299.52    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2822000 | NC      | $11485.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8096000 | NC      | $104681.28    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25213000 | NC      | $636376.12    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8568000 | NC      | $223282.08    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7869000 | NC      | $144160.08    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10846000 | NC      | $88670.04     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9694000 | NC      | $276073.83    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4790000 | NC      | $27063.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13125000 | NC      | $55518.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    768400 | NC      | $30336.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     81000 | NC      | $2954.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3665000 | NC      | $356094.73    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9901000 | NC      | $69604.03     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1928000 | NC      | $35745.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    904300 | NC      | $148392.02    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1344000 | NC      | $78785.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     65300 | NC      | $3186.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    217500 | NC      | $9387.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     55700 | NC      | $1704.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    758800 | NC      | $46954.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3085700 | NC      | $139658.78    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    228000 | NC      | $16917.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2766100 | NC      | $31605.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    345600 | NC      | $23148.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1871800 | NC      | $55779.64     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    619100 | NC      | $30174.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    116500 | NC      | $3332.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1238100 | NC      | $37031.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1695000 | NC      | $13288.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9316300 | NC      | $526650.44    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    581800 | NC      | $32807.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     44400 | NC      | $2180.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     32900 | NC      | $1609.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2486700 | NC      | $22355.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    973000 | NC      | $106271.06    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2297700 | NC      | $142549.31    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    922000 | NC      | $27263.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    422600 | NC      | $20644.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     96100 | NC      | $4046.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10658000 | NC      | $70769.12     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4645000 | NC      | $265740.45    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    582700 | NC      | $13839.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11786000 | NC      | $4714.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    464700 | NC      | $18513.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    539100 | NC      | $13369.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    340000 | NC      | $5890.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    517000 | NC      | $3320.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     27000 | NC      | $215.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4527000 | NC      | $2907.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    449000 | NC      | $1578.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16289000 | NC      | $24672.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    930000 | NC      | $22111.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2730000 | NC      | $23832.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2204000 | NC      | $1341.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2686000 | NC      | $11576.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2396000 | NC      | $3234.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1104000 | NC      | $5907.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1287000 | NC      | $5595.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2009000 | NC      | $950.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  45973000 | NC      | $16550.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  23587000 | NC      | $385883.32    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15579000 | NC      | $172459.53    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5516000 | NC      | $37619.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 119892000 | NC      | $94750.34     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    296000 | NC      | $13962.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1266000 | NC      | $35397.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1795000 | NC      | $21719.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    846000 | NC      | $6361.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2572000 | NC      | $5632.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1362000 | NC      | $22622.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1851000 | NC      | $23063.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     40000 | NC      | $165.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2672000 | NC      | $44114.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    889500 | NC      | $836.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    889500 | NC      | $1102.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2049000 | NC      | $1085.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1477000 | NC      | $10146.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2383000 | NC      | $548.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2547000 | NC      | $4329.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    788000 | NC      | $3798.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    701500 | NC      | $8663.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    701500 | NC      | $8866.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2246000 | NC      | $1549.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14332100 | NC      | $17771.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2871000 | NC      | $3732.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1863000 | NC      | $1788.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    310000 | NC      | $43.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1381000 | NC      | $1063.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10055000 | NC      | $29360.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4941000 | NC      | $37502.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4086000 | NC      | $8049.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2395000 | NC      | $1077.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     92000 | NC      | $13468.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $11746.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1045.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3556 | NC      | $518.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $10395.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $174.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $16350.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $14046.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     26000 | NC      | $4167.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    191000 | NC      | $33959.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    227000 | NC      | $40360.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    115000 | NC      | $20447.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5334.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $4007.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $995.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $995.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $995.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $5946.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    493000 | NC      | $39242.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $41811.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3309.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $8534.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    292000 | NC      | $46807.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $146.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    167000 | NC      | $26770.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     55000 | NC      | $8816.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $7053.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     14000 | NC      | $2522.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $11532.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1544.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     34000 | NC      | $6126.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3658.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $13642.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $3346.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     95000 | NC      | $18914.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $8163.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1029.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $4648.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    185000 | NC      | $36833.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     43000 | NC      | $3422.