# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001145549-23-013563
**Filing Date:** 2023-2
**Character Count:** 412932
**Document Hash:** d34d695fa0e4367a93b9403d4e649285
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013563.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-013563

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691
- **IRS NUMBER:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 23683298

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/PIMCO Income Fund (Series ID: S000058490)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000192062 | JNL/PIMCO Income Fund (A) |  |
| C000192063 | JNL/PIMCO Income Fund (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/PIMCO Income Fund

- **b. EDGAR series identifier (if any):** S000058490

- **c. LEI of Series:** 5493005E2UTORKLVJJ05

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $2381452227.91

**Total Liabilities:** $1134963963.81

**Net Assets:** $1246488264.10

**Delayed Delivery Securities:** $1108466693.13

**Cash Not Reported:** $67699884.49

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1737.624330093823 | **1-Year:** -15930.564340021682 | **5-Year:** -48990.429870881470 | **10-Year:** -48053.050188914639 | **30-Year:** -525108.869884984879

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

- **3-Month:** -1036.349928144786 | **1-Year:** -14109.665747982536 | **5-Year:** -39322.061972169955 | **10-Year:** -82734.048118179044 | **30-Year:** -58611.674572789078

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000192062 | 0.61%                | 3.71%                | 0.00%                |
| Class ID C000192063 | 0.70%                | 3.75%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-19944722.08            | $13207264.36                               |
| Month 2  | $-7895058.03             | $36424122.11                               |
| Month 3  | $1342192.68              | $-9445205.18                               |

**Designated Index Information**

- **Index Name:** Absolute VaR

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Jackson National Asset Management, LLC                                           | JNL Securities Lending Collateral Fund                                           | CUSIP: 46628D411<br>LEI: N/A                  | Long             | STIV             | RF                | US        |       991401 | NS      | $991400.90    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |       470445 | PA      | $-6346.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | CL        |    849042000 | PA      | $19250.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      7250495 | PA      | $53819.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | AU        |     22768000 | PA      | $90167.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ID        |  16319841714 | PA      | $4410.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CANADIAN DOLLAR                                                                  | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CA        |      8490000 | PA      | $-134149.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | ID        | 162006000000 | PA      | $12059.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CL        |   1137900854 | PA      | $23484.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      1247002 | PA      | $9433.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      2351287 | PA      | $32754.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PE        |      4198104 | PA      | $16023.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      1681549 | PA      | $-11431.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |        60052 | PA      | $-118.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | ID        |   5984646647 | PA      | $3403.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      3951744 | PA      | $-175177.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | AU        |      1778000 | PA      | $-10181.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |       898578 | PA      | $12965.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDIAN RUPEE                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |      1285429 | PA      | $-55.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      2231257 | PA      | $-119620.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | GB        |      1801000 | PA      | $30116.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |        47223 | PA      | $-840.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      2104536 | PA      | $-27621.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      3434000 | PA      | $120474.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CL        |    310697100 | PA      | $5736.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | EURO DOLLAR                                                                      | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       603000 | PA      | $3326.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       239689 | PA      | $-4504.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | GB        |       847000 | PA      | $-6539.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |       309277 | PA      | $-5855.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       134091 | PA      | $2160.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       448000 | PA      | $15526.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |      2617000 | PA      | $684.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | BR        |     86838069 | PA      | $-101303.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       928325 | PA      | $-48969.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       658726 | PA      | $-12161.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |     16293849 | PA      | $-150158.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       762482 | PA      | $-7026.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | AU        |      2291000 | PA      | $7127.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       277589 | PA      | $-3654.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | PE        |       452430 | PA      | $6128.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | NEW ZEALAND DOLLAR                                                               | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | NZ        |      1753000 | PA      | $-16890.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      6218444 | PA      | $-54374.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      1894140 | PA      | $-57372.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        36711 | PA      | $181.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      1747519 | PA      | $47281.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     40874958 | PA      | $-691508.63   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      1349463 | PA      | $-63281.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | NEW ZEALAND DOLLAR                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | NZ        |      8175000 | PA      | $-38937.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |       157874 | PA      | $2167.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CL        |   2741751000 | PA      | $23975.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | AUSTRALIAN DOLLAR                                                                | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | AU        |     10019000 | PA      | $33501.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     59755770 | PA      | $-1441069.74  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      2011343 | PA      | $-91225.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      3337089 | PA      | $-32427.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | BRAZILIAN REAL                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |     86838069 | PA      | $153104.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |    177711131 | PA      | $367443.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       956639 | PA      | $-39190.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |    301491000 | PA      | $619239.97    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                    | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      2951003 | PA      | $61318.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | MEXICAN PESO                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | MX        |        13074 | PA      | $10.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |        40362 | PA      | $-214.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | ID        |  23239123984 | PA      | $13146.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      1333518 | PA      | $-31231.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |      5569839 | PA      | $41979.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CL        |    543249896 | PA      | $11247.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | BRITISH POUND STERLING                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | GB        |       836000 | PA      | $5065.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | CHILEAN PESO                                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | CL        |     42336000 | PA      | $426.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | JP        |   3660300000 | PA      | $1446177.62   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                            | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      2231257 | PA      | $-118615.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                   | PERUVIAN NUEVO SOL                                                               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |      2664854 | PA      | $29504.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | SOUTH AFRICAN RAND                                                               | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | ZA        |     19849000 | PA      | $26620.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      4104038 | PA      | $-123696.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                              | JAPANESE YEN                                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | JP        |    246800000 | PA      | $5324.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | INDONESIAN RUPIAH                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | ID        |  10342106950 | PA      | $7551.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                      | UNITED STATES DOLLAR                                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      2130039 | PA      | $-31441.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SOUTH KOREAN WON                                                                 | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | KR        |  16502866800 | PA      | $413582.95    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-3543.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-21534.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |     -3900000 | NC      | $-29.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |      -400000 | NC      | $-2796.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-19135.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-3121.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION CDX - INDEX                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | XX        |     -3700000 | PA      | $-705.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-22669.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |      -600000 | NC      | $-1288.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | OPTION                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -1400000 | NC      | $-4605.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |      -400000 | NC      | $-709.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |      -600000 | NC      | $-3770.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -3300000 | PA      | $-50629.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -3300000 | PA      | $-1.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |     -4700000 | PA      | $-66292.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |     -4700000 | PA      | $-5129.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -4700000 | PA      | $-66292.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -4700000 | PA      | $-5129.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3800000 | PA      | $-49115.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3800000 | PA      | $-4890.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9400000 | PA      | $-130676.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9400000 | PA      | $-12.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-41784.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-6046.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-42776.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-5827.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-44209.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-5527.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-4740.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-48995.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -8700000 | PA      | $-121553.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -8700000 | PA      | $-12.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-51555.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-4033.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-5798.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-44556.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-49104.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-5130.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -8400000 | PA      | $-130926.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -8400000 | PA      | $-19.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7200000 | PA      | $-51733.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7200000 | PA      | $-5503.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7200000 | PA      | $-56230.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7200000 | PA      | $-5101.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |     -7300000 | PA      | $-55512.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |     -7300000 | PA      | $-5761.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7300000 | PA      | $-50509.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -7300000 | PA      | $-6691.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -1900000 | PA      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -1900000 | PA      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -5800000 | PA      | $-16691.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -5800000 | PA      | $-338017.43   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |     -9200000 | PA      | $-56948.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |     -9200000 | PA      | $-64.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -5300000 | PA      | $-16722.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -5300000 | PA      | $-161386.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-10922.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |     -3700000 | PA      | $-168.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -3300000 | PA      | $-9741.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -3300000 | PA      | $-150.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |     -2300000 | PA      | $-26794.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DIR              | CORP              | US        |     -2300000 | PA      | $-569.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -2300000 | PA      | $-26794.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |     -2300000 | PA      | $-569.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -6500000 | PA      | $-37795.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -6500000 | PA      | $-2450.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |     -2000000 | PA      | $-23878.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -12000000 | PA      | $-142689.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |     -2000000 | PA      | $-5360.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |    -12000000 | PA      | $-32350.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9700000 | PA      | $-146872.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9700000 | PA      | $-3.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9700000 | PA      | $-145396.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | XX        |     -9700000 | PA      | $-6.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -4000000 | PA      | $-46531.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |     -4000000 | PA      | $-11269.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |     -3200000 | PA      | $-9545.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | SWAPTION INTEREST RATE                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |     -3200000 | PA      | $-35725.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |           17 | NC      | $-819.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | OPTION BOOKED AS A FUTURE                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -32 | NC      | $25385.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | OPTION BOOKED AS A FUTURE                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -32 | NC      | $-162964.87   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                   | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -82 | NC      | $745769.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -46 | NC      | $183490.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -25 | NC      | $66609.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -27 | NC      | $68318.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -35 | NC      | $119130.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -29 | NC      | $75399.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -32 | NC      | $94868.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -23 | NC      | $58922.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -53 | NC      | $245083.29    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -55 | NC      | $-6875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | OPTION                                                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -55 | NC      | $-164656.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -27 | NC      | $74068.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          -31 | NC      | $79579.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1600000 | PA      | $208922.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     11000000 | PA      | $1437780.95   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      6200000 | PA      | $-48505.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       600000 | PA      | $6437.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       100000 | PA      | $1070.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      9700000 | PA      | $-79775.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      2000000 | PA      | $406765.61    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       900000 | PA      | $8051.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       100000 | PA      | $897.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      3800000 | PA      | $34159.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       200000 | PA      | $1779.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       300000 | PA      | $-1005.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      1300000 | PA      | $-4356.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       400000 | PA      | $3626.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       600000 | PA      | $-2196.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       700000 | PA      | $-2573.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       600000 | PA      | $5453.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    279500000 | PA      | $-2002312.75  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     50200000 | PA      | $-362046.06   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     50500000 | PA      | $-363955.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     85000000 | PA      | $-608853.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     77200000 | PA      | $-303629.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     20600000 | PA      | $-147748.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      9000000 | PA      | $-37751.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     59100000 | PA      | $10609265.43  | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2400000 | PA      | $312925.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1800000 | PA      | $400472.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1700000 | PA      | $385317.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3500000 | PA      | $788833.71    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      5900000 | PA      | $1277261.41   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       900000 | PA      | $376946.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     11500000 | PA      | $4819833.32   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3600000 | PA      | $749410.46    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      5400000 | PA      | $3109355.40   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       500000 | PA      | $224712.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2300000 | PA      | $987210.06    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      4300000 | PA      | $1890733.40   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     69000000 | PA      | $14363683.90  | 1.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      4300000 | PA      | $1124353.32   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      2500000 | PA      | $1526995.22   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      2700000 | PA      | $431095.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      5100000 | PA      | $-51668.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     15200000 | PA      | $-154198.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |     16900000 | PA      | $-171517.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      7600000 | PA      | $833011.32    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3800000 | PA      | $800504.68    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      7600000 | PA      | $833656.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       700000 | PA      | $-4272.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |       400000 | PA      | $-1911.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     14824000 | PA      | $-3183974.04  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1700000 | PA      | $328413.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      4800000 | PA      | $1032254.25   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     59600000 | PA      | $-8238253.15  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     33500000 | PA      | $5028381.27   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     19903000 | PA      | $-2267249.81  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     35800000 | PA      | $3706422.96   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |     16800000 | PA      | $-84900.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     12800000 | PA      | $-4469336.50  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     32300000 | PA      | $-14974.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     32900000 | PA      | $-15242.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     32900000 | PA      | $-15431.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    135800000 | PA      | $-68108.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     65900000 | PA      | $-30711.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     63300000 | PA      | $-30421.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       600000 | PA      | $23155.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       600000 | PA      | $35346.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       300000 | PA      | $23301.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       500000 | PA      | $47054.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       300000 | PA      | $32993.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       100000 | PA      | $12519.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      5700000 | PA      | $587096.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3500000 | PA      | $358846.18    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1800000 | PA      | $238045.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     33100000 | PA      | $5776997.31   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2100000 | PA      | $-366719.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1980000 | PA      | $258360.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2000000 | PA      | $-344476.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     11500000 | PA      | $1179071.61   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1400000 | PA      | $-241615.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     13600000 | PA      | $-667600.92   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      8220000 | PA      | $656895.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    127110000 | PA      | $-13994796.58 | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       350000 | PA      | $33606.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3870000 | PA      | $-373839.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      6850000 | PA      | $999586.88    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      8300000 | PA      | $833148.58    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      6200000 | PA      | $632269.43    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   6580000000 | PA      | $2312953.96   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  12430000000 | PA      | $3746184.14   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     34000000 | PA      | $-3426661.10  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1300000 | PA      | $-209098.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      7200000 | PA      | $-835132.36   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     22200000 | PA      | $536376.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3600000 | PA      | $-356712.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3400000 | PA      | $-339043.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1000000 | PA      | $-129983.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     50900000 | PA      | $-4666603.28  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       300000 | PA      | $-93388.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1700000 | PA      | $-284716.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       300000 | PA      | $-90533.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1700000 | PA      | $-211064.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      8300000 | PA      | $-2734.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     34400000 | PA      | $-11658.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3500000 | PA      | $-334085.24   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     33200000 | PA      | $-2895992.15  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3100000 | PA      | $-440729.31   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |       300000 | PA      | $-158884.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |       300000 | PA      | $-155772.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |    500000000 | PA      | $326220.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     20600000 | PA      | $-1847680.93  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      2200000 | PA      | $-190784.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |       700000 | PA      | $-350112.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1570000 | PA      | $-1569.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       820000 | PA      | $-80673.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3660000 | PA      | $-339490.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    373700000 | PA      | $-9691609.66  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      5100000 | PA      | $1306.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1800000 | PA      | $-4382.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      5100000 | PA      | $875.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1800000 | PA      | $-3792.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      2600000 | PA      | $524.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       900000 | PA      | $-1969.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      6400000 | PA      | $1281.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1600000 | PA      | $-5588.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      2600000 | PA      | $431.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       900000 | PA      | $-1946.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      3200000 | PA      | $562.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1100000 | PA      | $-3043.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      2700000 | PA      | $492.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       600000 | PA      | $-2626.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       600000 | PA      | $143.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       100000 | PA      | $-446.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      2500000 | PA      | $1300.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       600000 | PA      | $-4428.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      2600000 | PA      | $1278.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       300000 | PA      | $-2140.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       300000 | PA      | $-2168.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1200000 | PA      | $616.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       400000 | PA      | $-2208.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1400000 | PA      | $889.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       500000 | PA      | $-3211.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |      1000000 | PA      | $607.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | BR        |       300000 | PA      | $-1900.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    756500000 | PA      | $234828.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |    112800000 | PA      | $131035.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     13500000 | PA      | $10331.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     45900000 | PA      | $53739.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     41700000 | PA      | $46604.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      8200000 | PA      | $-865269.22   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     17000000 | PA      | $3571.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |      8500000 | PA      | $-739.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | MX        |     20000000 | PA      | $226.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |    940000000 | PA      | $295154.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |    520000000 | PA      | $-57715.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |    140000000 | PA      | $94556.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      2700000 | PA      | $-217523.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      8200000 | PA      | $-874872.50   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     11200000 | PA      | $-1023855.71  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      5400000 | PA      | $-495915.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2100000 | PA      | $17487.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2550000 | PA      | $27076.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1280000 | PA      | $294.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       600000 | PA      | $273842.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     25380000 | PA      | $-2861935.27  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     56400000 | PA      | $846787.47    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     15900000 | PA      | $380242.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     28300000 | PA      | $417574.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      2700000 | PA      | $-116487.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     21300000 | PA      | $463433.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      2100000 | PA      | $-18150.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3300000 | PA      | $-130608.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      2500000 | PA      | $-104269.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      1600000 | PA      | $-49874.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      1600000 | PA      | $-56129.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      1600000 | PA      | $-51429.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3400000 | PA      | $-120401.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | ZA        |      6600000 | PA      | $1520.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     19100000 | PA      | $564510.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      3200000 | PA      | $1173.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |       600000 | PA      | $10485.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      2200000 | PA      | $-310577.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1200000 | PA      | $151467.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      1300000 | PA      | $-210547.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      3100000 | PA      | $-339023.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      1400000 | PA      | $-155126.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      1100000 | PA      | $-175023.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      1600000 | PA      | $-247483.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                     | EXCHANGE CLEARED INFLATION INDEXED SWAP                                          | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |      3100000 | PA      | $-428116.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                      | EXCHANGE CLEARED IRS                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     10460000 | PA      | $-1592824.92  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    -23969353 | PA      | $-10732.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    -36500000 | PA      | $-84874.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | MX        |     -1500000 | PA      | $10185.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     -7500000 | PA      | $-36260.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | MX        |     -1700000 | PA      | $5292.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -3485000 | PA      | $28335.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | BR        |      -400000 | PA      | $800.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -9520000 | PA      | $113154.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | MX        |     -1700000 | PA      | $8436.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -200000 | PA      | $761.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | MX        |     -3300000 | PA      | $19423.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | ZA        |      -600000 | PA      | $-1320.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -4472000 | PA      | $50154.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | BR        |      -700000 | PA      | $-2268.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -1275000 | PA      | $15749.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | BR        |      -500000 | PA      | $-1620.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    -79500000 | PA      | $-1008034.31  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -364000 | PA      | $-19388.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | TR        |      -200000 | PA      | $-8510.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -2944000 | PA      | $-8119.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     -4600000 | PA      | $225133.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -198000 | PA      | $-11896.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | BR        |    -10600000 | PA      | $-286100.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -6000000 | PA      | $-31802.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -1000000 | PA      | $-15085.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -9306000 | PA      | $-595626.85   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | BR        |     -7200000 | PA      | $-194332.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -4300000 | PA      | $-10945.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |     -6500000 | PA      | $-135546.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | NL        |      -100000 | PA      | $-2753.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     -7800000 | PA      | $-37710.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -600000 | PA      | $-4139.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -400000 | PA      | $-1547.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -18584000 | PA      | $72427.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DCR              | CORP              | CO        |     -1000000 | PA      | $-46315.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -2772000 | PA      | $-70871.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     -1300000 | PA      | $-49889.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DCR              | CORP              | TR        |     -1810000 | PA      | $-108794.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | ZA        |     -1200000 | PA      | $-46864.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DCR              | CORP              | TR        |      -200000 | PA      | $-4800.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | CO        |      -300000 | PA      | $-17959.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DCR              | CORP              | TR        |      -700000 | PA      | $-42075.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | XX        |    -18000000 | PA      | $34607.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -600000 | PA      | $983.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -14553000 | PA      | $236671.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | CO        |      -300000 | PA      | $-17959.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     -2400000 | PA      | $-22361.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | TR        |     -1300000 | PA      | $-78139.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | TR        |      -100000 | PA      | $-6010.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | CO        |      -200000 | PA      | $-11973.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DCR              | CORP              | TR        |      -200000 | PA      | $-12021.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -2200000 | PA      | $-5267.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -900000 | PA      | $19583.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -2900000 | PA      | $1401.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -2100000 | PA      | $13654.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | XX        |     -1000000 | PA      | $16250.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -3200000 | PA      | $25973.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -7200000 | PA      | $177534.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DCR              | CORP              | TR        |      -500000 | PA      | $-30053.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     -4600000 | PA      | $75329.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - INDEX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -78000000 | PA      | $2602417.98   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP SINGLE NAME                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | CO        |      -100000 | PA      | $-7286.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | CREDIT DEFAULT SWAP-ABX/CMBX SWAP INDEX                                          | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       -43896 | PA      | $3.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                                   | CREDIT DEFAULT SWAP CREDIT TRANCHE                                               | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    -13558906 | PA      | $1201668.30   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                        | EXCHANGE CLEARED CDS - SINGLE NAME                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      -500000 | PA      | $-6132.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | TOTAL RETURN SWAP                                                                | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DCR              | CORP              | US        |        32655 | PA      | $40655.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | TOTAL RETURN SWAP                                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |        11333 | PA      | $-22552.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | TOTAL RETURN SWAP                                                                | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |        11334 | PA      | $-15754.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                    | TOTAL RETURN SWAP - INDEX                                                        | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       233100 | PA      | $-12097.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |           15 | NC      | $-370.59      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          -11 | NC      | $14275.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -316 | NC      | $-12792.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |           83 | NC      | $-13730.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | FUTURE - PHYSICALLY DELIVERED                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -254 | NC      | $-77764.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                                   | FUTURE - CASH SETTLED                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          249 | NC      | $-1102246.51  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1500000 | PA      | $1479141.30   | 0.12%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667GNJ8<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      2747116 | PA      | $2530723.63   | 0.20%             | 2035-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-20                                    | CWABS Asset-Backed Certificates Trust 2006-20                                    | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14200000 | PA      | $12702749.16  | 1.02%             | 2035-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1490000 | PA      | $1256858.76   | 0.10%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                             | DISH DBS Corporation                                                             | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1490000 | PA      | $1190167.60   | 0.10%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                       | WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                       | CUSIP: 542514MG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1846924 | PA      | $1815751.34   | 0.15%             | 2045-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2022-4                                        | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12700000 | PA      | $12517551.80  | 1.00%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |        32000 | PA      | $28772.48     | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      3400000 | PA      | $2732705.80   | 0.22%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2450000 | PA      | $2481427.33   | 0.20%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                   | EPR Properties                                                                   | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |        90000 | PA      | $77065.34     | 0.01%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132A5KB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        36062 | PA      | $34383.30     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |      6400000 | PA      | $4480000.00   | 0.36%             | 2029-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                                   | Avolon TLB Borrower 1 (US) LLC                                                   | CUSIP: 05400KAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        30777 | PA      | $30636.15     | 0.00%             | 2025-01-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5867798 | PA      | $5159647.79   | 0.41%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2021-230P                                         | Morgan Stanley Capital I Trust 2021-230P                                         | CUSIP: 61772WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5417000 | PA      | $4872782.18   | 0.39%             | 2023-12-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| RegionalCare Hospital Partners Holdings, Inc.                                    | RegionalCare Hospital Partners Holdings, Inc.                                    | CUSIP: 75915TAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        86539 | PA      | $81390.16     | 0.01%             | 2025-11-09      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Westmoreland Coal Company                                                        | Westmoreland Coal Company                                                        | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        72267 | PA      | $54200.50     | 0.00%             | 2029-03-15      | Floating      | 15.00%                | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                             | Carnival Corporation                                                             | CUSIP: P2121YAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       782000 | PA      | $747646.74    | 0.06%             | 2025-06-29      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                             | Carnival Corporation                                                             | CUSIP: P2121YAP3<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |      2891420 | PA      | $2965526.69   | 0.24%             | 2025-06-26      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91327AAA0<br>LEI: 549300V3NU625PJUVA84 | Long             | DBT              | CORP              | US        |      5171000 | PA      | $5018724.60   | 0.40%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91327BAA8<br>LEI: 549300V3NU625PJUVA84 | Long             | DBT              | CORP              | US        |       507000 | PA      | $335706.68    | 0.03%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C15                                         | WFRBS Commercial Mortgage Trust 2013-C15                                         | CUSIP: 92938CAE7<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |        97584 | PA      | $97079.70     | 0.01%             | 2023-05-17      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      1332000 | PA      | $107559.00    | 0.01%             | 2024-10-13      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1223000 | PA      | $304188.21    | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638AX0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      7914000 | PA      | $2183553.22   | 0.18%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                    | Ford Motor Credit Company LLC                                                    | CUSIP: 345397YV9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       100000 | PA      | $102840.22    | 0.01%             | 2024-12-01      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |      5400000 | PA      | $2160000.00   | 0.17%             | 2047-06-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Corsair International Limited                                                    | Corsair International Limited                                                    | CUSIP: N/A<br>LEI: 213800F3PS68ENYG4O41       | Long             | DBT              | CORP              | JE        |      1000000 | PA      | $1054392.75   | 0.08%             | 2029-01-28      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1527342 | PA      | $1459100.82   | 0.12%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JNRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       129894 | PA      | $124140.97    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UniCredit S.p.A.                                                                 | UniCredit S.p.A.                                                                 | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | US        |      6140000 | PA      | $6193166.26   | 0.50%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2631000 | PA      | $2973253.73   | 0.24%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6730000 | PA      | $7530192.14   | 0.60%             | 2024-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $202881.81    | 0.02%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| PUG LLC                                                                          | PUG LLC                                                                          | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        95305 | PA      | $78467.47     | 0.01%             | 2027-01-31      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                  | CUSIP: 89364MBQ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8075443 | PA      | $7980233.57   | 0.64%             | 2025-05-30      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                  | TransDigm, Inc.                                                                  | CUSIP: 89364MBR4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3939241 | PA      | $3886375.90   | 0.31%             | 2023-06-09      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Avolon                                                                           | Avolon                                                                           | CUSIP: 05400KAF7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        33150 | PA      | $32646.78     | 0.00%             | 2027-02-05      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                             | Carnival Corporation                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | ES        |      2000000 | PA      | $2051259.54   | 0.16%             | 2025-06-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-21                                    | CWABS Asset-Backed Certificates Trust 2006-21                                    | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       813463 | PA      | $793136.87    | 0.06%             | 2035-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       124483 | NS      | $763080.79    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | DBT              | CORP              | US        |      3661000 | PA      | $0.04         | 0.00%             | 2500-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Turkiye Ihracat Kredi Bankasi A.S.                                               | Turkiye Ihracat Kredi Bankasi A.S.                                               | CUSIP: 90015LAF4<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | CORP              | TR        |       200000 | PA      | $202630.25    | 0.02%             | 2024-01-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Uniti Group Inc.                                                                 | Uniti Group Inc.                                                                 | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |        54586 | NS      | $301860.58    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Newgate Funding PLC                                                              | Newgate Funding PLC                                                              | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |      3769280 | PA      | $4286165.84   | 0.34%             | 2050-12-15      | Floating      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                         | Eurosail-UK 2007-3BL PLC                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     11954214 | PA      | $12166716.91  | 0.98%             | 2045-06-13      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-6NC PLC                                                         | Eurosail-UK 2007-6NC PLC                                                         | CUSIP: 29881HAG0<br>LEI: 213800IIPOCPT94J7N57 | Long             | ABS-MBS          | CORP              | GB        |        31580 | PA      | $36638.01     | 0.00%             | 2045-09-13      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |       380300 | PA      | $30709.23     | 0.00%             | 2038-03-31      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |       600000 | PA      | $378000.00    | 0.03%             | 2043-09-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8830443 | PA      | $7552975.65   | 0.61%             | 2037-12-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | CUSIP: 95001EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2542000 | PA      | $2467486.35   | 0.20%             | 2031-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | CUSIP: 95001EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178000 | PA      | $169195.07    | 0.01%             | 2031-12-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating, LP                                                  | Western Midstream Operating, LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       124000 | PA      | $123978.54    | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Windstream Escrow, LLC                                                           | Windstream Escrow, LLC                                                           | CUSIP: 97382WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6439000 | PA      | $5267753.43   | 0.42%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Buenos Aires City S.A.                                                           | Buenos Aires City S.A.                                                           | CUSIP: N/A<br>LEI: 5299007MC8RF52X0ON96       | Long             | DBT              | NUSS              | AR        |     61987000 | PA      | $181810.99    | 0.01%             | 2024-03-29      | Floating      | 72.38%                | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                  | Santander UK Group Holdings PLC                                                  | CUSIP: N/A<br>LEI: 549300F5XIFGNNW4CF72       | Long             | DBT              | CORP              | DE        |      2780000 | PA      | $3219455.39   | 0.26%             | 2500-12-31      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |      2900000 | PA      | $3459185.84   | 0.28%             | 2500-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      5932000 | PA      | $1436388.47   | 0.12%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |      1780000 | PA      | $1967489.16   | 0.16%             | 2500-12-31      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |      1600000 | PA      | $1841279.36   | 0.15%             | 2500-12-31      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding 2020-1 PLC                                             | Stratton Mortgage Funding 2020-1 PLC                                             | CUSIP: N/A<br>LEI: 213800G2XU9VVSXRMZ98       | Long             | ABS-MBS          | CORP              | GB        |      3200000 | PA      | $3754879.08   | 0.30%             | 2052-03-12      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Gaz Capital S.A.                                                                 | Gaz Capital S.A.                                                                 | CUSIP: N/A<br>LEI: 213800568PRHV2JR9650       | Long             | DBT              | CORP              | LU        |      4380000 | PA      | $3281998.14   | 0.26%             | 2024-01-24      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                | IndyMac MBS, Inc.                                                                | CUSIP: 45660LKB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       957989 | PA      | $626477.88    | 0.05%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust 2006-AR21                                       | IndyMac INDX Mortgage Loan Trust 2006-AR21                                       | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2332808 | PA      | $1456297.41   | 0.12%             | 2036-06-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2021-230P                                         | Morgan Stanley Capital I Trust 2021-230P                                         | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2929000 | PA      | $2707777.61   | 0.22%             | 2023-12-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CX6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      3800000 | PA      | $3543488.60   | 0.28%             | 2025-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       790000 | PA      | $774090.88    | 0.06%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |       400000 | PA      | $227813.11    | 0.02%             | 2026-07-12      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |          254 | NS      | $571.50       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       123631 | NS      | $2967144.00   | 0.24%             |  |  |  | No            |                  3 | On Loan: No      |
| Caesars Resort Collection, LLC                                                   | Caesars Resort Collection, LLC                                                   | CUSIP: 12769LAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3228365 | PA      | $3218131.19   | 0.26%             | 2024-12-23      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Ineos Finance PLC                                                                | Ineos Finance PLC                                                                | CUSIP: G4770QAC9<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |     12056061 | PA      | $12845523.27  | 1.03%             | 2024-03-31      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                               | The Boeing Company                                                               | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      2230000 | PA      | $2043763.11   | 0.16%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       158585 | PA      | $150434.06    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4995114 | PA      | $4733689.33   | 0.38%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        48463 | PA      | $45896.62     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       390064 | PA      | $369405.54    | 0.03%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |         9640 | PA      | $9126.39      | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JG5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       109600 | PA      | $103617.54    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD Point Mortgage Trust 2022-4                                                 | TOWD Point Mortgage Trust 2022-4                                                 | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13607124 | PA      | $12635531.55  | 1.01%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10220000 | PA      | $12415957.11  | 1.00%             | 2024-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11400000 | PA      | $10697145.96  | 0.86%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Mr. Cooper Group Inc.                                                            | Mr. Cooper Group Inc.                                                            | CUSIP: 93936RAA2<br>LEI: 549300KD8C6DPXYC2M26 | Long             | ABS-MBS          | CORP              | US        |      1691566 | PA      | $1384009.17   | 0.11%             | 2047-05-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |       600000 | PA      | $403174.84    | 0.03%             | 2025-01-17      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |       400000 | PA      | $212002.86    | 0.02%             | 2030-10-22      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Country Garden Holdings Company Limited                                          | Country Garden Holdings Company Limited                                          | CUSIP: N/A<br>LEI: 549300MGHLPT1EFHGF84       | Long             | DBT              | CORP              | US        |       400000 | PA      | $243590.98    | 0.02%             | 2025-10-22      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      4300000 | PA      | $3901031.38   | 0.31%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       108000 | PA      | $82018.47     | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |       400000 | PA      | $168000.00    | 0.01%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| National Power Company Ukrenergo                                                 | National Power Company Ukrenergo                                                 | CUSIP: N/A<br>LEI: 8945009LCLS92V4AK321       | Long             | DBT              | CORP              | US        |       400000 | PA      | $68930.70     | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Sprint Corporation                                                               | Sprint Corporation                                                               | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |        47000 | PA      | $49458.52     | 0.00%             | 2026-03-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |       800000 | PA      | $546027.20    | 0.04%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Romania, Government of                                                           | Romania, Government of                                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      1200000 | PA      | $1065371.28   | 0.09%             | 2028-03-07      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2400000 | PA      | $2403668.85   | 0.19%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3100000 | PA      | $3114738.62   | 0.25%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        30000 | PA      | $24637.50     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7210000 | PA      | $7075199.23   | 0.57%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8166000 | PA      | $9170929.27   | 0.74%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                               | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400000 | PA      | $2220229.20   | 0.18%             | 2023-10-16      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XWF6<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |       316923 | PA      | $305445.15    | 0.02%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                   | Alternative Loan Trust 2005-45                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1563762 | PA      | $1366101.16   | 0.11%             | 2035-11-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-C1                                      | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5500000 | PA      | $5124893.40   | 0.41%             | 2026-05-12      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2006-4                                             | Citigroup Mortgage Loan Trust 2006-4                                             | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2558074 | PA      | $2420079.94   | 0.19%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $885544.23    | 0.07%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        12735 | PA      | $12119.09     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JG6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       151219 | PA      | $143009.50    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140M8HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       237446 | PA      | $223865.44    | 0.02%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XDXK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        24203 | PA      | $23025.06     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust, Series 2007-15N                                                 | Lehman XS Trust, Series 2007-15N                                                 | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2950841 | PA      | $2623650.89   | 0.21%             | 2047-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| METAL 2017-1 LLC                                                                 | METAL 2017-1 LLC                                                                 | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1159149 | PA      | $609282.19    | 0.05%             | 2024-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Owl Rock Capital Corporation                                                     | Owl Rock Capital Corporation                                                     | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $3615560.90   | 0.29%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KGKJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       322614 | PA      | $306712.33    | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       142647 | PA      | $135181.46    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KNHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        64132 | PA      | $60956.15     | 0.00%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X6S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       411386 | PA      | $380754.01    | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1562007 | PA      | $1472814.14   | 0.12%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $289545.90    | 0.02%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $285521.24    | 0.02%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         5229 | PA      | $4979.23      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        30737 | PA      | $29728.82     | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       932865 | PA      | $887176.68    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       983769 | PA      | $865043.34    | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1153531 | PA      | $885898.48    | 0.07%             | 2047-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| SS&C European Holdings Sarl                                                      | SS&C European Holdings Sarl                                                      | CUSIP: 78466DBE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       116465 | PA      | $114313.96    | 0.01%             | 2025-02-27      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Amsurg                                                                           | Amsurg                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |       261538 | PA      | $253530.15    | 0.02%             | 2027-04-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Amsurg                                                                           | Amsurg                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      3542066 | PA      | $2810027.15   | 0.23%             | 2027-04-30      | Floating      | 15.74%                | No            |                  2 | On Loan: No      |
| Harley Marine Financing LLC                                                      | Harley Marine Financing LLC                                                      | CUSIP: 41284LAA2<br>LEI: 5493005HW7HO5Y757M86 | Long             | ABS-CBDO         | CORP              | US        |       171395 | PA      | $167613.92    | 0.01%             | 2043-05-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Market Bidco Limited                                                             | Market Bidco Limited                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |      1978652 | PA      | $1837405.66   | 0.15%             | 2027-11-04      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Market Bidco Limited                                                             | Market Bidco Limited                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |      1079265 | PA      | $1002221.27   | 0.08%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       569218 | PA      | $535647.51    | 0.04%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HJ4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       237899 | PA      | $225355.02    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140MVS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        24858 | PA      | $21842.50     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QFWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        42787 | PA      | $41048.93     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QGCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        96814 | PA      | $91497.16     | 0.01%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X6S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3910793 | PA      | $3483735.33   | 0.28%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        33807 | PA      | $32005.60     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                     | GS Mortgage Securities Corp.                                                     | CUSIP: 362334GT5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |      3836162 | PA      | $1757624.50   | 0.14%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                 | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DJQ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |      4159902 | PA      | $3498857.57   | 0.28%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                 | GSR Mortgage Loan Trust 2005-AR1                                                 | CUSIP: 36242DNF6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |      2992862 | PA      | $2598705.02   | 0.21%             | 2034-08-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GSMSC Resecuritization Trust 2015-8R                                             | GSMSC Resecuritization Trust 2015-8R                                             | CUSIP: 36254WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23903759 | PA      | $6595047.22   | 0.53%             | 2037-04-28      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| GE-WMC Mortgage Securities, L.L.C.                                               | GE-WMC Mortgage Securities, L.L.C.                                               | CUSIP: 367910AF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13365357 | PA      | $11167964.14  | 0.90%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Legacy Lifepoint Health, LLC                                                     | Legacy Lifepoint Health, LLC                                                     | CUSIP: 53219LAR0<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $5232858.48   | 0.42%             | 2026-12-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |       300000 | PA      | $254431.44    | 0.02%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       690000 | PA      | $633514.88    | 0.05%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       447000 | PA      | $399855.23    | 0.03%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $820544.83    | 0.07%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust 2021-5                                            | Pagaya AI Debt Selection Trust 2021-5                                            | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3702290 | PA      | $3575394.14   | 0.29%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding 2020-1, LLC                                           | Palmer Square Loan Funding 2020-1, LLC                                           | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1834309 | PA      | $1821487.07   | 0.15%             | 2028-02-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities CORP Mortgage Loan Trust 2007-OSI                    | Structured Asset Securities CORP Mortgage Loan Trust 2007-OSI                    | CUSIP: 863619AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15055009 | PA      | $9862911.12   | 0.79%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| TruPS Financials Note Securitization 2017-2 Ltd                                  | TruPS Financials Note Securitization 2017-2 Ltd                                  | CUSIP: 898203AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1592894 | PA      | $1519996.60   | 0.12%             | 2039-09-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KG4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       278811 | PA      | $264828.70    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140H83Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        49238 | PA      | $46945.34     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K3AY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        69912 | PA      | $66318.64     | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K8NL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2114879 | PA      | $2004856.01   | 0.16%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K8YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        19975 | PA      | $18947.85     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4VM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        48667 | PA      | $46298.74     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XEC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       607896 | PA      | $577791.09    | 0.05%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        82267 | PA      | $78038.87     | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2020-1                                        | Ellington Financial Mortgage Trust 2020-1                                        | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       253992 | PA      | $240727.16    | 0.02%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-E                                                   | Fremont Home Loan Trust 2006-E                                                   | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14640017 | PA      | $7395698.63   | 0.59%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Wynn Macau, Limited                                                              | Wynn Macau, Limited                                                              | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1128789.80   | 0.09%             | 2029-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Gaz Capital S.A.                                                                 | Gaz Capital S.A.                                                                 | CUSIP: N/A<br>LEI: 213800568PRHV2JR9650       | Long             | DBT              | CORP              | LU        |       800000 | PA      | $560000.00    | 0.04%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |      3400000 | PA      | $1462000.00   | 0.12%             | 2026-05-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |       338000 | PA      | $84746.82     | 0.01%             | 2028-08-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | RU        |      2800000 | PA      | $1176000.00   | 0.09%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Stichting AK Rabobank Certificaten II                                            | Stichting AK Rabobank Certificaten II                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | NL        |      4401150 | PA      | $4516211.85   | 0.36%             | 2500-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                    | Netflix, Inc.                                                                    | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |       809000 | PA      | $800126.16    | 0.06%             | 2029-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Waterlogic Group Holdings Limited                                                | Waterlogic Group Holdings Limited                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |      1473333 | PA      | $1340559.59   | 0.11%             | 2028-07-14      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Ministry of Finance                                                              | Ministry of Finance                                                              | CUSIP: N/A<br>LEI: 213800T8ZHTFZIBYPE21       | Long             | DBT              | NUSS              | US        |      2434000 | PA      | $1913148.34   | 0.15%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |       490000 | PA      | $20947.50     | 0.00%             | 2024-05-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Market Bidco Finco PLC                                                           | Market Bidco Finco PLC                                                           | CUSIP: N/A<br>LEI: 213800IN6LSRGTZSOS29       | Long             | DBT              | CORP              | GB        |      2300000 | PA      | $1965260.38   | 0.16%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        |     63437000 | PA      | $41964.40     | 0.00%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| NMG Parent LLC                                                                   | NMG Parent LLC                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        31571 | NS      | $5769710.74   | 0.46%             |  |  |  | No            |                  3 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                   | Alternative Loan Trust 2005-45                                                   | CUSIP: 12668A4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8215813 | PA      | $6834336.33   | 0.55%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CWMBS, Inc.                                                                      | CWMBS, Inc.                                                                      | CUSIP: 126694M96<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-MBS          | CORP              | US        |      2408211 | PA      | $1961947.45   | 0.16%             | 2046-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AF9<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |       120000 | PA      | $46800.00     | 0.00%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AH5<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $532001.51    | 0.04%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2006-17                                          | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1216364 | PA      | $563424.81    | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       200000 | PA      | $145152.01    | 0.01%             | 2500-12-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $867954.85    | 0.07%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2023880.40   | 0.16%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust 2006-6                                                | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       481741 | PA      | $259696.94    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                                                 | Deutsche Bank Aktiengesellschaft                                                 | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |      9500000 | PA      | $7200088.00   | 0.58%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Omega Healthcare Investors, Inc.                                                 | Omega Healthcare Investors, Inc.                                                 | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |       184000 | PA      | $151336.84    | 0.01%             | 2029-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |       500000 | PA      | $21375.00     | 0.00%             | 2026-11-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      3719523 | PA      | $1176299.15   | 0.09%             | 2038-01-09      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                  | Avolon Holdings Funding Limited                                                  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |      2605000 | PA      | $2103052.53   | 0.17%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2019-AHT                              | BAMLL Commercial Mortgage Securities Trust 2019-AHT                              | CUSIP: 05525DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7010000 | PA      | $6729277.54   | 0.54%             | 2034-03-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2009-RR13-II Trust                                                      | BCAP LLC 2009-RR13-II Trust                                                      | CUSIP: 05532KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3562007 | PA      | $1868023.17   | 0.15%             | 2037-04-26      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8                  | C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8                  | CUSIP: 1248P1AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5741138 | PA      | $4746918.41   | 0.38%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                                   | Community Health Systems, Inc.                                                   | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      4746000 | PA      | $4072179.39   | 0.33%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3131Y2FK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        11487 | PA      | $10874.88     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       928204 | PA      | $886731.62    | 0.07%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329PC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       120307 | PA      | $111264.55    | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                           | Nissan Motor Co., Ltd.                                                           | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1858999.60   | 0.15%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |      1330000 | PA      | $1251863.83   | 0.10%             | 2029-04-26      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      9860000 | PA      | $12472535.70  | 1.00%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5700000 | PA      | $5668821.00   | 0.45%             | 2028-03-10      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| Cengage Learning, Inc.                                                           | Cengage Learning, Inc.                                                           | CUSIP: 15134NAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4209480 | PA      | $3776703.36   | 0.30%             | 2026-06-29      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: L5137LAQ8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2375064 | PA      | $2288540.79   | 0.18%             | 2029-01-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Syniverse Holdings, Inc.                                                         | Syniverse Holdings, Inc.                                                         | CUSIP: 87168TAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       543976 | PA      | $472578.91    | 0.04%             | 2027-05-06      | Floating      | 10.55%                | No            |                  2 | On Loan: No      |
| Amsurg                                                                           | Amsurg                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      1438462 | PA      | $1394415.85   | 0.11%             | 2027-04-30      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TransDigm Inc.                                                                   | TransDigm Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      3446835 | PA      | $3430049.35   | 0.28%             | 2027-02-28      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Banco de Credito del Peru                                                        | Banco de Credito del Peru                                                        | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |      1800000 | PA      | $442681.24    | 0.04%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      5700000 | PA      | $5536125.00   | 0.44%             | 2500-12-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                                  | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HWT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1837471 | PA      | $1746547.79   | 0.14%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        38030 | PA      | $33428.38     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         4292 | PA      | $4117.98      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         3847 | PA      | $3698.15      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140K9TY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        29960 | PA      | $28392.27     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KPG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        79900 | PA      | $75568.63     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140MMBG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1463966 | PA      | $1287288.00   | 0.10%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         8458 | PA      | $8057.12      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QB2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       334584 | PA      | $318196.78    | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4M60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         6392 | PA      | $6044.71      | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HITR 2019-2A A1 144A 3MLIB+176BP                                                 | HITR 2019-2A A1 144A 3MLIB+176BP                                                 | CUSIP: 43133JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9846024 | PA      | $8994136.56   | 0.72%             | 2039-05-23      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4000000 | PA      | $3391250.00   | 0.27%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41294894 | PA      | $36304017.89  | 2.91%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      2664730 | PA      | $766109.88    | 0.06%             | 2041-07-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLI, Ltd.                                                   | Madison Park Funding XLI, Ltd.                                                   | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4684334 | PA      | $4633677.58   | 0.37%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132ADWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        12232 | PA      | $11658.57     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |         8427 | PA      | $8014.31      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       806729 | PA      | $765769.00    | 0.06%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mitchells & Butlers Finance PLC                                                  | Mitchells & Butlers Finance PLC                                                  | CUSIP: N/A<br>LEI: 213800E7QA1U8BF34219       | Long             | DBT              | CORP              | GB        |       122434 | PA      | $136472.83    | 0.01%             | 2028-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | DBT              | CORP              | US        |      4558000 | PA      | $0.05         | 0.00%             | 2500-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |        30000 | PA      | $20290.70     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      3529500 | PA      | $2757796.00   | 0.22%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      3343000 | PA      | $2886634.03   | 0.23%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $874900.66    | 0.07%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Studio City Company Limited                                                      | Studio City Company Limited                                                      | CUSIP: 86400GAC3<br>LEI: 984500V5401EFT095A58 | Long             | DBT              | CORP              | US        |       400000 | PA      | $374069.26    | 0.03%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Turkiye Cumhuriyeti Basbakanlik                                                  | Turkiye Cumhuriyeti Basbakanlik                                                  | CUSIP: 900123CQ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | US        |       600000 | PA      | $535509.00    | 0.04%             | 2028-10-24      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                                       | United Airlines Pass Through Trust 2020-1A                                       | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2134035 | PA      | $2102237.88   | 0.17%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19800000 | PA      | $18008717.76  | 1.44%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Voyager Common Shares                                                            | Voyager Common Shares                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |          354 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Voyager Aviation Holdings, LLC                                                   | Voyager Aviation Holdings, LLC                                                   | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |      2540000 | PA      | $2108224.97   | 0.17%             | 2026-05-09      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3065000 | PA      | $3017279.18   | 0.24%             | 2031-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      4069000 | PA      | $945459.09    | 0.08%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Gobierno de la Provincia de Buenos Aires                                         | Gobierno de la Provincia de Buenos Aires                                         | CUSIP: N/A<br>LEI: 549300L6AYROPOTQ4L07       | Long             | DBT              | NUSS              | AR        |      6440000 | PA      | $16719.83     | 0.00%             | 2025-04-12      | Floating      | 62.10%                | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                    | Netflix, Inc.                                                                    | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |       500000 | PA      | $520623.82    | 0.04%             | 2029-05-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |      5342000 | PA      | $5431966.66   | 0.44%             | 2500-12-31      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Kennedy Wilson Europe Real Estate Limited                                        | Kennedy Wilson Europe Real Estate Limited                                        | CUSIP: N/A<br>LEI: 213800WIL553Z1T6DZ52       | Long             | DBT              | CORP              | JE        |      3000000 | PA      | $2496727.10   | 0.20%             | 2025-11-12      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Westmoreland Coal Company                                                        | Westmoreland Coal Company                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |          768 | NS      | $9600.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SS&C Technologies Inc.                                                           | SS&C Technologies Inc.                                                           | CUSIP: 78466DBD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       149182 | PA      | $146426.99    | 0.01%             | 2025-02-27      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Sunshine Luxembourg VII SARL                                                     | Sunshine Luxembourg VII SARL                                                     | CUSIP: L8908YAE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       443693 | PA      | $424219.57    | 0.03%             | 2026-10-02      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                                            | Rio Oil Finance Trust                                                            | CUSIP: N/A<br>LEI: 549300V5D1W52HY8NO65       | Long             | DBT              | CORP              | US        |        64357 | PA      | $64678.85     | 0.01%             | 2024-07-06      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |      2800000 | PA      | $1764000.00   | 0.14%             | 2042-04-04      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                               | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $2050313.32   | 0.16%             | 2023-10-16      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2013-2                                             | Citigroup Mortgage Loan Trust 2013-2                                             | CUSIP: 17319UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3489116 | PA      | $3054063.42   | 0.25%             | 2037-11-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018-B2                                      | Citigroup Commercial Mortgage Trust 2018-B2                                      | CUSIP: 17327FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46925 | PA      | $46854.65     | 0.00%             | 2023-01-12      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                             | Clear Channel Outdoor Holdings, Inc.                                             | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       515136 | NS      | $540892.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Commonbond Student Loan Trust 2020-A-GS                                          | Commonbond Student Loan Trust 2020-A-GS                                          | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3942743 | PA      | $3414102.35   | 0.27%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                    | Ginnie Mae II                                                                    | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12600000 | PA      | $11576628.00  | 0.93%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                    | Ginnie Mae II                                                                    | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6900000 | PA      | $6532036.11   | 0.52%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                    | Ginnie Mae II                                                                    | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5800000 | PA      | $5627864.12   | 0.45%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 22546DAA4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1736956.80   | 0.14%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2257580.00   | 0.18%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-10                                    | CWABS Asset-Backed Certificates Trust 2007-10                                    | CUSIP: 23246BAL5<br>LEI: 549300Y4W8YZU6A6WI97 | Long             | ABS-CBDO         | CORP              | US        |      9593179 | PA      | $7454426.80   | 0.60%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                                                 | Deutsche Bank Aktiengesellschaft                                                 | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |      1729000 | PA      | $1650171.95   | 0.13%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132AEPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       103597 | PA      | $98620.09     | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| S-JETS 2017-1 Limited                                                            | S-JETS 2017-1 Limited                                                            | CUSIP: 784309AA4<br>LEI: 635400FR77IW5YEET913 | Long             | ABS-CBDO         | CORP              | BM        |      1053259 | PA      | $811903.67    | 0.07%             | 2025-08-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                 | Sands China Ltd.                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | US        |      6033000 | PA      | $5839657.37   | 0.47%             | 2025-08-08      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                 | Sands China Ltd.                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | US        |       400000 | PA      | $368463.76    | 0.03%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                 | Sands China Ltd.                                                                 | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | US        |       200000 | PA      | $172387.50    | 0.01%             | 2030-06-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC                                         | Securitized Asset Backed Receivables LLC                                         | CUSIP: 81375WJH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9925094 | PA      | $9497052.88   | 0.76%             | 2035-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       300000 | PA      | $310604.32    | 0.02%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11900000 | PA      | $10827141.22  | 0.87%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |       363000 | PA      | $29312.25     | 0.00%             | 2028-05-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | US        |       769000 | PA      | $194364.75    | 0.02%             | 2035-07-09      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | EC               | CORP              | AR        |    415300000 | PA      | $1927155.57   | 0.15%             | 2023-05-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |        60000 | PA      | $4845.00      | 0.00%             | 2049-12-09      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGA              | US        |     -1630104 | PA      | $-1530768.72  | -0.12%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74650000 | PA      | $70089317.97  | 5.62%             | 2053-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11300000 | PA      | $10892140.06  | 0.87%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2300000 | PA      | $2267298.14   | 0.18%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4700000 | PA      | $4772705.24   | 0.38%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67300000 | PA      | $68272727.28  | 5.48%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comm 2013-CCRE10 Mortgage Trust                                                  | Comm 2013-CCRE10 Mortgage Trust                                                  | CUSIP: 12626BAE4<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |        47539 | PA      | $47328.52     | 0.00%             | 2023-04-12      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667G2G7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |       739062 | PA      | $572982.79    | 0.05%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                               | Specialty Underwriting & Residential Finance Trust                               | CUSIP: 84751VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17868254 | PA      | $10362222.05  | 0.83%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Valaris Limited                                                                  | Valaris Limited                                                                  | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        16000 | PA      | $15864.84     | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                     | Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                     | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1486034 | PA      | $1268375.05   | 0.10%             | 2035-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Preferred Residential Securities 05-2 PLC                                        | Preferred Residential Securities 05-2 PLC                                        | CUSIP: N/A<br>LEI: 213800GE8EY4CRT3E125       | Long             | ABS-MBS          | CORP              | GB        |      1860000 | PA      | $2192352.30   | 0.18%             | 2040-12-15      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Alba 2006-2 PLC                                                                  | Alba 2006-2 PLC                                                                  | CUSIP: N/A<br>LEI: 2138004SAGUH3UKKW934       | Long             | ABS-MBS          | CORP              | GB        |      1090980 | PA      | $1141400.45   | 0.09%             | 2038-12-15      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Mansard Mortgages 2006-1 PLC                                                     | Mansard Mortgages 2006-1 PLC                                                     | CUSIP: 56418MAE9<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |      3886024 | PA      | $4210660.62   | 0.34%             | 2048-10-15      | Floating      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |       300000 | PA      | $12825.00     | 0.00%             | 2037-04-12      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SPA                                                              | Intesa Sanpaolo SPA                                                              | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Long             | DBT              | CORP              | IT        |      8300000 | PA      | $8567545.90   | 0.69%             | 2500-12-31      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Encore Credit Receivables Trust                                                  | Encore Credit Receivables Trust                                                  | CUSIP: 29256PBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5905000 | PA      | $4937934.02   | 0.40%             | 2036-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QC66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       155339 | PA      | $148653.75    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5314922 | PA      | $5057936.35   | 0.41%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 31329QWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1050730 | PA      | $990674.10    | 0.08%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132ACYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        15229 | PA      | $14410.56     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DV5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        24774 | PA      | $23477.66     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2000401 | PA      | $1884299.73   | 0.15%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Galaxy XV CLO Ltd                                                                | Galaxy XV CLO Ltd                                                                | CUSIP: 36318WAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7000000 | PA      | $6881609.00   | 0.55%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1                                 | J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1                                 | CUSIP: 46626LAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7756887 | PA      | $7342121.78   | 0.59%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                     | Marriott International, Inc.                                                     | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |        66000 | PA      | $61638.73     | 0.00%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                               | Oracle Corporation                                                               | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       234000 | PA      | $156765.84    | 0.01%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Park Place Securities, Inc.                                                      | Park Place Securities, Inc.                                                      | CUSIP: 70069FHY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4461000 | PA      | $3098457.59   | 0.25%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| People's Choice Home Loan Securities Trust Series 2005-3                         | People's Choice Home Loan Securities Trust Series 2005-3                         | CUSIP: 71085PCT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3545203 | PA      | $3315478.83   | 0.27%             | 2035-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      4263000 | PA      | $1068894.41   | 0.09%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Navient Corporation                                                              | Navient Corporation                                                              | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1587074.34   | 0.13%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                                                 | Sands China Ltd.                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1873761.90   | 0.15%             | 2028-08-08      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10400000 | PA      | $10293913.76  | 0.83%             | 2023-03-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Windstream Services, LLC                                                         | Windstream Services, LLC                                                         | CUSIP: 97381JAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       550203 | PA      | $496558.56    | 0.04%             | 2027-08-24      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |       900000 | PA      | $72675.00     | 0.01%             | 2031-08-05      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela, S.A.                                                     | Petroleos de Venezuela, S.A.                                                     | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | US        |       300000 | PA      | $12825.00     | 0.00%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MCE Finance Limited                                                              | MCE Finance Limited                                                              | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       800000 | PA      | $645499.79    | 0.05%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust 2014-R3                                    | Morgan Stanley Resecuritization Trust 2014-R3                                    | CUSIP: 61763PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2325213 | PA      | $2268073.17   | 0.18%             | 2048-07-28      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Prime Healthcare Services, Inc.                                                  | Prime Healthcare Services, Inc.                                                  | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4231708.70   | 0.34%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                                            | Rio Oil Finance Trust                                                            | CUSIP: 76716XAC6<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |       212800 | PA      | $214876.17    | 0.02%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |       200000 | PA      | $188096.20    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1813280.00   | 0.15%             | 2030-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| SMB Private Education Loan Trust 2022-B                                          | SMB Private Education Loan Trust 2022-B                                          | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3265186 | PA      | $3144310.14   | 0.25%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| US Airways, Inc.                                                                 | US Airways, Inc.                                                                 | CUSIP: 90345KAA8<br>LEI: 5493004XNBKB5SFUJI60 | Long             | ABS-CBDO         | CORP              | US        |       744374 | PA      | $733476.05    | 0.06%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Voyager Preferred Units                                                          | Voyager Preferred Units                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         2121 | NS      | $616729.84    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        12901 | NS      | $96757.50     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |        13427 | NS      | $90632.25     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings, Ltd.                                                  | Intelsat Jackson Holdings, Ltd.                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         1073 | NS      | $4023.75      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         7024 | PA      | $6734.01      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | Morgan Stanley & Co. LLC                                                         | CUSIP: 61768HAW6<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1570955.55   | 0.13%             | 2029-02-16      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-3                                              | Saxon Asset Securities Trust 2004-3                                              | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       788176 | PA      | $686555.52    | 0.06%             | 2035-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC                                         | Securitized Asset Backed Receivables LLC                                         | CUSIP: 81375WDE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       262837 | PA      | $257869.67    | 0.02%             | 2035-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC                                         | Securitized Asset Backed Receivables LLC                                         | CUSIP: 81375WEV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1062301 | PA      | $913217.33    | 0.07%             | 2035-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6620000 | PA      | $6879475.31   | 0.55%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Noble Corporation PLC                                                            | Noble Corporation PLC                                                            | CUSIP: N/A<br>LEI: 549300I3HBUNXO0OG954       | Long             | EC               | CORP              | GB        |        40467 | NS      | $1526010.57   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |      1076000 | PA      | $86887.00     | 0.01%             | 2025-04-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |       400000 | PA      | $160000.00    | 0.01%             | 2047-06-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp                                                     | Banc of America Funding Corp                                                     | CUSIP: 05946XRH8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |      3357444 | PA      | $3082921.88   | 0.25%             | 2035-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                               | The Boeing Company                                                               | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1929000 | PA      | $1839370.37   | 0.15%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust 2021-ESH                                             | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |     12592880 | PA      | $12232573.44  | 0.98%             | 2023-07-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DWDG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       812954 | PA      | $765262.93    | 0.06%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HJZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       568395 | PA      | $538425.56    | 0.04%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4320000 | PA      | $4283912.92   | 0.34%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2005-4                                    | Structured Asset Investment Loan Trust 2005-4                                    | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1217411 | PA      | $1127106.67   | 0.09%             | 2035-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HPMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        41342 | PA      | $39417.13     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140MMCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       273918 | PA      | $240774.79    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Syngenta Finance N.V.                                                            | Syngenta Finance N.V.                                                            | CUSIP: 87164KAG9<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | US        |       943000 | PA      | $912925.84    | 0.07%             | 2025-04-24      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2700000 | PA      | $2091523.01   | 0.17%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QBJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       304575 | PA      | $289657.54    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1178666 | PA      | $1119557.35   | 0.09%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        54565 | PA      | $51978.04     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XCGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11428965 | PA      | $10865640.15  | 0.87%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XCHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        98038 | PA      | $93474.05     | 0.01%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                               | GLP Financing, LLC                                                               | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |       268000 | PA      | $253616.55    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128283D0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     37000000 | PA      | $35525779.40  | 2.85%             | 2024-10-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10300000 | PA      | $9841328.64   | 0.79%             | 2026-01-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |       600000 | PA      | $524385.58    | 0.04%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      9850000 | PA      | $11322427.03  | 0.91%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       728000 | PA      | $846490.92    | 0.07%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KGQP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       532305 | PA      | $506234.41    | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KHPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1996918 | PA      | $1905824.26   | 0.15%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140KD6F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         9972 | PA      | $9521.58      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       118457 | PA      | $112840.76    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4073272 | PA      | $3769654.16   | 0.30%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        31609 | PA      | $29983.88     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        87946 | PA      | $83343.67     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       858438 | PA      | $755910.87    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       904129 | PA      | $850806.30    | 0.07%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mortgage Loan Trust 2006-8                                            | Harborview Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3767219 | PA      | $2019893.41   | 0.16%             | 2036-07-21      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Corporation                                                    | Meritage Mortgage Corporation                                                    | CUSIP: 59001FBF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5071527 | PA      | $4842881.63   | 0.39%             | 2035-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust, Series 2007-1                                   | Novastar Mortgage Funding Trust, Series 2007-1                                   | CUSIP: 669971AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39206160 | PA      | $13467421.98  | 1.08%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       975500 | PA      | $867143.41    | 0.07%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2022-B                                          | SMB Private Education Loan Trust 2022-B                                          | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3265186 | PA      | $3050545.11   | 0.24%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust                                                        | CUSIP: 83611MGJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8000000 | PA      | $6764004.00   | 0.54%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Windstream Services, LLC                                                         | Windstream Services, LLC                                                         | CUSIP: 8725909B2<br>LEI: 549300L3SXBFJVGRCF66 | Long             | EC               | CORP              | US        |       108848 | NS      | $1935662.16   | 0.16%             |  |  |  | No            |                  3 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $229605.84    | 0.02%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13806000 | PA      | $14707429.55  | 1.18%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |     12389000 | PA      | $9753848.05   | 0.78%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | US        |      1190000 | PA      | $753231.33    | 0.06%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Puerto Rico, Commonwealth of                                                     | Puerto Rico, Commonwealth of                                                     | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |        77102 | PA      | $33732.05     | 0.00%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S4 Trust                                                       | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       871301 | PA      | $710146.90    | 0.06%             | 2037-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                  | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1604174.40   | 0.13%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1200000 | PA      | $1269442.69   | 0.10%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38195344 | PA      | $14094081.85  | 1.13%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Valaris PLC                                                                      | Valaris PLC                                                                      | CUSIP: N/A<br>LEI: 7N0UJMJLXD0MDT5D5086       | Long             | DBT              | CORP              | US        |        21000 | PA      | $21078.75     | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | US        |      3300000 | PA      | $2656632.69   | 0.21%             | 2500-12-31      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         3546 | PA      | $3376.28      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2018-Sun                                          | Morgan Stanley Capital I Trust 2018-Sun                                          | CUSIP: 61691MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9562000 | PA      | $9227811.92   | 0.74%             | 2035-07-16      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1869000 | PA      | $451981.23    | 0.04%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       924000 | PA      | $214148.24    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       502000 | PA      | $106011.48    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | Comision De Promocion Del Peru Para La Exportacion Y El Turismo                  | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       146000 | PA      | $28708.56     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NatWest Group PLC                                                                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2634665.60   | 0.21%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       400000 | PA      | $469682.47    | 0.04%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11100000 | PA      | $13880199.41  | 1.11%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2792000 | PA      | $2759417.86   | 0.22%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       721000 | PA      | $692866.53    | 0.06%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     11143000 | PA      | $7971236.53   | 0.64%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       577000 | PA      | $545446.17    | 0.04%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Navient Funding, LLC                                                             | Navient Funding, LLC                                                             | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-CBDO         | CORP              | US        |      1551350 | PA      | $1428411.32   | 0.11%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                                     | SG Mortgage Securities Trust                                                     | CUSIP: 81879MAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4975000 | PA      | $4465769.45   | 0.36%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-9T1                                                  | Alternative Loan Trust 2006-9T1                                                  | CUSIP: 12668BBN2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |       798849 | PA      | $653418.36    | 0.05%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA17                                                 | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1514339 | PA      | $1250037.54   | 0.10%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust, Series 2006-NC3                                  | Carrington Mortgage Loan Trust, Series 2006-NC3                                  | CUSIP: 144528AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7130000 | PA      | $5663674.86   | 0.45%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                      | Carvana Co.                                                                      | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $1690978.57   | 0.14%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Cellnex Finance Company, S.A.                                                    | Cellnex Finance Company, S.A.                                                    | CUSIP: 15118JAA3<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | US        |      4860000 | PA      | $3382269.08   | 0.27%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A             | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A             | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234173 | PA      | $221307.25    | 0.02%             | 2035-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2584000 | PA      | $2580040.80   | 0.21%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Softbank Vision Fund II                                                          | Softbank Vision Fund II                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      5620256 | PA      | $5387577.54   | 0.43%             | 2025-12-21      | Floating      | 5.00%                 | No            |                  3 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3132DMJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       280672 | PA      | $266070.74    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                               | PG&E Wildfire Recovery Funding LLC                                               | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       480000 | PA      | $446172.05    | 0.04%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        |    126112000 | PA      | $1292244.92   | 0.10%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Poseidon BidCo S.A.S                                                             | Poseidon BidCo S.A.S                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | XX        |      3726667 | PA      | $3390827.17   | 0.27%             | 2028-07-14      | Floating      | 6.86%                 | No            |                  3 | On Loan: No      |
| Lealand Finance Company B.V.                                                     | Lealand Finance Company B.V.                                                     | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        66596 | PA      | $34867.82     | 0.00%             | 2025-06-30      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Lealand Finance Company B.V.                                                     | Lealand Finance Company B.V.                                                     | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        21020 | PA      | $13137.23     | 0.00%             | 2024-06-28      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Windstream Services                                                              | Windstream Services                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      1000000 | PA      | $933750.00    | 0.07%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| MPT Operating Partnership, L.P.                                                  | MPT Operating Partnership, L.P.                                                  | CUSIP: 55342UAL8<br>LEI: 254900U6E39J1MQCCY14 | Long             | DBT              | CORP              | GB        |       300000 | PA      | $264179.78    | 0.02%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | US        |      1134409 | PA      | $266680.65    | 0.02%             | 2030-07-09      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Gaz Finance PLC                                                                  | Gaz Finance PLC                                                                  | CUSIP: N/A<br>LEI: 213800UNP9N6BPNYMQ45       | Long             | DBT              | CORP              | US        |       200000 | PA      | $140000.00    | 0.01%             | 2027-06-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |        38000 | PA      | $25502.43     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       209000 | PA      | $162426.57    | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       900000 | PA      | $793866.78    | 0.06%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | US        |      2800000 | PA      | $1764000.00   | 0.14%             | 2042-04-04      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: 78307ADH3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | US        |       200000 | PA      | $126000.00    | 0.01%             | 2043-09-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                    | Netflix, Inc.                                                                    | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |      8611000 | PA      | $8350168.42   | 0.67%             | 2030-06-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133B9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3580285 | PA      | $3148201.34   | 0.25%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133KKHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       177573 | PA      | $167829.62    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140Q9T94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       102423 | PA      | $97655.02     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4018551 | PA      | $3819538.38   | 0.31%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        18485 | PA      | $17569.29     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XA2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        32704 | PA      | $31354.86     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418DML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       141484 | PA      | $134211.51    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418EC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       321708 | PA      | $302634.35    | 0.02%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       269935 | PA      | $237358.15    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP Financing, LLC                                                               | GLP Financing, LLC                                                               | CUSIP: 361841AJ8<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |        54000 | PA      | $53073.40     | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |      5040000 | PA      | $4011557.76   | 0.32%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Corporation                                                         | AFC Mortgage Corporation                                                         | CUSIP: 00105HEH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1198141 | PA      | $1138369.41   | 0.09%             | 2030-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust 2006-2                                            | Accredited Mortgage Loan Trust 2006-2                                            | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5391470 | PA      | $5317594.67   | 0.43%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust                                              | Aegis Asset Backed Securities Trust                                              | CUSIP: 00764MBD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4630212 | PA      | $4352823.15   | 0.35%             | 2034-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGA              | US        |      -800000 | PA      | $-727812.08   | -0.06%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    106150000 | PA      | $96588156.61  | 7.75%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |       114993 | PA      | $29466.96     | 0.00%             | 2046-07-09      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |       562955 | PA      | $151294.16    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 Ltd                                                                  | CBAM 2018-5 Ltd                                                                  | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | US        |      1100000 | PA      | $1081457.30   | 0.09%             | 2031-04-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties, Inc.                                                | CBL & Associates Properties, Inc.                                                | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |          298 | NS      | $6877.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |       365230 | PA      | $262965.58    | 0.02%             | 2030-03-31      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ministry of Finance of the Russian Federation                                    | Ministry of Finance of the Russian Federation                                    | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | US        |       331000 | PA      | $261490.00    | 0.02%             | 2028-06-24      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| South Africa, Parliament of                                                      | South Africa, Parliament of                                                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    377200000 | PA      | $23474705.81  | 1.88%             | 2027-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | Credit Suisse Group AG                                                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EC               | CORP              | CH        |        92485 | NS      | $276972.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                                       | FHLBanks Office of Finance                                                       | CUSIP: 313384BZ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | UST               | US        |     12200000 | PA      | $12134601.90  | 0.97%             | 2023-02-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                           | Federal Home Loan Mortgage Corporation                                           | CUSIP: 3133A7QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3489991 | PA      | $3304067.13   | 0.27%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       103373 | PA      | $98753.97     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       300000 | PA      | $307358.85    | 0.02%             | 2053-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-19                                                   | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4022180 | PA      | $1863053.20   | 0.15%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altice Financing S.A.                                                            | Altice Financing S.A.                                                            | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | US        |      1275000 | PA      | $1004453.58   | 0.08%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| BX Trust 2021-RISE                                                               | BX Trust 2021-RISE                                                               | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       915000 | PA      | $859882.14    | 0.07%             | 2023-11-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2009-5R                                                              | CSMC Series 2009-5R                                                              | CUSIP: 12641TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2078257 | PA      | $1654364.64   | 0.13%             | 2036-06-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 1266732M3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |      4000000 | PA      | $3475830.00   | 0.28%             | 2035-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673FL1<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |       819139 | PA      | $793496.81    | 0.06%             | 2034-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673PT3<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |      3733128 | PA      | $3591925.15   | 0.29%             | 2034-07-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                                                      | CWABS, Inc.                                                                      | CUSIP: 126673QJ4<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-CBDO         | CORP              | US        |      2370313 | PA      | $1876264.77   | 0.15%             | 2034-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       326345 | PA      | $312273.78    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XEBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       303326 | PA      | $285720.75    | 0.02%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140JVD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |         3724 | PA      | $3561.37      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140QC6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        10589 | PA      | $10044.76     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13549681 | PA      | $12853247.51  | 1.03%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       125902 | PA      | $120159.03    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       155828 | PA      | $148573.33    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp.                                                            | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3056432 | PA      | $1217138.95   | 0.10%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                                | iHeartMedia, Inc.                                                                | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        91178 | NS      | $503029.03    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | DBT              | CORP              | US        |      4728000 | PA      | $0.05         | 0.00%             | 2500-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust 2006-A6                                       | J.P. Morgan Alternative Loan Trust 2006-A6                                       | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1077381 | PA      | $917420.13    | 0.07%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2016-JP4                              | JPMCC Commercial Mortgage Securities Trust 2016-JP4                              | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2600000 | PA      | $2430882.22   | 0.20%             | 2026-11-18      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan U.S. Government Money Market Fund                                    | J.P. Morgan U.S. Government Money Market Fund                                    | CUSIP: 46699A9L2<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      2246981 | NS      | $2246980.73   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| LCCM 2021-FL3 Trust                                                              | LCCM 2021-FL3 Trust                                                              | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17100000 | PA      | $16317252.63  | 1.31%             | 2036-11-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                          | American Airlines, Inc.                                                          | CUSIP: 023770AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-CBDO         | CORP              | US        |      1877397 | PA      | $1533167.98   | 0.12%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      5826699 | PA      | $1602342.23   | 0.13%             | 2030-07-09      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Presidencia De La Nacion                                                         | Presidencia De La Nacion                                                         | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | US        |      3579798 | PA      | $939697.11    | 0.08%             | 2035-07-09      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Attentus CDO III, Ltd.                                                           | Attentus CDO III, Ltd.                                                           | CUSIP: 04973PAC3<br>LEI: 5493004RJP3DQLC3SN92 | Long             | ABS-CBDO         | CORP              | KY        |      7648352 | PA      | $6773021.31   | 0.54%             | 2042-10-11      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                               | The Boeing Company                                                               | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1497000 | PA      | $1396428.10   | 0.11%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Inc.                                                          | Bombardier Capital Inc.                                                          | CUSIP: 09774XBF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6295807 | PA      | $831881.95    | 0.07%             | 2029-12-15      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                                   | Community Health Systems, Inc.                                                   | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      1134000 | PA      | $1033829.15   | 0.08%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642JEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1240923 | PA      | $1190155.55   | 0.10%             | 2036-08-26      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                   | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667GZ30<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |       243475 | PA      | $206529.53    | 0.02%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                      | Nationwide Building Society                                                      | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1447350.24   | 0.12%             | 2029-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Onemain Finance Corporation                                                      | Onemain Finance Corporation                                                      | CUSIP: 85172FAL3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      2745000 | PA      | $2740539.05   | 0.22%             | 2023-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        62757 | PA      | $55191.82     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912796ZT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     31600000 | PA      | $31479724.08  | 2.53%             | 2023-02-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Corsair International Limited                                                    | Corsair International Limited                                                    | CUSIP: N/A<br>LEI: 213800F3PS68ENYG4O41       | Long             | DBT              | CORP              | JE        |      1000000 | PA      | $1057068.87   | 0.08%             | 2026-11-24      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                                          | Uber Technologies, Inc.                                                          | CUSIP: 90351JAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12616670 | PA      | $12582857.47  | 1.01%             | 2027-02-16      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                                          | Uber Technologies, Inc.                                                          | CUSIP: 90351JAG9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4922879 | PA      | $4916725.58   | 0.39%             | 2025-04-04      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems Dutch Holding B B.V.                                      | Axalta Coating Systems Dutch Holding B B.V.                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |        24946 | PA      | $24946.30     | 0.00%             | 2029-11-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Republica Bolivariana de Venezuela                                               | Republica Bolivariana de Venezuela                                               | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | US        |      1859000 | PA      | $150114.25    | 0.01%             | 2023-05-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                      | Federal National Mortgage Association, Inc.                                      | CUSIP: 3140HPWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       157512 | PA      | $150130.19    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                                                   | Intelsat Jackson Holdings S.A.                                                   | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | US        |      9103000 | PA      | $8168720.79   | 0.66%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |        84000 | PA      | $59610.02     | 0.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       237000 | PA      | $176977.33    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      7254500 | PA      | $6566810.40   | 0.53%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Limited                                                  | Park Aerospace Holdings Limited                                                  | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | US        |      4325000 | PA      | $4314178.76   | 0.35%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sprint Corporation                                                               | Sprint Corporation                                                               | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     15367000 | PA      | $15596453.74  | 1.25%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Sprint Corporation                                                               | Sprint Corporation                                                               | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1632505.89   | 0.13%             | 2024-06-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Limited                                                           | Viking Cruises Limited                                                           | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1696030.54   | 0.14%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                               | PG&E Wildfire Recovery Funding LLC                                               | CUSIP: 693342AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       530000 | PA      | $476908.15    | 0.04%             | 2039-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                               | PG&E Wildfire Recovery Funding LLC                                               | CUSIP: 693342AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2418364.76   | 0.19%             | 2047-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust, Series 2007-3                                    | PHH Alternative Mortgage Trust, Series 2007-3                                    | CUSIP: 69337MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4126554 | PA      | $3800600.39   | 0.30%             | 2037-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1260000 | PA      | $874041.46    | 0.07%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                                 | Pacific Gas And Electric Company                                                 | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       963000 | PA      | $911737.87    | 0.07%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Topaz Solar Farms LLC                                                            | Topaz Solar Farms LLC                                                            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       678701 | PA      | $642006.87    | 0.05%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                            | Treasury, United States Department of                                            | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       400000 | PA      | $437617.53    | 0.04%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer