# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-26-051328
**Filing Date:** 2026-5
**Character Count:** 625976
**Document Hash:** 4351aaac76ee85d85837955d715dd97e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051328.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051328

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 261017890

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

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

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

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

## Series and Classes Contracts Data

### Goldman Sachs Dynamic Bond Fund (Series ID: S000029317)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4600

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

- **a. Name of Series:** Goldman Sachs Dynamic Bond Fund

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

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

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $2946648171.97

**Total Liabilities:** $1270308246.62

**Net Assets:** $1676339925.35

**Delayed Delivery Securities:** $58132434.11

**Cash Not Reported:** $45593827.62

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1274.91000000 | **1-Year:** -32162.53000000 | **5-Year:** -123950.50000000 | **10-Year:** -58902.99000000 | **30-Year:** -16196.49000000

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

- **3-Month:** -1535.92000000 | **1-Year:** -77935.01000000 | **5-Year:** -514031.60000000 | **10-Year:** -39805.40000000 | **30-Year:** -110896.32000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000090150 | -0.02%               | 0.26%                | -1.49%               |
| Class ID C000090151 | -0.08%               | 0.20%                | -1.55%               |
| Class ID C000090152 | 0.11%                | 0.18%                | -1.47%               |
| Class ID C000090153 | 0.00%                | 0.17%                | -1.47%               |
| Class ID C000090154 | -0.04%               | 0.24%                | -1.62%               |
| Class ID C000161295 | 0.01%                | 0.18%                | -1.47%               |
| Class ID C000202044 | 0.00%                | 0.28%                | -1.57%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-830577.20              | $-3176463.16                               |
| Month 2  | $-5191115.29             | $9972720.74                                |
| Month 3  | $-10305450.58            | $-26429377.92                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AAL Delaware Holdco Inc                                 | AAL Delaware Holdco Inc 2025 Term Loan                                                                                     | CUSIP: 00036YAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2487204 | PA      | $2481756.92    | 0.15%             | 2031-07-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                            | ADT Security Corp/The                                                                                                      | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |      1525000 | PA      | $1456817.25    | 0.09%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                            | AGL CLO 23 Ltd                                                                                                             | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | KY        |      9000000 | PA      | $8959887.00    | 0.53%             | 2038-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| AL GCX HOLDINGS LLC                                     | AL GCX Holdings LLC 2025 Term Loan B                                                                                       | CUSIP: 00162DAE5<br>LEI: 2549009G4C2J89LNWS21 | Long             | LON              | CORP              | US        |       500000 | PA      | $499530.00     | 0.03%             | 2032-12-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ANGI GROUP LLC                                          | ANGI Group LLC                                                                                                             | CUSIP: 001846AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2935000 | PA      | $2621923.55    | 0.16%             | 2028-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| APH/APH2/APH3/AQUARIAN                                  | APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves                                           | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1437026.10    | 0.09%             | 2029-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                      | APLD ComputeCo LLC                                                                                                         | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1840000 | PA      | $1895936.00    | 0.11%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                  | Acrisure LLC / Acrisure Finance Inc                                                                                        | CUSIP: 00489LAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       835000 | PA      | $826123.95     | 0.05%             | 2029-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                             | Acushnet Co                                                                                                                | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |      1775000 | PA      | $1770704.50    | 0.11%             | 2033-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                         | AdaptHealth LLC                                                                                                            | CUSIP: 00653VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1355000 | PA      | $1352886.20    | 0.08%             | 2028-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM                                | Advanced Drainage Systems Inc                                                                                              | CUSIP: 00790RAC8<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |       570000 | PA      | $555915.30     | 0.03%             | 2034-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                            | AGL CLO 42 Ltd                                                                                                             | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |      6175000 | PA      | $6176235.00    | 0.37%             | 2038-07-22      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                                 | Aethon United BR LP / Aethon United Finance Corp                                                                           | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       478000 | PA      | $499199.30     | 0.03%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AHEAD DB HOLDINGS LLC                                   | Ahead DB Holdings LLC                                                                                                      | CUSIP: 00867FAA6<br>LEI: 254900L07WFL833JX193 | Long             | DBT              | CORP              | US        |      2605000 | PA      | $2549148.80    | 0.15%             | 2028-05-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                          | Air Lease Corp                                                                                                             | CUSIP: 00913XD26<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     10000000 | PA      | $9997702.00    | 0.60%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                          | Air Lease Corp                                                                                                             | CUSIP: 00913XDE0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |     10000000 | PA      | $9983738.00    | 0.60%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                               | ALA Trust 2025-OANA                                                                                                        | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3450000 | PA      | $3450723.74    | 0.21%             | 2040-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                     | Alexandria Real Estate Equities Inc                                                                                        | CUSIP: 01527MD67<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | STIV             |  | US        |      4545000 | PA      | $4542046.66    | 0.27%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                     | Alexandria Real Estate Equities Inc                                                                                        | CUSIP: 01527MDA8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | STIV             |  | US        |     10000000 | PA      | $9989149.00    | 0.60%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                                                             | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       510000 | PA      | $509872.50     | 0.03%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                        | Allied Universal Holdco LLC / Allied Universal Finance Corp                                                                | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1344227.30    | 0.08%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -10000000 | PA      | $-8037109.00   | -0.48%            | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41000000 | PA      | $34465625.00   | 2.06%             | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000000 | PA      | $8788281.00    | 0.52%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -11000000 | PA      | $-10077890.90  | -0.60%            | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000000 | PA      | $23559570.00   | 1.41%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040644<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -25000000 | PA      | $-23559570.00  | -1.41%            | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -25000000 | PA      | $-23541015.00  | -1.40%            | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36000000 | PA      | $34711876.80   | 2.07%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -36000000 | PA      | $-34711876.80  | -2.07%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -36000000 | PA      | $-34679530.80  | -2.07%            | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43000000 | PA      | $42383556.30   | 2.53%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -97000000 | PA      | $-95609417.70  | -5.70%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188000000 | PA      | $188785783.60  | 11.26%            | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46000000 | PA      | $46873282.40   | 2.80%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -148000000 | PA      | $-153064382.40 | -9.13%            | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F070641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161000000 | PA      | $169276398.20  | 10.10%            | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2007-16CB                                                                                           | CUSIP: 02152AAB5<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       224183 | PA      | $139107.29     | 0.01%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2007-16CB                                                                                           | CUSIP: 02152AAU3<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      1518942 | PA      | $961208.95     | 0.06%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                   | American Airlines Inc                                                                                                      | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |       915000 | PA      | $920910.90     | 0.05%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust            | American Express Credit Account Master Trust                                                                               | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |      2950000 | PA      | $2980567.07    | 0.18%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                    | Amkor Technology Inc                                                                                                       | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |      1640000 | PA      | $1633325.20    | 0.10%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                   | AMMC CLO 32 Ltd                                                                                                            | CUSIP: 03166KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4825000 | PA      | $4829911.85    | 0.29%             | 2038-10-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                | Amneal Pharmaceuticals LLC                                                                                                 | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2677298.00    | 0.16%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2021-4                                                                                            | CUSIP: 03464EAA0<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      2667502 | PA      | $2274581.04    | 0.14%             | 2065-01-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2020-4                                                                                            | CUSIP: 03464LAC0<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |       346600 | PA      | $338383.09     | 0.02%             | 2065-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2019-6                                                                                            | CUSIP: 03464VAE4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      2380000 | PA      | $2293835.19    | 0.14%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2020-2                                                                                            | CUSIP: 03464XAD2<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      1054000 | PA      | $999253.45     | 0.06%             | 2065-01-26      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2021-3                                                                                            | CUSIP: 03465EAA9<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |       340760 | PA      | $295419.63     | 0.02%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2021-6                                                                                            | CUSIP: 03465JAA8<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |       282621 | PA      | $238954.38     | 0.01%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                | Antero Midstream Partners LP / Antero Midstream Finance Corp                                                               | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       480000 | PA      | $478473.60     | 0.03%             | 2029-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ANTICIMEX INTERNATIONAL AB                              | Anticimex International AB 2025 USD Term Loan                                                                              | CUSIP: 03703HAD8<br>LEI: 54930005SBU6WYFBEB41 | Long             | LON              | CORP              | SE        |      2550539 | PA      | $2551074.30    | 0.15%             | 2031-11-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                              | Apidos CLO XXIII                                                                                                           | CUSIP: 03765YBG8<br>LEI: 635400C39IXGGYE6DH05 | Long             | ABS-CBDO         | CORP              | KY        |      1906266 | PA      | $1905385.16    | 0.11%             | 2033-04-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                        | Arches Buyer Inc                                                                                                           | CUSIP: 039524AB9<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |       482000 | PA      | $461915.06     | 0.03%             | 2028-12-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ARCHROCK SERVICES/PARTNE                                | Archrock Services LP / Archrock Partners Finance Corp                                                                      | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3240000 | PA      | $3209349.60    | 0.19%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                                | Archrock Partners LP / Archrock Partners Finance Corp                                                                      | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       620000 | PA      | $632220.20     | 0.04%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LTD                                      | Ardonagh Finco Ltd                                                                                                         | CUSIP: 039853AA4<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | CORP              | JE        |       565000 | PA      | $570779.95     | 0.03%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ARDONAGH GROUP FINANCE                                  | Ardonagh Group Finance Ltd                                                                                                 | CUSIP: 039956AA5<br>LEI: 254900SRT1BTAJ76NW62 | Long             | DBT              | CORP              | JE        |      1753000 | PA      | $1701829.93    | 0.10%             | 2032-02-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds       | Argentina Republic Government International Bonds                                                                          | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      3100000 | PA      | $2241300.00    | 0.13%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                            | Ares LXV CLO Ltd                                                                                                           | CUSIP: 04019FAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3200000 | PA      | $3092931.20    | 0.18%             | 2034-07-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                            | ARES LI CLO Ltd                                                                                                            | CUSIP: 04019LAU8<br>LEI: 5493003FNA8PT0CMDE92 | Long             | ABS-CBDO         | CORP              | KY        |      2590000 | PA      | $2590147.63    | 0.15%             | 2037-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                                 | Asbury Automotive Group Inc                                                                                                | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |       510000 | PA      | $492700.80     | 0.03%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Athenahealth Group Inc                                  | Athenahealth Group Inc 2022 Term Loan B                                                                                    | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      1694714 | PA      | $1660819.48    | 0.10%             | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                     | Avianca Midco 2 PLC                                                                                                        | CUSIP: 05369YAD1<br>LEI: 213800AMPX5VKH9AMX10 | Long             | DBT              | CORP              | GB        |       760000 | PA      | $698478.00     | 0.04%             | 2031-01-28      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                     | Axon Enterprise Inc                                                                                                        | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |       255000 | PA      | $260232.60     | 0.02%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                     | Axon Enterprise Inc                                                                                                        | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |       260000 | PA      | $265371.60     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Trust 2025-EWEST                                                                                                      | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2250000 | PA      | $2244382.54    | 0.13%             | 2042-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2025-5YR19                                                                                                           | CUSIP: 05494RBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $5107517.75    | 0.30%             | 2058-12-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| AZUL SECURED FINANCE LLP                                | Azul Secured Finance LLP                                                                                                   | CUSIP: 05501WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2118000.00    | 0.13%             | 2031-02-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2600000 | PA      | $2465264.28    | 0.15%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       750000 | PA      | $693750.00     | 0.04%             | 2037-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | Barclays Commercial Mortgage Trust 2019-C3                                                                                 | CUSIP: 05550MAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865000 | PA      | $789082.10     | 0.05%             | 2052-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| BEP Intermediate Holdco LLC                             | BEP Intermediate Holdco LLC 2025 Term Loan B                                                                               | CUSIP: 05554YAE4<br>LEI: 254900510SAMOPG9CQ76 | Long             | LON              | CORP              | US        |       540426 | PA      | $539075.40     | 0.03%             | 2031-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Mortgage Trust 2024-5C27                                                                                             | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1375000 | PA      | $1427608.15    | 0.09%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                        | Bbam US Clo V Ltd                                                                                                          | CUSIP: 05556BAA0<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |      6025000 | PA      | $6038520.10    | 0.36%             | 2038-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                        | Bbam US Clo V Ltd                                                                                                          | CUSIP: 05556BAE2<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |      4150000 | PA      | $4153598.05    | 0.25%             | 2038-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Mortgage Trust 2025-5C36                                                                                             | CUSIP: 05556CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2550000 | PA      | $2616684.03    | 0.16%             | 2058-08-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2025-660F                                                                                   | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3988409.56    | 0.24%             | 2042-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2025-660F                                                                                   | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4979866.00    | 0.30%             | 2042-11-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2024-PMDW                                                                                                        | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850000 | PA      | $860311.06     | 0.05%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2025-ROIC                                                                                                         | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1659227 | PA      | $1650482.41    | 0.10%             | 2030-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2025-DELC                                                                                                         | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1747258.68    | 0.10%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                      | BMO 2022-C2 Mortgage Trust                                                                                                 | CUSIP: 05602NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1361000 | PA      | $1366437.56    | 0.08%             | 2054-07-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2013-1515 Mortgage Trust                                                                                              | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1642595 | PA      | $1578877.36    | 0.09%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2024-BIO                                                                                                          | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1425000 | PA      | $1419730.49    | 0.08%             | 2041-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-XL5                                                                                      | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       748825 | PA      | $748864.85     | 0.04%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX 2024-BRVE                                                                                                               | CUSIP: 05612KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888899 | PA      | $1887816.61    | 0.11%             | 2041-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX 2024-BRVE                                                                                                               | CUSIP: 05612KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1625888 | PA      | $1625463.92    | 0.10%             | 2041-04-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-VLT5                                                                                     | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $991519.00     | 0.06%             | 2046-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                          | BSTN Commercial Mortgage Trust 2025-1C                                                                                     | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400000 | PA      | $2441160.74    | 0.15%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2025-ARIA                                                                                                         | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3700000 | PA      | $3720382.67    | 0.22%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2019-1                                                                                             | CUSIP: 05683VBQ6<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |      4780000 | PA      | $4587973.06    | 0.27%             | 2034-04-19      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2023-1 Ltd                                                                                         | CUSIP: 05685NAN0<br>LEI: 549300OV3LSQ8RJ1DY13 | Long             | ABS-CBDO         | CORP              | JE        |      5875000 | PA      | $5877303.00    | 0.35%             | 2038-07-16      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2026-2 Ltd                                                                                         | CUSIP: 05686EAJ8<br>LEI: 254900YAV3MDRLFEV308 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5000000.00    | 0.30%             | 2039-04-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2025-5 Ltd                                                                                         | CUSIP: 056923AA3<br>LEI: 254900UZIWHOC1Z47I85 | Long             | ABS-CBDO         | CORP              | KY        |      1600000 | PA      | $1518516.80    | 0.09%             | 2039-01-19      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2007-2 Trust                                                                                       | CUSIP: 05951GCH3<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |         3913 | PA      | $3853.04       | 0.00%             | 2037-03-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria/New York NY             | Banco Bilbao Vizcaya Argentaria/New York NY                                                                                | CUSIP: 05971MEE1<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | STIV             | CORP              | ES        |     10100000 | PA      | $10101130.19   | 0.60%             | 2026-04-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                  | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      1190000 | PA      | $1175910.40    | 0.07%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                       | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2565000 | PA      | $2523344.40    | 0.15%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2025-5YR17                                                                                                           | CUSIP: 06211GAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3052000 | PA      | $3043183.99    | 0.18%             | 2058-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2019-BNK18                                                                                                            | CUSIP: 065402BC2<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1443235.76    | 0.09%             | 2062-05-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK38                                                                                                            | CUSIP: 06540EAK9<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      1050000 | PA      | $927532.87     | 0.06%             | 2064-12-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK37                                                                                                            | CUSIP: 06540LBF3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |       600000 | PA      | $534154.62     | 0.03%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK31                                                                                                            | CUSIP: 06541ABP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2950000 | PA      | $2527477.58    | 0.15%             | 2054-02-15      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2023-BNK45                                                                                                            | CUSIP: 06541BBK3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |       725000 | PA      | $735041.98     | 0.04%             | 2056-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK33                                                                                                            | CUSIP: 06541CBT2<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      1470000 | PA      | $1282588.85    | 0.08%             | 2064-05-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2025-BNK51                                                                                                            | CUSIP: 06541HAE5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1523818.53    | 0.09%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2025-BNK51                                                                                                            | CUSIP: 06541HAJ4<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |      3050000 | PA      | $3076376.71    | 0.18%             | 2067-12-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2024-5YR8                                                                                                            | CUSIP: 065923BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       300000 | PA      | $307271.39     | 0.02%             | 2057-08-15      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2025-5YR16                                                                                                           | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3050000 | PA      | $3122887.25    | 0.19%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2024-5YR10                                                                                                           | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $509901.89     | 0.03%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2026-5YR21                                                                                                           | CUSIP: 06644BAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1239019.00    | 0.07%             | 2059-04-15      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR9                                         | BANK5 2024-5YR9                                                                                                            | CUSIP: 06644VBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150000 | PA      | $1191862.73    | 0.07%             | 2057-08-15      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Bank5                                                   | BANK5 2024-5YR11                                                                                                           | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       675000 | PA      | $697917.80     | 0.04%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                                                               | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       415000 | PA      | $427948.00     | 0.03%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                                                               | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       435000 | PA      | $439924.20     | 0.03%             | 2035-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                         | Barclays Dryrock Issuance Trust                                                                                            | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |      2625000 | PA      | $2615545.98    | 0.16%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Mortgage Trust 2023-C20                                                                                              | CUSIP: 07336DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1600000 | PA      | $1629498.88    | 0.10%             | 2056-07-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| BEACON MOBILITY CORP                                    | Beacon Mobility Corp                                                                                                       | CUSIP: 073644AA4<br>LEI: 254900EBTYFG24UQEM31 | Long             | DBT              | CORP              | US        |      2610000 | PA      | $2694250.80    | 0.16%             | 2030-08-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                             | Bell Telephone Co of Canada or Bell Canada/The                                                                             | CUSIP: 07787QD78<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | STIV             | CORP              | CA        |     11457000 | PA      | $11448489.74   | 0.68%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                   | Belron UK Finance PLC                                                                                                      | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      1070000 | PA      | $1075489.10    | 0.06%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B22 Mortgage Trust                                                                                          | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1050000 | PA      | $926212.68     | 0.06%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B24 Mortgage Trust                                                                                          | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1325000 | PA      | $1188461.48    | 0.07%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B21 Mortgage Trust                                                                                          | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $885534.45     | 0.05%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B32 Mortgage Trust                                                                                          | CUSIP: 08163NBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1800000 | PA      | $1605338.19    | 0.10%             | 2055-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B33 Mortgage Trust                                                                                          | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1125000 | PA      | $1028904.96    | 0.06%             | 2055-03-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XXVIII Ltd                                                                                     | CUSIP: 08179KAN3<br>LEI: 549300VHDAICRAGZNJ35 | Long             | ABS-CBDO         | CORP              | JE        |      4000000 | PA      | $4003964.00    | 0.24%             | 2037-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners Clo XXXV Ltd                                                                                       | CUSIP: 08183CAA3<br>LEI: 254900U0SNDVHNBLRW07 | Long             | ABS-CBDO         | CORP              | JE        |      1000000 | PA      | $971948.00     | 0.06%             | 2037-04-25      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                                                                                   | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1800000 | PA      | $1800223.02    | 0.11%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2025-5MW                                                                                    | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500000 | PA      | $3471366.71    | 0.21%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2025-5MW                                                                                    | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950000 | PA      | $1947217.58    | 0.12%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BLACK PEARL COMPUTE LLC                                 | Black Pearl Compute LLC                                                                                                    | CUSIP: 09216NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3575000 | PA      | $3640458.25    | 0.22%             | 2031-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bleriot US Bidco Inc                                    | Bleriot US Bidco Inc 2023 Term Loan B                                                                                      | CUSIP: 09353TAJ9<br>LEI: 254900ALCQ2A2VYD5Z08 | Long             | LON              | CORP              | US        |       687776 | PA      | $688264.54     | 0.04%             | 2030-10-31      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                      | BMO 2024-5C3 Mortgage Trust                                                                                                | CUSIP: 09660QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350000 | PA      | $1207339.87    | 0.07%             | 2057-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      3900000 | PA      | $3959592.00    | 0.24%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                         | BRAVO Residential Funding Trust 2025-NQM7                                                                                  | CUSIP: 10570TAA3<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |      2682200 | PA      | $2690533.95    | 0.16%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Broadstreet Partners Inc                                | Broadstreet Partners Inc 2024 Term Loan B4                                                                                 | CUSIP: 11132VAY5<br>LEI: 549300BS9N54G8DD0R75 | Long             | LON              | CORP              | US        |      2242717 | PA      | $2184697.52    | 0.13%             | 2031-06-13      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                                 | Brookhaven Park CLO LTD                                                                                                    | CUSIP: 113520AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1700000 | PA      | $1699840.20    | 0.10%             | 2037-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                     | Buckeye Partners LP                                                                                                        | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      4276000 | PA      | $4236917.36    | 0.25%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                     | Buckeye Partners LP                                                                                                        | CUSIP: 118230AV3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $1100430.80    | 0.07%             | 2029-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                | Builders FirstSource Inc                                                                                                   | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      1595000 | PA      | $1595941.05    | 0.10%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bunzl Finance PLC                                       | Bunzl Finance PLC                                                                                                          | CUSIP: 12074JD19<br>LEI: 549300G276IH2GSE0E88 | Long             | STIV             | CORP              | GB        |     15000000 | PA      | $14998353.00   | 0.89%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                | Burford Capital Global Finance LLC                                                                                         | CUSIP: 12116LAJ8<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |       915000 | PA      | $782334.15     | 0.05%             | 2034-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2025-TAIL                                                                                                         | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2450000 | PA      | $2445435.14    | 0.15%             | 2035-06-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-AIRC                                                                                     | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953976 | PA      | $953556.84     | 0.06%             | 2041-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-BCAT                                                                                     | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       766628 | PA      | $764860.37     | 0.05%             | 2042-08-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2026-CSMO                                                                                     | CUSIP: 12433LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3325000 | PA      | $3321572.22    | 0.20%             | 2043-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                                               | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1176000 | PA      | $1176211.68    | 0.07%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                                               | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       934000 | PA      | $849725.18     | 0.05%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                                               | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       610000 | PA      | $612427.80     | 0.04%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                               | CBAMR 2021-14 LTD                                                                                                          | CUSIP: 12516KAC1<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |      5230000 | PA      | $5227191.49    | 0.31%             | 2038-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                               | CBAM 2018-5 Ltd                                                                                                            | CUSIP: 12516LAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |      9225000 | PA      | $9227112.53    | 0.55%             | 2038-10-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2021-VI Ltd                                                                                                   | CUSIP: 12553SAJ3<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2999922.00    | 0.18%             | 2034-10-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2020-IV Ltd                                                                                                   | CUSIP: 12562RAJ4<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |      4250000 | PA      | $4253786.75    | 0.25%             | 2040-01-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                         | CSAIL 2018-CX12 Commercial Mortgage Trust                                                                                  | CUSIP: 12595XAX1<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1722378.07    | 0.10%             | 2051-08-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-AFC1 Trust                                                                                                       | CUSIP: 12597MAD7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $597461.76     | 0.04%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Csmc 2022-Nqm1 Trust                                                                                                       | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      1648823 | PA      | $1508751.29    | 0.09%             | 2066-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-TIME                                                                                                             | CUSIP: 12652XAA1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      1600000 | PA      | $1521794.48    | 0.09%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2024-277P Mortgage Trust                                                                                              | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2606643.75    | 0.16%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP/BIP-V CHIN                                | CQP Holdco LP / BIP-V Chinook Holdco LLC                                                                                   | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6281000 | PA      | $6128748.56    | 0.37%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                           | CQP Holdco LP 2026 Term Loan B                                                                                             | CUSIP: 12657QAF0<br>LEI: 549300LPL012JY5D4B69 | Long             | LON              | CORP              | US        |      2351295 | PA      | $2338080.25    | 0.14%             | 2032-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Csmc 2021-Nqm6 Trust                                                                                                       | CUSIP: 12662KAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      1939987 | PA      | $1675760.72    | 0.10%             | 2066-07-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-26CB                                                                                           | CUSIP: 12667GTM5<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       205511 | PA      | $133055.60     | 0.01%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-64CB                                                                                           | CUSIP: 12668AZX6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       219107 | PA      | $185480.19     | 0.01%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                  | CACI International Inc                                                                                                     | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |       765000 | PA      | $778104.45     | 0.05%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                   | Caesars Entertainment Inc                                                                                                  | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |       415000 | PA      | $381990.90     | 0.02%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                | California Buyer Ltd / Atlantica Sustainable Infrastructure PLC                                                            | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |       960000 | PA      | $938380.80     | 0.06%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                | California Resources Corp                                                                                                  | CUSIP: 13057QAL1<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      1375000 | PA      | $1383318.75    | 0.08%             | 2034-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                 | Capital One Multi-Asset Execution Trust                                                                                    | CUSIP: 14041NGH8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |      2125000 | PA      | $2101951.02    | 0.13%             | 2037-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Captree Park CLO Ltd                                    | Captree Park CLO Ltd                                                                                                       | CUSIP: 14074FAA6<br>LEI: 254900T5FZQKDOCWVD69 | Long             | ABS-CBDO         | CORP              | JE        |       625000 | PA      | $589045.63     | 0.04%             | 2037-07-20      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle US CLO 2024-1 Ltd                                                                                                  | CUSIP: 142923AG6<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1250000.00    | 0.07%             | 2037-04-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle US CLO 2024-6 Ltd                                                                                                  | CUSIP: 14319PAA9<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |      4175000 | PA      | $4177555.10    | 0.25%             | 2037-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                               | CBAMR 2019-9 Ltd                                                                                                           | CUSIP: 14987VAW9<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |      2425000 | PA      | $2427803.30    | 0.14%             | 2037-07-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding IV CLO Ltd                                                                                                   | CUSIP: 150323BL6<br>LEI: 549300PPJP6KEORGHQ85 | Long             | ABS-CBDO         | CORP              | KY        |      5200000 | PA      | $5201851.20    | 0.31%             | 2038-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CERDIA FINANZ GMBH                                      | Cerdia Finanz GmbH                                                                                                         | CUSIP: 15679GAC6<br>LEI: 391200KURNDJSX9GX570 | Long             | DBT              | CORP              | DE        |       530000 | PA      | $527355.30     | 0.03%             | 2031-10-03      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP                                  | Champ Acquisition Corp                                                                                                     | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1360000 | PA      | $1424885.60    | 0.08%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                                | Charles River Laboratories International Inc                                                                               | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |      1035000 | PA      | $981469.80     | 0.06%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chart Industries Inc                                    | Chart Industries Inc 2024 Term Loan B                                                                                      | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |      2068915 | PA      | $2064383.86    | 0.12%             | 2030-03-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Home Lending Mortgage Trust Series 2024-3                                                                            | CUSIP: 16159HAN7<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |       175000 | PA      | $177691.94     | 0.01%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                             | Chemours Co/The                                                                                                            | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |       342000 | PA      | $339222.96     | 0.02%             | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                             | Chemours Co/The                                                                                                            | CUSIP: 163851AJ7<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |       415000 | PA      | $417228.55     | 0.02%             | 2033-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                        | Cinemark USA Inc                                                                                                           | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |       510000 | PA      | $523831.20     | 0.03%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                              | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3160000 | PA      | $3166035.60    | 0.19%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                              | CUSIP: 172967PC9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2365000 | PA      | $2431078.10    | 0.15%             | 2028-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                              | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1429871.30    | 0.09%             | 2031-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                     | Citibank Credit Card Issuance Trust                                                                                        | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |      2175000 | PA      | $2189001.41    | 0.13%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2017-P8                                                                                | CUSIP: 17326DAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $712163.62     | 0.04%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CLARIV SCI HLD CORP                                     | Clarivate Science Holdings Corp                                                                                            | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       340000 | PA      | $320990.60     | 0.02%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                  | Cloud Software Group Inc                                                                                                   | CUSIP: 18912UAG7<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      3861000 | PA      | $3437023.59    | 0.21%             | 2033-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                 | Colombia Government International Bonds                                                                                    | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      2660000 | PA      | $2761080.00    | 0.16%             | 2030-04-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                                                                     | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      1070000 | PA      | $1061975.00    | 0.06%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                        | COLT 2025-8 Mortgage Loan Trust                                                                                            | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |      4525205 | PA      | $4538615.83    | 0.27%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| COMPOSECURE HOLDINGS LLC                                | CompoSecure Holdings LLC                                                                                                   | CUSIP: 20459XAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4960000 | PA      | $4849392.00    | 0.29%             | 2033-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753GAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      3200000 | PA      | $3197501.12    | 0.19%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      1350000 | PA      | $1355830.92    | 0.08%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       279000 | PA      | $282478.96     | 0.02%             | 2042-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755BAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      2550000 | PA      | $2539001.09    | 0.15%             | 2046-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755CAF5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      2185000 | PA      | $2266311.50    | 0.14%             | 2043-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755JAG8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      2172000 | PA      | $2155375.08    | 0.13%             | 2045-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      1990440 | PA      | $1986624.89    | 0.12%             | 2044-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755RAG0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      1400000 | PA      | $1399551.30    | 0.08%             | 2044-09-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 207941AA3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       712268 | PA      | $711934.19     | 0.04%             | 2044-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 207941AB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       900000 | PA      | $905112.09     | 0.05%             | 2044-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 207941AF2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      2275000 | PA      | $2326798.11    | 0.14%             | 2044-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                                                                        | CUSIP: 210385AG5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |       733000 | PA      | $724145.36     | 0.04%             | 2029-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                           | CoreWeave Inc                                                                                                              | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |       807000 | PA      | $784872.06     | 0.05%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                           | CoreWeave Inc                                                                                                              | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      2550000 | PA      | $2425254.00    | 0.14%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8000000 | PA      | $6590687.20    | 0.39%             | 2056-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3000000 | PA      | $2575493.40    | 0.15%             | 2056-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -8000000 | PA      | $-7134184.00   | -0.43%            | 2056-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10000000 | PA      | $9355859.00    | 0.56%             | 2056-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15000000 | PA      | $14466987.00   | 0.86%             | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43000000 | PA      | $42462001.20   | 2.53%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57000000 | PA      | $57315215.70   | 3.42%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -10000000 | PA      | $-10055301.00  | -0.60%            | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                 | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35000000 | PA      | $35576954.00   | 2.12%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                             | Ivory Coast Government International Bond                                                                                  | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |       560000 | PA      | $569008.78     | 0.03%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                             | Ivory Coast Government International Bond                                                                                  | CUSIP: 221625AX4<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      2590000 | PA      | $2266250.00    | 0.14%             | 2041-02-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUGAR JV SUBSIDIARY LLC                                | Cougar JV Subsidiary LLC                                                                                                   | CUSIP: 22208WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1114000 | PA      | $1153803.22    | 0.07%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                      | Crown Americas LLC                                                                                                         | CUSIP: 228180AB1<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |      2058000 | PA      | $2056415.34    | 0.12%             | 2030-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                          | Crown City CLO IV                                                                                                          | CUSIP: 228233AU6<br>LEI: 549300AGQI0XSPNAK945 | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1300891.80    | 0.08%             | 2037-04-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                          | Crown City CLO V                                                                                                           | CUSIP: 22823AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1700000 | PA      | $1700156.40    | 0.10%             | 2037-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Crown Finance US Inc                                    | Crown Finance US Inc 2025 Term Loan B                                                                                      | CUSIP: 22834KAV3<br>LEI: 254900ABTWPQTCKKR839 | Long             | LON              | CORP              | US        |      1485038 | PA      | $1468093.22    | 0.09%             | 2031-12-02      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                          | CSTL Commercial Mortgage Trust 2024-GATE                                                                                   | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1675000 | PA      | $1670072.79    | 0.10%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                             | DBC 2025-DBC Mortgage Trust                                                                                                | CUSIP: 23306HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950000 | PA      | $1945393.18    | 0.12%             | 2042-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                              | DOLP Trust 2021-NYC                                                                                                        | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1600000 | PA      | $1436588.82    | 0.09%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Deep Blue Operating I LLC                               | Deep Blue Operating I LLC Term Loan                                                                                        | CUSIP: 24369TAD3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2800000 | PA      | $2807000.00    | 0.17%             | 2032-10-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                  | Delek Logistics Partners LP / Delek Logistics Finance Corp                                                                 | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3639000 | PA      | $3766401.39    | 0.22%             | 2029-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                    | Diameter Capital CLO 4 Ltd                                                                                                 | CUSIP: 25255NBC1<br>LEI: 25490087B17FBD0ODC27 | Long             | ABS-CBDO         | CORP              | KY        |      1475000 | PA      | $1472492.50    | 0.09%             | 2039-01-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                   | Directv Financing LLC / Directv Financing Co-Obligor Inc                                                                   | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       207000 | PA      | $206376.93     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                   | Directv Financing LLC                                                                                                      | CUSIP: 25461LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1504000 | PA      | $1499382.72    | 0.09%             | 2030-02-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| KOHLER ENERGY CO LLC                                    | Kohler Energy Co LLC 2026 USD Term Loan B                                                                                  | CUSIP: 25472PAD2<br>LEI: 254900T31FAYMRQSAA12 | Long             | LON              | CORP              | US        |       482078 | PA      | $480873.02     | 0.03%             | 2031-05-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                                      | CUSIP: 25714PFG8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      1260000 | PA      | $1199520.00    | 0.07%             | 2034-03-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                                      | CUSIP: 25714PFH6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      1250000 | PA      | $1179432.88    | 0.07%             | 2038-05-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                   | DP World Crescent Ltd                                                                                                      | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |      1530000 | PA      | $1496646.00    | 0.09%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                         | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2800000 | PA      | $2823248.62    | 0.17%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                         | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5850000 | PA      | $5898268.47    | 0.35%             | 2042-08-10      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                         | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1256255.04    | 0.07%             | 2042-08-10      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                    | Dycom Industries Inc                                                                                                       | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |       505000 | PA      | $490006.55     | 0.03%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | EFMT 2026-NQM4                                                                                                             | CUSIP: 26846KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5375000 | PA      | $5375984.16    | 0.32%             | 2071-04-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                 | E.ON SE                                                                                                                    | CUSIP: 26877KF88<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | STIV             | CORP              | DE        |     20000000 | PA      | $19842718.00   | 1.18%             | 2026-06-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                | Eagle Funding Luxco Sarl                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |      3300000 | PA      | $3308250.00    | 0.20%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $314888.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-312.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |            1 | NC      | $-181454.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $182395.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $15691.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |            1 | NC      | $233606.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-286794.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $3219.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-2611.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-393993.07    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $19146.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $395499.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $25240.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-237916.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-42214.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-60698.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $301065.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $2195605.83    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-54465.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-3271927.42   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-825437.05    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-80093.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1446571.66    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-786257.11    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-53911.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-651249.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-285850.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $633355.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1.06          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-534076.51    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-83044.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED SGD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |            1 | NC      | $-49106.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $24195.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $63960.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $864606.21     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $22017.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $36300.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-34608.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $191855.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-1313773.95   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1255405.71    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $24167.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $16142.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-970790.05    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $935768.15     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-23750.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $51177.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-70619.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-94889.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $10063.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $78951.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $46197.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-163568.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-47825.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-596928.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $191671.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-224346.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-227127.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $53224.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-54894.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $273745.11     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-73433.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $-2447.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-83385.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $11901.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $28752.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-101773.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-6375.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-34488.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-331091.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $948489.48     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $12798.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $16846.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-154318.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-66083.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $168270.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $155725.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-130434.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $6924.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $63694.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $409983.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1467246.63    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $86134.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-7979.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $562065.05     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-60251.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-440574.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $67632.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $7284.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-36122.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-631398.32    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $32813.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $277550.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-42394.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-15717.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |            1 | NC      | $101680.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $820847.73     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-1192165.58   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $51292.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $157927.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $219372.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-53418.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-73097.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-10073.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $61673.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $53393.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-21086.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-142442.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $174925.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |            1 | NC      | $239421.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-87382.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $53511.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $474858.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-80998.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-15364.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-356393.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $80173.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $18347.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED PHP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PH        |            1 | NC      | $-186170.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-95740.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-50734.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $39961.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |            1 | NC      | $-20788.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-18114.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-132063.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-50733.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $14481.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-582427.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $100.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $112907.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1331560.62    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |            1 | NC      | $-78900.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $39940.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $135744.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED SGD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |            1 | NC      | $-452178.05    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |            1 | NC      | $-207551.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $99914.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CLP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |            1 | NC      | $-144140.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD PHP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $256327.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $178128.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $453768.74     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $31641.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-91650.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1974451.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-212920.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $664156.40     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CZK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |            1 | NC      | $-934028.69    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-130543.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $108813.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1393885.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED SEK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |            1 | NC      | $-1247818.11   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |            1 | NC      | $183846.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |            1 | NC      | $21545.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $90216.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ILS / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |            1 | NC      | $-70828.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |            1 | NC      | $-294644.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $66248.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $87813.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-17181.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $156262.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $27170.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $2310.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $448985.46     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $89886.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-143989.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $623620.99     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |            1 | NC      | $-202148.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1131770.40    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-1437227.40   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |            1 | NC      | $-508129.54    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $485944.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CZK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $784995.77     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-1181783.31   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $24304.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-545694.24    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-1214698.32   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ILS                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $80280.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $45292.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $3347.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $343016.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-1021341.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-31545.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-39335.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $74621.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-109415.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-1795.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $2775.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $118749.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $224432.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-155040.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |            1 | NC      | $-16076.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $2450.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $346756.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $418139.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $100145.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-296573.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $862.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |            1 | NC      | $-7616.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-126281.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TRY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $26640.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CLP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $47276.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $88168.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-111083.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $496.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-10081.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $67050.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-33452.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-443567.80    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-24704.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $531086.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $187980.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $369924.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $59610.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-39624.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $23814.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $179221.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-276078.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-80519.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $168128.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-17863.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |            1 | NC      | $-35020.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |            1 | NC      | $-8651.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $31560.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $51298.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-147860.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-232629.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-24099.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $8190.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-9302.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $3995.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-145684.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-23947.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $78039.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-54855.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-50067.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-320270.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $100381.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-17854.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $17860.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |            1 | NC      | $-100551.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |            1 | NC      | $318787.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-129874.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $71887.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $12273.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $47831.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $214470.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-214533.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-12292.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $8588.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-8936.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $21418.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-21447.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-22807.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-51656.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $51487.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $22113.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-10807.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $10802.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-396046.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $17378.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $43375.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-44621.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-99100.23     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-170078.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-602277.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-16774.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $57547.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-28521.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $39144.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-118600.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $-43295.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-19241.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $40794.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-76705.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-41522.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $42796.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-34523.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-6364.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $4858.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $19610.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $213378.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-213341.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $24715.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-40300.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |            1 | NC      | $54179.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $41458.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-41515.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-9854.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $-29111.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-55002.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $65324.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $-272154.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-83795.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |            1 | NC      | $114427.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-110943.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |            1 | NC      | $27557.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-31286.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-17700.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-58929.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $335600.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-26679.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $46105.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-36206.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-27617.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-849.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $62966.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-115124.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $104588.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $-7460.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $46705.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $38400.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-39831.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-75632.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-9194.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $6005.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-21956.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $272427.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $136516.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-21404.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-74797.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $61626.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-19031.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |            1 | NC      | $15097.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $9882.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $-1761.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $-13753.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |            1 | NC      | $5880.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $13894.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-23901.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $33586.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1505.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $2073.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-15639.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $37465.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-40936.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $11713.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $-37762.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $23275.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-17549.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $15926.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $193137.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $6672.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $10900.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $4422.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $14661.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $6181.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-6611.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $10739.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $6885.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-45441.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-14581.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $-25015.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $25140.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $3499.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-4453.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-5556.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $5543.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $10175.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $1047.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-136211.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-174261.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |            1 | NC      | $102363.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-44692.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |            1 | NC      | $29214.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-4632.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $-30123.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-11022.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-10091.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $11737.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $-11785.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-12598.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $12510.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |            1 | NC      | $10024.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $5572.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |            1 | NC      | $-5649.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $68523.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |            1 | NC      | $28889.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $30382.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-15989.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $36212.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |            1 | NC      | $27639.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-18096.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-39845.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |            1 | NC      | $14594.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $22505.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $8910.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $141289.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |            1 | NC      | $16746.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $30262.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $76611.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-27565.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-10248.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $34610.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $34311.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-138005.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-82882.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |            1 | NC      | $87203.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-87049.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |            1 | NC      | $-217602.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |            1 | NC      | $35286.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |            1 | NC      | $111407.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                                                               | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |        15000 | PA      | $15165.00      | 0.00%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EGYPT TASKEEK CO                                        | Egyptian Financial Co for Sovereign Taskeek/The                                                                            | CUSIP: 282370AC9<br>LEI: 894500CX5LI3HIC87H85 | Long             | DBT              | NUSS              | EG        |       420000 | PA      | $421890.00     | 0.03%             | 2032-10-07      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 21 Ltd                                      | Elmwood CLO 21 Ltd                                                                                                         | CUSIP: 289907BC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3600000 | PA      | $3555104.40    | 0.21%             | 2038-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                                      | Elmwood CLO 29 Ltd                                                                                                         | CUSIP: 289913AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1325000 | PA      | $1320819.63    | 0.08%             | 2037-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                                      | Elmwood CLO IV Ltd                                                                                                         | CUSIP: 29002GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6400000 | PA      | $6400409.60    | 0.38%             | 2037-04-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                       | Elmwood CLO X Ltd                                                                                                          | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6625000 | PA      | $6625801.63    | 0.40%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                                      | Elmwood CLO 27 Ltd                                                                                                         | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2875000 | PA      | $2875284.63    | 0.17%             | 2037-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 35 Ltd                                      | Elmwood CLO 35 Ltd                                                                                                         | CUSIP: 29004NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6650000 | PA      | $6654541.95    | 0.40%             | 2037-10-18      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                   | Encompass Health Corp                                                                                                      | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |      1381000 | PA      | $1369482.46    | 0.08%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                                                         | CUSIP: 29277FD16<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | STIV             | CORP              | US        |      7000000 | PA      | $6999221.60    | 0.42%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance America LLC                                | Enel Finance America LLC                                                                                                   | CUSIP: 29279HEN1<br>LEI: 549300EGNLVUJX1DEC60 | Long             | STIV             | CORP              | US        |     20000000 | PA      | $19882768.00   | 1.19%             | 2026-05-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                            | Entegris Inc                                                                                                               | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |       470000 | PA      | $474126.60     | 0.03%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corporation                             | Epicor Software Corporation 2024 Term Loan F                                                                               | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |       389075 | PA      | $381196.23     | 0.02%             | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| EXCELERATE ENERGY LP                                    | Excelerate Energy LP                                                                                                       | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |      1275000 | PA      | $1335065.25    | 0.08%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust                                                                                        | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1950000 | PA      | $1956841.69    | 0.12%             | 2029-07-16      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-1                                                                                 | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       340060 | PA      | $340402.36     | 0.02%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                         | Fair Isaac Corp                                                                                                            | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |      1632000 | PA      | $1601236.80    | 0.10%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                         | Fair Isaac Corp                                                                                                            | CUSIP: 303250AJ3<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |      2175000 | PA      | $2137394.25    | 0.13%             | 2034-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31283HZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5290 | PA      | $5387.37       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31283HZY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          170 | PA      | $173.21        | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31288EK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2346 | PA      | $2383.70       | 0.00%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31288GH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          189 | PA      | $192.69        | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31288H6W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          236 | PA      | $240.65        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31288JY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2835 | PA      | $2887.42       | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128KRY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        11577 | PA      | $11789.08      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1243 | PA      | $1265.73       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          356 | PA      | $362.81        | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M5CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        26680 | PA      | $27172.84      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M6UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6055 | PA      | $6167.24       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |            7 | PA      | $6.88          | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292H4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1892 | PA      | $1926.86       | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6443 | PA      | $6562.25       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292HXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          397 | PA      | $404.51        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6755 | PA      | $6879.82       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312930J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2172 | PA      | $2212.22       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312930J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1182 | PA      | $1203.97       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312933JV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          754 | PA      | $768.27        | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296JQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          663 | PA      | $675.46        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296KES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          249 | PA      | $253.64        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2448 | PA      | $2493.01       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LQG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          478 | PA      | $484.10        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          220 | PA      | $223.70        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296M6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          366 | PA      | $371.24        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296MF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          135 | PA      | $136.60        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296MF38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          373 | PA      | $378.29        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296MGU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          336 | PA      | $342.40        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NDW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          394 | PA      | $401.51        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NRM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           93 | PA      | $94.41         | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1694 | PA      | $1724.92       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296PBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3544 | PA      | $3609.74       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          875 | PA      | $891.18        | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296TGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          872 | PA      | $888.02        | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296TQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          369 | PA      | $376.12        | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296TXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          650 | PA      | $661.77        | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296USS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2023 | PA      | $2060.56       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296UXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1240 | PA      | $1262.29       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XB38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          248 | PA      | $252.72        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          672 | PA      | $684.64        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          619 | PA      | $630.24        | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3363 | PA      | $3424.52       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          239 | PA      | $243.15        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296YGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          224 | PA      | $227.64        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296YUA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          175 | PA      | $178.67        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1817 | PA      | $1850.49       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297CWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       105227 | PA      | $107168.90     | 0.01%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                           | CUSIP: 3133KQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       668255 | PA      | $692198.70     | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                           | CUSIP: 3133KQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       646527 | PA      | $667783.94     | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                           | CUSIP: 3133KQLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3774611 | PA      | $3881546.27    | 0.23%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A1UT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1642433 | PA      | $167158.74     | 0.01%             | 2041-10-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A7NR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1429194 | PA      | $130700.47     | 0.01%             | 2042-07-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 3136B0LQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       693596 | PA      | $79123.75      | 0.00%             | 2048-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 3137A7YL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86305 | PA      | $86272.72      | 0.01%             | 2041-03-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 3137BJMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2739304 | PA      | $290932.43     | 0.02%             | 2045-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 3137FW6P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1390411 | PA      | $281243.98     | 0.02%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138AFFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1774 | PA      | $1765.07       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138APZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7708 | PA      | $7663.64       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138EG4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2036 | PA      | $2025.72       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138EGNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6932 | PA      | $6899.54       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138MHNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          551 | PA      | $548.27        | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8923 | PA      | $8866.33       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31395NEU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182752 | PA      | $182160.00     | 0.01%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31396KBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       209993 | PA      | $209326.65     | 0.01%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31396KXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200553 | PA      | $199859.25     | 0.01%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31396W3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72505 | PA      | $72374.15      | 0.00%             | 2037-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 31397BVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86169 | PA      | $85520.31      | 0.01%             | 2036-10-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 31397GX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        59093 | PA      | $58660.00      | 0.00%             | 2036-12-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       100396 | PA      | $100477.25     | 0.01%             | 2037-09-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 31398E3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29754 | PA      | $29975.53      | 0.00%             | 2039-06-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31398FHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27289 | PA      | $27786.48      | 0.00%             | 2039-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140K8YH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94379 | PA      | $92274.36      | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140QRXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1511690 | PA      | $1537557.24    | 0.09%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140QRXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       723348 | PA      | $750621.46     | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140QRXT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       738179 | PA      | $764397.49     | 0.05%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140QRXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       697575 | PA      | $721478.89     | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140W0C94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1904502 | PA      | $1955927.25    | 0.12%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140X4RK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299822 | PA      | $292332.50     | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2349 | PA      | $2342.30       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12344 | PA      | $12317.74      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31416BS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11004 | PA      | $11031.06      | 0.00%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31417KUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3668 | PA      | $3581.07       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31417YF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1700 | PA      | $1660.20       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349012 | PA      | $340293.97     | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64018 | PA      | $62476.08      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418DEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320843 | PA      | $313017.17     | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | Ellington Financial Mortgage Trust 2022-1                                                                                  | CUSIP: 31573CAA3<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |      2840394 | PA      | $2499632.50    | 0.15%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| First Brands Group LLC                                  | First Brands Group LLC 2021 Term Loan                                                                                      | CUSIP: 31935HAD9<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |            0 | PA      | $0.00          | 0.00%             | 2027-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| First Brands Group, LLC                                 | First Brands Group LLC 2025 DIP Term Loan                                                                                  | CUSIP: 31935HAM9<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |            0 | PA      | $0.00          | 0.00%             | 2026-06-29      | Floating      | 13.67%                | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                  | First Brands Group LLC 2025 PIK DIP Roll-Up Term Loan B                                                                    | CUSIP: 31935HAN7<br>LEI: 2549005IXRZR7KSBJD91 | Long             | LON              | CORP              | US        |            0 | PA      | $0.00          | 0.00%             | 2026-06-29      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Fleet Midco I Limited                                   | Fleet Midco I Limited 2024 1st Lien Term Loan B                                                                            | CUSIP: 33902UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3460675 | PA      | $3460674.69    | 0.21%             | 2031-02-21      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                                | Focus Financial Partners LLC                                                                                               | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1094247.00    | 0.07%             | 2031-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS                                 | FTAI Aviation Investors LLC                                                                                                | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      1060000 | PA      | $1059618.40    | 0.06%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA2                                                                                          | CUSIP: 35564MAH8<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | USGSE             | US        |       286869 | PA      | $289823.08     | 0.02%             | 2049-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2024-DNA3                                                                                    | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | USGSE             | US        |      2017906 | PA      | $2016238.53    | 0.12%             | 2044-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2025-DNA2                                                                                    | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |      1093750 | PA      | $1093746.50    | 0.07%             | 2045-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                                                                    | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |       600000 | PA      | $681111.18     | 0.04%             | 2050-12-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                   | Freedom Mortgage Holdings LLC                                                                                              | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      1395000 | PA      | $1414530.00    | 0.08%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GCAT                                                    | GCAT 2020-NQM2 Trust                                                                                                       | CUSIP: 36166RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1625000 | PA      | $1496813.66    | 0.09%             | 2065-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GCAT                                                    | GCAT 2021-NQM5 Trust                                                                                                       | CUSIP: 36168KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2356892 | PA      | $1988969.28    | 0.12%             | 2066-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6205516 | PA      | $6103589.20    | 0.36%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2282409 | PA      | $2302241.23    | 0.14%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3584410 | PA      | $3525535.00    | 0.21%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1453700 | PA      | $1253376.17    | 0.07%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1443638 | PA      | $1245602.28    | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1037365 | PA      | $893116.18     | 0.05%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1816907 | PA      | $1564260.80    | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust                | GM Financial Revolving Receivables Trust 2024-1                                                                            | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1550000 | PA      | $1579148.45    | 0.09%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                  | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |       240000 | PA      | $203523.31     | 0.01%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                                   | Kennedy Lewis CLO 15 Ltd                                                                                                   | CUSIP: 37147XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2000000 | PA      | $2000016.00    | 0.12%             | 2037-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                   | Genesis Energy LP / Genesis Energy Finance Corp                                                                            | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       910000 | PA      | $937045.20     | 0.06%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                   | Genesis Energy LP / Genesis Energy Finance Corp                                                                            | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2970000 | PA      | $2957436.90    | 0.18%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                   | GENMAB A/S/GENMAB FINANCE LLC                                                                                              | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      1515000 | PA      | $1553117.40    | 0.09%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FIN                                   | GENMAB A/S/GENMAB FINANCE LLC                                                                                              | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      1470000 | PA      | $1537443.60    | 0.09%             | 2033-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                | Genting New York LLC / GENNY Capital Inc                                                                                   | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2190000 | PA      | $2201694.60    | 0.13%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE                                 | Global Medical Response Inc                                                                                                | CUSIP: 37960BAD7<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |      3667000 | PA      | $3807666.12    | 0.23%             | 2032-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                                | Global Infrastructure Solutions Inc                                                                                        | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |      1875000 | PA      | $1839187.50    | 0.11%             | 2029-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                                     | Go Daddy Operating Co LLC / GD Finance Co Inc                                                                              | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       520000 | PA      | $484192.80     | 0.03%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Go Daddy Operating Company LLC                          | Go Daddy Operating Company LLC 2024 Term Loan B8                                                                           | CUSIP: 38017BAX4<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |      4164430 | PA      | $4098507.45    | 0.24%             | 2029-11-09      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                              | goeasy Ltd                                                                                                                 | CUSIP: 380355AR8<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |      1155000 | PA      | $930086.85     | 0.06%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO19, LTD                | GoldenTree Loan Management US CLO 19 Ltd                                                                                   | CUSIP: 38138WAN4<br>LEI: 9845000ND1D1M408P483 | Long             | ABS-CBDO         | CORP              | JE        |      5925000 | PA      | $5913138.15    | 0.35%             | 2039-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund          | Goldman Sachs Financial Square Government Fund                                                                             | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |     10927602 | NS      | $10927602.00   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38376WS30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2132999 | PA      | $169787.76     | 0.01%             | 2040-03-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38378VAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2659566 | PA      | $264011.11     | 0.02%             | 2043-07-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38378VX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2793547 | PA      | $182335.94     | 0.01%             | 2043-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38378YE47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       241263 | PA      | $3339.86       | 0.00%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2354414 | PA      | $108213.34     | 0.01%             | 2043-10-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379HWD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1919983 | PA      | $241011.81     | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379M2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       964456 | PA      | $88428.03      | 0.01%             | 2045-09-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379M2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1258155 | PA      | $115712.24     | 0.01%             | 2045-09-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379M4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       740802 | PA      | $137578.73     | 0.01%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379MNM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2676898 | PA      | $310510.04     | 0.02%             | 2045-08-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379Q8A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3206569 | PA      | $260404.52     | 0.02%             | 2045-10-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379QFW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1725870 | PA      | $200194.32     | 0.01%             | 2045-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38379TTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3959612 | PA      | $308722.27     | 0.02%             | 2046-01-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38380TZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       784804 | PA      | $73334.54      | 0.00%             | 2047-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38380UM67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       856777 | PA      | $82926.29      | 0.00%             | 2048-01-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38380W4A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1270304 | PA      | $146256.18     | 0.01%             | 2048-05-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38380Y2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1127751 | PA      | $131292.03     | 0.01%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38380YR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       539817 | PA      | $61901.63      | 0.00%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38381AQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       791323 | PA      | $89175.35      | 0.01%             | 2048-10-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315436 | PA      | $34133.50      | 0.00%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       897836 | PA      | $97630.98      | 0.01%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       551998 | PA      | $61596.93      | 0.00%             | 2049-06-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38382BDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1920609 | PA      | $331306.33     | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38382DJV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2388137 | PA      | $272649.50     | 0.02%             | 2050-02-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38382FV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2696142 | PA      | $577184.24     | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38382KWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1013937 | PA      | $149048.50     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38384AEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2767871 | PA      | $170327.03     | 0.01%             | 2053-05-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GREENKO POWER II LTD                                    | Greenko Power II Ltd                                                                                                       | CUSIP: 39530MAA6<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |       152000 | PA      | $142653.52     | 0.01%             | 2028-12-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                  | Group 1 Automotive Inc                                                                                                     | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |       219000 | PA      | $211696.35     | 0.01%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                   | Guatemala Government Bond                                                                                                  | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      1160000 | PA      | $1179430.00    | 0.07%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                 | Halsey Point CLO I Ltd                                                                                                     | CUSIP: 406375BL8<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5001855.00    | 0.30%             | 2037-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                                | Halseypoint CLO II Ltd                                                                                                     | CUSIP: 40638TAS1<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | KY        |      1425000 | PA      | $1390124.55    | 0.08%             | 2037-07-20      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                            | Harbor Freight Tools USA Inc 2024 Term Loan B                                                                              | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      2388625 | PA      | $2361108.04    | 0.14%             | 2031-06-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Hertz Corporation, (The)                                | Hertz Corporation (The) 2021 Term Loan B                                                                                   | CUSIP: 42804VBB6<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |      4831462 | PA      | $3563203.39    | 0.21%             | 2028-06-30      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Hertz Corporation, (The)                                | Hertz Corporation (The) 2021 Term Loan C                                                                                   | CUSIP: 42804VBC4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |       876426 | PA      | $646364.43     | 0.04%             | 2028-06-30      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                | Hilton Domestic Operating Co Inc                                                                                           | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      1174000 | PA      | $1156742.20    | 0.07%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC LLC/INC                                | Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc                                                  | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1263000 | PA      | $1200494.13    | 0.07%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOWDEN UK REFINANCE / US                                | Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC                                              | CUSIP: 44287DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      5395000 | PA      | $5059862.60    | 0.30%             | 2032-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                   | HUB International Ltd                                                                                                      | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |       585000 | PA      | $596729.25     | 0.04%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                            | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4225000 | PA      | $4326608.12    | 0.26%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                            | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1070000 | PA      | $1097197.24    | 0.07%             | 2040-01-13      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                            | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $924065.17     | 0.06%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                                                                    | CUSIP: 44890NE71<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | STIV             | CORP              | US        |     17000000 | PA      | $16929155.90   | 1.01%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                        | IRB Holding Corp 2025 Term Loan B                                                                                          | CUSIP: 44988LAM9<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |      2338920 | PA      | $2331856.70    | 0.14%             | 2030-12-16      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                               | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100000 | PA      | $3126112.29    | 0.19%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                               | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950000 | PA      | $951476.45     | 0.06%             | 2047-03-14      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                | iHeartCommunications Inc                                                                                                   | CUSIP: 45174HBL0<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |       177332 | PA      | $113730.10     | 0.01%             | 2030-05-01      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| iHeartMedia Inc                                         | iHeartMedia Inc                                                                                                            | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       242215 | NS      | $707267.80     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| iHeartCommunications Inc                                | iHeartCommunications Inc 2024 Term Loan                                                                                    | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |       600828 | PA      | $524877.49     | 0.03%             | 2029-05-01      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-through Certificates           | ILPT Commercial Mortgage Trust 2025-LPF2                                                                                   | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2900000 | PA      | $2941300.44    | 0.18%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                       | ILLINOIS ST                                                                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      3734510 | PA      | $3804002.32    | 0.23%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                       | ILLINOIS ST                                                                                                                | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      3192857 | PA      | $3432811.23    | 0.20%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                       | Imola Merger Corp                                                                                                          | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       495000 | PA      | $481451.85     | 0.03%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORP                                           | Ingevity Corp                                                                                                              | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Long             | DBT              | CORP              | US        |      1461000 | PA      | $1401099.00    | 0.08%             | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INSTALLED BUILDING PRODU                                | Installed Building Products Inc                                                                                            | CUSIP: 45780RAB7<br>LEI: 549300I95Y9P9YM5FI86 | Long             | DBT              | CORP              | US        |      2324000 | PA      | $2281563.76    | 0.14%             | 2034-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                       | Iron Mountain Inc                                                                                                          | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      1460000 | PA      | $1488645.20    | 0.09%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| iSolved Inc                                             | iSolved Inc 2025 Term Loan                                                                                                 | CUSIP: 46488HAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |            0 | PA      | $0.00          | 0.00%             | 2030-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                           | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1450000 | PA      | $1463280.00    | 0.09%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                           | CUSIP: 46593JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150000 | PA      | $1146253.79    | 0.07%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2025-VIS3                                                                                         | CUSIP: 46594EAA2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      3354279 | PA      | $3342067.91    | 0.20%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                  | CUSIP: 465970AA9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      1185393 | PA      | $1191204.03    | 0.07%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                  | CUSIP: 465970AB7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      1329490 | PA      | $1335893.55    | 0.08%             | 2064-07-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-LTV1                                                                                         | CUSIP: 465976AB4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       371504 | PA      | $331427.33     | 0.02%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2023-HE3                                                                                          | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |       251825 | PA      | $252222.56     | 0.02%             | 2054-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                                                            | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150612 | PA      | $1130558.07    | 0.07%             | 2037-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                            | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1293412.33    | 0.08%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                       | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      1098458 | PA      | $931153.86     | 0.06%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2023-2                                                                                          | CUSIP: 46656DAH4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      1233844 | PA      | $1209312.12    | 0.07%             | 2053-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2023-HE1                                                                                          | CUSIP: 46656UAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-O            | CORP              | US        |       498873 | PA      | $499293.39     | 0.03%             | 2053-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2023-DSC2                                                                                       | CUSIP: 46657BAA2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       540365 | PA      | $538408.83     | 0.03%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2024-1                                                                                          | CUSIP: 46657PAD5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       389992 | PA      | $390829.76     | 0.02%             | 2054-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                                                                     | CUSIP: 46657QAH4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      1796214 | PA      | $1639704.29    | 0.10%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2024-2                                                                                            | CUSIP: 46657TAH8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       600000 | PA      | $608022.00     | 0.04%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2025-NSLB                                                             | CUSIP: 46659JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1900000 | PA      | $1963841.03    | 0.12%             | 2042-06-05      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2025-NQM5                                                                                  | CUSIP: 46664DAC5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      3849905 | PA      | $3833285.09    | 0.23%             | 2066-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                 | Jane Street Group / JSG Finance Inc                                                                                        | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       905000 | PA      | $896601.60     | 0.05%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                     | Jazz Securities DAC                                                                                                        | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |       990000 | PA      | $962280.00     | 0.06%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KBR INC                                                 | KBR Inc                                                                                                                    | CUSIP: 48242WAC0<br>LEI: 254900OFQDXZRKRCV808 | Long             | DBT              | CORP              | US        |       498000 | PA      | $487681.44     | 0.03%             | 2028-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                                 | K Hovnanian Enterprises Inc                                                                                                | CUSIP: 48251UAQ1<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      1330000 | PA      | $1315104.00    | 0.08%             | 2033-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| KKR Apple Bidco LLC                                     | KKR Apple Bidco LLC 2025 Term Loan                                                                                         | CUSIP: 48254EAG6<br>LEI: 2549001SCJD3WEYJFM53 | Long             | LON              | CORP              | US        |      1436812 | PA      | $1436812.50    | 0.09%             | 2031-09-23      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Kaman Corporation                                       | Kaman Corporation 2025 Term Loan B                                                                                         | CUSIP: 48354VAM4<br>LEI: 5493003YK076OLTEQF95 | Long             | LON              | CORP              | US        |      2182138 | PA      | $2181723.36    | 0.13%             | 2032-02-26      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Kaman Corporation                                       | Kaman Corporation 2025 Delayed Draw Term Loan                                                                              | CUSIP: 48354VAN2<br>LEI: 5493003YK076OLTEQF95 | Long             | LON              | CORP              | US        |       206748 | PA      | $206708.67     | 0.01%             | 2032-02-26      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                          | KIND Commercial Mortgage Trust 2024-1                                                                                      | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950000 | PA      | $1947026.66    | 0.12%             | 2041-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                 | Kodiak Gas Services LLC                                                                                                    | CUSIP: 50012LAC8<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |       240000 | PA      | $248697.60     | 0.01%             | 2029-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                 | Kodiak Gas Services LLC                                                                                                    | CUSIP: 50012LAF1<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      1380000 | PA      | $1385823.60    | 0.08%             | 2031-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                           | KRE Commercial Mortgage Trust 2025-AIP4                                                                                    | CUSIP: 50077KAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4204688 | PA      | $4178706.82    | 0.25%             | 2042-03-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                                    | LBTY Commercial Mortgage Trust 2026-225L                                                                                   | CUSIP: 50178LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4100000 | PA      | $4010368.47    | 0.24%             | 2043-02-10      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                                | LCM Investments Holdings II LLC                                                                                            | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      1273000 | PA      | $1240449.39    | 0.07%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                        | Lamar Media Corp                                                                                                           | CUSIP: 513075BZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       535000 | PA      | $495971.75     | 0.03%             | 2031-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                                         | Lamb Weston Holdings Inc                                                                                                   | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      1540000 | PA      | $1471855.00    | 0.09%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      1370000 | PA      | $1386957.18    | 0.08%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       510000 | PA      | $523903.98     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust 2007-3                                                                                                     | CUSIP: 525245AD8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |        43851 | PA      | $48207.55      | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                   | Level 3 Financing Inc                                                                                                      | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      2665000 | PA      | $2728586.90    | 0.16%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                        | LEX 2024-BBG Mortgage Trust                                                                                                | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350000 | PA      | $1345745.42    | 0.08%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                 | Light & Wonder International Inc                                                                                           | CUSIP: 531968AB1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      2710000 | PA      | $2653225.50    | 0.16%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                    | LifePoint Health Inc                                                                                                       | CUSIP: 53219LAU3<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      1485000 | PA      | $1430099.55    | 0.09%             | 2029-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                     | Lightning Power LLC                                                                                                        | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |       720000 | PA      | $750074.40     | 0.04%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                                                                          | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |       520000 | PA      | $495482.00     | 0.03%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2020-NQM3 Trust                                                                                                        | CUSIP: 552757AE6<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $726866.72     | 0.04%             | 2065-01-26      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                        | MGM Resorts International                                                                                                  | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      1005000 | PA      | $988739.10     | 0.06%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                 | MPT Operating Partnership LP / MPT Finance Corp                                                                            | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              |  | US        |       903000 | PA      | $703437.00     | 0.04%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                          | MSWF Commercial Mortgage Trust 2023-2                                                                                      | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1255513 | PA      | $1304430.99    | 0.08%             | 2056-12-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                    | MAD Commercial Mortgage Trust 2025-11MD                                                                                    | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3700000 | PA      | $3719766.58    | 0.22%             | 2042-10-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                         | Madison IAQ LLC                                                                                                            | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |      2640000 | PA      | $2593509.60    | 0.15%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XXXVII Ltd                                                                                            | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1498723.50    | 0.09%             | 2037-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXV Ltd                                                                                                         | CUSIP: 55954TBA3<br>LEI: 549300WIDF28MGY5Q843 | Long             | ABS-CBDO         | CORP              | KY        |      3750000 | PA      | $3743625.00    | 0.22%             | 2039-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MAN GLG US CLO 2021-1 Ltd                               | MAN GLG US CLO 2021-1 LTD                                                                                                  | CUSIP: 56166WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6700000 | PA      | $6697514.30    | 0.40%             | 2034-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                    | Matador Resources Co                                                                                                       | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |       696000 | PA      | $696208.80     | 0.04%             | 2033-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                    | Matador Resources Co                                                                                                       | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      5830000 | PA      | $5789773.00    | 0.35%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                  | Match Group Holdings II LLC                                                                                                | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |       984000 | PA      | $962411.04     | 0.06%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION                                   | McGraw-Hill Education Inc                                                                                                  | CUSIP: 57767XAB6<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |      1345000 | PA      | $1343117.00    | 0.08%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                             | McAfee Corp                                                                                                                | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |       770000 | PA      | $635180.70     | 0.04%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| McAfee, LLC                                             | McAfee LLC 2024 USD 1st Lien Term Loan B                                                                                   | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |      1112816 | PA      | $990406.69     | 0.06%             | 2029-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| McCormick & Co Inc/MD                                   | McCormick & Co Inc/MD                                                                                                      | CUSIP: 57978DD71<br>LEI: 549300JQQA6MQ4OJP259 | Long             | STIV             | CORP              | US        |      7000000 | PA      | $6994691.90    | 0.42%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS                                  | Methanex US Operations Inc                                                                                                 | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       630000 | PA      | $644729.40     | 0.04%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MAVIS TIRE EXPRESS SERVI                                | Mavis Tire Express Services Topco Corp                                                                                     | CUSIP: 59155LAA0<br>LEI: 254900NVDM4GTLBL9E56 | Long             | DBT              | CORP              | US        |      3840000 | PA      | $3803904.00    | 0.23%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                    | Michaels Cos Inc/The                                                                                                       | CUSIP: 59408QAA4<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      2014000 | PA      | $1878639.06    | 0.11%             | 2034-03-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                    | Michaels Cos Inc/The                                                                                                       | CUSIP: 59408QAB2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      3395000 | PA      | $3306017.05    | 0.20%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                                | Midcap Financial Issuer Trust                                                                                              | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1176000 | PA      | $1142013.60    | 0.07%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                | Mill City Mortgage Loan Trust 2017-2                                                                                       | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       206082 | PA      | $202497.77     | 0.01%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                      | Morgan Stanley Mortgage Loan Trust 2006-16AX                                                                               | CUSIP: 617487AA1<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |       631548 | PA      | $94986.24      | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2022-L8                                                                                     | CUSIP: 61774LBF5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |       550000 | PA      | $512177.85     | 0.03%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                     | Medline Borrower LP                                                                                                        | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      1257000 | PA      | $1245737.28    | 0.07%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                                         | Murphy Oil Corp                                                                                                            | CUSIP: 626717AP7<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |       712000 | PA      | $707236.72     | 0.04%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                                                             | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       535000 | PA      | $508442.60     | 0.03%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                            | NY Commercial Mortgage Trust 2025-299P                                                                                     | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1050000 | PA      | $1077172.23    | 0.06%             | 2047-02-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                   | Nabors Industries Inc                                                                                                      | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |       660000 | PA      | $692709.60     | 0.04%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| NASSAU COMPANIES OF NY                                  | Nassau Cos of New York/The                                                                                                 | CUSIP: 63155AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1330000 | PA      | $1210712.30    | 0.07%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL BK KUWAIT NY BRH INST                          | NATIONAL BK KUWAIT NY BRH INST                                                                                             | CUSIP: 63376F3M0<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | KW        |      2908000 | PA      | $2908213.74    | 0.17%             | 2026-04-09      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                            | Navient Corp                                                                                                               | CUSIP: 63938CAM0<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |       615000 | PA      | $566728.65     | 0.03%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                            | Navient Corp                                                                                                               | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |       860000 | PA      | $839179.40     | 0.05%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                    | Neptune Bidco US Inc                                                                                                       | CUSIP: 640695AD4<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      2285000 | PA      | $2225658.55    | 0.13%             | 2033-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 39 Ltd                                                                                  | CUSIP: 64134GAL3<br>LEI: 549300VZYYV7KE4XNU69 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2000124.00    | 0.12%             | 2038-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 54 Ltd                                                                                  | CUSIP: 64135PAG3<br>LEI: 2549008MU2CMQ0UY7J70 | Long             | ABS-CBDO         | CORP              | JE        |      1975000 | PA      | $1978886.80    | 0.12%             | 2038-04-23      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                       | Newell Brands Inc                                                                                                          | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |       370000 | PA      | $353690.40     | 0.02%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                       | Newell Brands Inc                                                                                                          | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |       235000 | PA      | $226295.60     | 0.01%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                       | Nexstar Media Inc                                                                                                          | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |       549000 | PA      | $549000.00     | 0.03%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                       | Nexstar Media Inc                                                                                                          | CUSIP: 65346UAB5<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      3900000 | PA      | $3930186.00    | 0.23%             | 2033-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                           | 1988 CLO 3 Ltd                                                                                                             | CUSIP: 653949AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2486290.00    | 0.15%             | 2038-10-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                           | 1988 CLO 6 Ltd                                                                                                             | CUSIP: 65444GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2100000 | PA      | $2015773.20    | 0.12%             | 2038-04-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Nissan Master Owner Trust Receivables                   | Nissan Master Owner Trust Receivables                                                                                      | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2725000 | PA      | $2745112.19    | 0.16%             | 2029-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                    | Noble Finance II LLC                                                                                                       | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       800000 | PA      | $825640.00     | 0.05%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL & GAS INC                                  | Northern Oil & Gas Inc                                                                                                     | CUSIP: 665531AL3<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      2115000 | PA      | $2189892.15    | 0.13%             | 2033-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                         | Gen Digital Inc                                                                                                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |       933000 | PA      | $937301.13     | 0.06%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                         | Gen Digital Inc                                                                                                            | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |       780000 | PA      | $759220.80     | 0.05%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE                                  | Brundage-Bone Concrete Pumping Holdings Inc                                                                                | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2282000 | PA      | $2304477.70    | 0.14%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                                                                     | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      1800000 | PA      | $1874484.00    | 0.11%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                             | OCP CLO 2017-14 Ltd                                                                                                        | CUSIP: 67097QAN5<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |      5450000 | PA      | $5450452.35    | 0.33%             | 2037-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM1 Trust                                                                                                        | CUSIP: 67114VAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |      1269775 | PA      | $1141009.76    | 0.07%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM1 Trust                                                                                                        | CUSIP: 67114VAB9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $393588.65     | 0.02%             | 2061-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-J2 Trust                                                                                                          | CUSIP: 67115QAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |       889688 | PA      | $801588.22     | 0.05%             | 2052-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Commercial Mortgage Trust 2025-300P                                                                                    | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300000 | PA      | $1292591.24    | 0.08%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1550133.18    | 0.09%             | 2040-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $2300718.38    | 0.14%             | 2040-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2900000 | PA      | $2901331.74    | 0.17%             | 2040-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Trust 2025-77C                                                                                                         | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4500000 | PA      | $4468161.29    | 0.27%             | 2036-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| OAK-EAGLE ACQUIRECO INC                                 | OAK-Eagle Acquireco Inc                                                                                                    | CUSIP: 67124CAA1<br>LEI: 6488ICS9P20290MA1H31 | Long             | DBT              | CORP              | US        |       465000 | PA      | $481586.55     | 0.03%             | 2033-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                       | Chord Energy Corp                                                                                                          | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2065400.00    | 0.12%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Octagon 67 Ltd                                          | Octagon 67 Ltd                                                                                                             | CUSIP: 67571LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3983920.00    | 0.24%             | 2038-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                | Olympus Water US Holding Corp                                                                                              | CUSIP: 681639AD2<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |       895000 | PA      | $875202.60     | 0.05%             | 2031-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                      | One New York Plaza Trust 2020-1NYP                                                                                         | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1557449 | PA      | $1502988.22    | 0.09%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                           | 1988 CLO 4 Ltd                                                                                                             | CUSIP: 68252EAG6<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |      2100000 | PA      | $2100000.00    | 0.13%             | 2037-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                           | 1988 CLO 4 Ltd                                                                                                             | CUSIP: 68252EAJ0<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |      2700000 | PA      | $2700000.00    | 0.16%             | 2037-04-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                           | 1988 CLO 5 Ltd                                                                                                             | CUSIP: 68252PAN6<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1893350.00    | 0.11%             | 2037-07-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                                                       | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      1055000 | PA      | $951493.95     | 0.06%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                                                       | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       645000 | PA      | $613214.40     | 0.04%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO                                              | OPAL BIDCO                                                                                                                 | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |      2209000 | PA      | $2210480.03    | 0.13%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      3685000 | PA      | $3585394.45    | 0.21%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3845680.00    | 0.23%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1560000 | PA      | $1444965.60    | 0.09%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                                                                | CUSIP: 6840C3K28<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |      7795000 | PA      | $7616570.11    | 0.45%             | 2026-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                                | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                           | CUSIP: 68622TAA9<br>LEI: 549300SH15FO4Y2G3V63 | Long             | DBT              | CORP              | US        |       985000 | PA      | $954987.05     | 0.06%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                                | Outfront Media Capital LLC / Outfront Media Capital Corp                                                                   | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       254000 | PA      | $253601.22     | 0.02%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC2 Trust                                                                                                      | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1648467 | PA      | $1459975.39    | 0.09%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GEN II Fund Services LLC                                | GEN II Fund Services LLC 2024 Term Loan B                                                                                  | CUSIP: 69381MAB1<br>LEI: 2138006XMWHEBFQ55Z05 | Long             | LON              | CORP              | US        |      1381050 | PA      | $1362640.60    | 0.08%             | 2031-11-26      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                          | PENN Commercial Mortgage Trust 2025-P11                                                                                    | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2537705.28    | 0.15%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                          | PENN Commercial Mortgage Trust 2025-P11                                                                                    | CUSIP: 69382VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1024347.66    | 0.06%             | 2042-08-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2024-3 Ltd                                                                                               | CUSIP: 69688GAA6<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |      7500000 | PA      | $7501875.00    | 0.45%             | 2037-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                       | Park Blue CLO 2023-IV Ltd                                                                                                  | CUSIP: 699917BA7<br>LEI: 213800XCIR4Y5GCOQX50 | Long             | ABS-CBDO         | CORP              | JE        |      3000000 | PA      | $2934873.00    | 0.18%             | 2039-01-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                       | Park Blue CLO 2022-1 Ltd                                                                                                   | CUSIP: 70016WAQ7<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |      1200000 | PA      | $1200885.60    | 0.07%             | 2037-10-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                   | PennyMac Financial Services Inc                                                                                            | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      2605000 | PA      | $2514319.95    | 0.15%             | 2032-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |        60000 | PA      | $58725.00      | 0.00%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       110000 | PA      | $110284.90     | 0.01%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1060000 | PA      | $1063604.00    | 0.06%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       320000 | PA      | $306064.00     | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1050000 | PA      | $1103970.00    | 0.07%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                              | Phinia Inc                                                                                                                 | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |       620000 | PA      | $632865.00     | 0.04%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                              | Phinia Inc                                                                                                                 | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |       212000 | PA      | $214802.64     | 0.01%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                          | Pikes Peak CLO 19 2025                                                                                                     | CUSIP: 72132DAA9<br>LEI: 391200PAO6NUBCQMES50 | Long             | ABS-CBDO         | CORP              | KY        |     11600000 | PA      | $11604941.60   | 0.69%             | 2038-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                          | Pikes Peak CLO 14 2023 Ltd                                                                                                 | CUSIP: 72134CAU5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |      3000000 | PA      | $2953002.00    | 0.18%             | 2038-07-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Plano HoldCo Inc                                        | Plano HoldCo Inc Term Loan B                                                                                               | CUSIP: 72712EAB3<br>LEI: 254900C53JLEP3CCOQ10 | Long             | LON              | CORP              | US        |       861579 | PA      | $689263.43     | 0.04%             | 2031-10-02      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                       | Post Holdings Inc                                                                                                          | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      1335000 | PA      | $1317124.35    | 0.08%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP                                     | Prairie Acquiror LP                                                                                                        | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |       535000 | PA      | $553179.30     | 0.03%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ECI ACQUIROR LP                                 | Prairie ECI Acquiror LP 2026 Repriced Term Loan B                                                                          | CUSIP: 73955HAG9<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |      1970137 | PA      | $1971614.91    | 0.12%             | 2029-08-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICE                                | Prime Healthcare Services Inc                                                                                              | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       790000 | PA      | $818882.40     | 0.05%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                   | Qnity Electronics Inc                                                                                                      | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |       895000 | PA      | $896118.75     | 0.05%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                   | Qnity Electronics Inc                                                                                                      | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |       440000 | PA      | $446402.00     | 0.03%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2006-QS6 Trust                                                                                                 | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257695 | PA      | $211498.18     | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                             | RAD CLO 31 Ltd                                                                                                             | CUSIP: 74939NAJ9<br>LEI: 254900F50S9DCHTOVI65 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2954700.00    | 0.18%             | 2039-04-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                           | RFMSI Series 2007-S9 Trust                                                                                                 | CUSIP: 74958VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1274796 | PA      | $581196.14     | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3965787.03    | 0.24%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2350000 | PA      | $2443057.13    | 0.15%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RWE AG                                                  | RWE AG                                                                                                                     | CUSIP: 7497MBFP2<br>LEI: 529900GB7KCA94ACC940 | Long             | STIV             | CORP              | DE        |      7431000 | PA      | $7359459.53    | 0.44%             | 2026-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                | RHP Hotel Properties LP / RHP Finance Corp                                                                                 | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              |  | US        |       875000 | PA      | $863581.25     | 0.05%             | 2034-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2006-QO7 Trust                                                                                                 | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51132 | PA      | $50265.72      | 0.00%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2006-QS9 Trust                                                                                                 | CUSIP: 75115CAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440642 | PA      | $357776.75     | 0.02%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                         | Rand Parent LLC                                                                                                            | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       725000 | PA      | $745930.75     | 0.04%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                | Regatta XVI Funding Ltd                                                                                                    | CUSIP: 75888TAY1<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |      7210000 | PA      | $7190533.00    | 0.43%             | 2039-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                                 | Regatta 30 Funding Ltd                                                                                                     | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10500000 | PA      | $10506825.00   | 0.63%             | 2038-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                    | LifePoint Health Inc 2024 1st Lien Term Loan B                                                                             | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |       932072 | PA      | $931838.90     | 0.06%             | 2031-05-19      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2006-QS2 Trust                                                                                                 | CUSIP: 761118UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161727 | PA      | $131969.96     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust 2006-A8                                                                             | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       653539 | PA      | $439593.73     | 0.03%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                         | Residential Mortgage Loan Trust 2020-2                                                                                     | CUSIP: 76123MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150494 | PA      | $147171.22     | 0.01%             | 2060-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                        | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4720000 | PA      | $4664445.60    | 0.28%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                 | Romanian Government International Bond                                                                                     | CUSIP: 775921AA7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      6350000 | PA      | $5880854.38    | 0.35%             | 2036-07-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                                                                | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |       895000 | PA      | $904576.50     | 0.05%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SESI LLC                                                | SESI LLC                                                                                                                   | CUSIP: 78412FAX2<br>LEI: XDZ56K6RXS5J1ESBZS35 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1417369.10    | 0