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $3661.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $9550.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $7366.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     74000 | NC      | $23310.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     40000 | NC      | $7112.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3526.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $1603.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     12562 | NC      | $4483.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    104000 | NC      | $8278.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     86000 | NC      | $27090.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $10080.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     71000 | NC      | $21662.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $901.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $610.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $9457.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $7534.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14495 | NC      | $5173.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $3847.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $7854.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $348.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $871.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $2388.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2404.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     23000 | NC      | $3686.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $2264.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $528.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $522.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $528.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $522.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $348.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $348.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $522.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $13127.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $9618.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5406.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $4809.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $176.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $6307.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    311693 | NC      | $115139.50    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     95000 | NC      | $31027.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     98000 | NC      | $32006.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $4899.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      6223 | NC      | $908.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    158000 | NC      | $51602.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32810 | NC      | $12119.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     66303 | NC      | $24492.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $5552.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     31000 | NC      | $10124.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     16000 | NC      | $3019.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $305.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $610.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     77000 | NC      | $24255.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     61000 | NC      | $19922.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $12915.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2899 | NC      | $1034.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     77000 | NC      | $24255.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $9765.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $11655.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $11655.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $188.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $1525.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $915.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1220.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $10395.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20293 | NC      | $7242.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     71000 | NC      | $14867.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $610.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     74000 | NC      | $23310.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    144226 | NC      | $53277.27     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    312000 | NC      | $101899.20    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3774.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     68354 | NC      | $25249.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     71000 | NC      | $14867.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     43000 | NC      | $7645.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $5225.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $7027.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $1317.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     90000 | NC      | $16002.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $5867.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $2311.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $7823.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $8178.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $702.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      9000 | NC      | $1580.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     23000 | NC      | $4038.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $4267.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $566.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $5124.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $146.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $2844.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     61000 | NC      | $10992.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3733.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $4445.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $2162.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5406.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1081.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3784.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3784.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3423.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $901.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $189500.00    | 0.13%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | PERPETUAL BONDS                       | CUSIP: 060505EL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    346000 | PA      | $347716.85    | 0.23%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: H4209UAN6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $298125.00    | 0.20%             | N/A             | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | PERPETUAL BONDS                       | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    214000 | PA      | $213251.00    | 0.14%             | N/A             | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    330000 | PA      | $275609.40    | 0.18%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | PERPETUAL BONDS                       | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    188000 | PA      | $163484.80    | 0.11%             | N/A             | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                             | PERPETUAL BONDS                       | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    643000 | PA      | $552934.66    | 0.37%             | N/A             | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    163000 | PA      | $150265.63    | 0.10%             | N/A             | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    225000 | PA      | $184477.50    | 0.12%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | PERPETUAL BONDS                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    622000 | PA      | $567823.80    | 0.38%             | N/A             | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | PERPETUAL BONDS                       | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    181000 | PA      | $173436.92    | 0.11%             | N/A             | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                               | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |   9693286 | NS      | $9693286.00   | 6.40%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class     | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   2936000 | NS      | $2936000.00   | 1.94%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1140000 | NC      | $18797.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2442700 | NC      | $-52053.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2442700 | NC      | $75113.02     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1628600 | NC      | $-105506.03   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1628600 | NC      | $118183.04    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   5415500 | NC      | $-177790.86   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   5415500 | NC      | $117245.58    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5748900 | NC      | $43576.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5748900 | NC      | $54844.51     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2276600 | NC      | $14479.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2276600 | NC      | $15958.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $30939.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $15013.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $26211.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $19285.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $21358.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3814900 | NC      | $23805.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    413900 | NC      | $8393.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    413900 | NC      | $-17532.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3465600 | NC      | $-13169.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   8776300 | NC      | $-31008.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   8776300 | NC      | $-25474.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   3823600 | NC      | $-10667.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   3823600 | NC      | $-16135.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1742600 | NC      | $-66793.86    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1742600 | NC      | $1655.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4312800 | NC      | $-12118.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4312800 | NC      | $-37737.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2156400 | NC      | $-65899.58    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2156400 | NC      | $-13650.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2521500 | NC      | $-22340.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2521500 | NC      | $-10993.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2445800 | NC      | $-19713.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2445800 | NC      | $-8144.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2505700 | NC      | $-51817.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2505700 | NC      | $19394.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1174900 | NC      | $-18434.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1174900 | NC      | $599.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   9805200 | NC      | $-29415.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3431800 | NC      | $11153.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3431800 | NC      | $13349.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   9805200 | NC      | $-16864.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3431800 | NC      | $7412.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3431800 | NC      | $9814.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13990100 | NC      | $-38053.07    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13990100 | NC      | $-19026.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2140600 | NC      | $-6889.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2140600 | NC      | $5620.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    371900 | NC      | $48.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    371900 | NC      | $-19889.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    377000 | NC      | $-29971.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    377000 | NC      | $-968.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    377000 | NC      | $-26001.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    377000 | NC      | $-1598.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    734900 | NC      | $-31784.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    734900 | NC      | $-48745.92    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    163800 | NC      | $-4697.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    163800 | NC      | $18350.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1070200 | NC      | $-92797.04    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1070200 | NC      | $147944.45    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    564100 | NC      | $-27697.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    564100 | NC      | $67505.85     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    261200 | NC      | $25796.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    261200 | NC      | $-7581.21     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    287300 | NC      | $35372.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    287300 | NC      | $-14568.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    125100 | NC      | $22722.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    125100 | NC      | $-6695.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    933600 | NC      | $-35570.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    933600 | NC      | $34552.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    801500 | NC      | $140235.19    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    801500 | NC      | $-64453.81    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2404600 | NC      | $-100436.06   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2404600 | NC      | $305752.26    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   2002500 | NC      | $-68725.80    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   2002500 | NC      | $136450.35    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |     94500 | NC      | $3845.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |     94500 | NC      | $-2505.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    969100 | NC      | $13247.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    678400 | NC      | $-26464.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1938200 | NC      | $-74562.55    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3876400 | NC      | $46633.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    577800 | NC      | $21551.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    577800 | NC      | $-16132.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2731200 | NC      | $-17889.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2731200 | NC      | $37144.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    975900 | NC      | $-17744.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    975900 | NC      | $38209.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1458600 | NC      | $-58488.90    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1458600 | NC      | $143859.41    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  20479800 | NC      | $-161585.62   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  20479800 | NC      | $359830.09    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1591200 | NC      | $60831.58     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1591200 | NC      | $-30837.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1573300 | NC      | $185555.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1573300 | NC      | $-143956.95   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3884900 | NC      | $-151705.34   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3884900 | NC      | $68296.54     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    723500 | NC      | $24671.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    723500 | NC      | $-41753.18    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2979400 | NC      | $-98588.35    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2979400 | NC      | $152843.22    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1604100 | NC      | $-120499.99   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1604100 | NC      | $258276.14    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1665400 | NC      | $260718.37    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1665400 | NC      | $-124122.26   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1523800 | NC      | $-112151.68   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1523800 | NC      | $244295.62    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  43551100 | NC      | $133990.82    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  21775600 | NC      | $-131623.79   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                          | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1140000 | NC      | $-15876.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Total Return Swap                     | CUSIP: 99MK129K6<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | US        |    502000 | NC      | $440675.68    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Total Return Swap                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    429000 | NC      | $449411.82    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2597000 | PA      | $2585397.91   | 1.71%             | 2023-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    129000 | PA      | $116127.09    | 0.08%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    498000 | PA      | $423598.80    | 0.28%             | 2067-05-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 744320AN2<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    136000 | PA      | $133612.93    | 0.09%             | 2044-03-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                                               | VAR.RT. CORP. BONDS                   | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    355000 | PA      | $317281.25    | 0.21%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S.A.                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $361797.78    | 0.24%             | 2033-01-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | VAR.RT. CORP. BONDS                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $219668.33    | 0.15%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    379000 | PA      | $374082.42    | 0.25%             | 2027-08-05      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | VAR.RT. CORP. BONDS                   | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    595000 | PA      | $528889.41    | 0.35%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $399576.76    | 0.26%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    264000 | PA      | $233710.15    | 0.15%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    525000 | PA      | $457502.89    | 0.30%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | VAR.RT. CORP. BONDS                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    505000 | PA      | $401807.68    | 0.27%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer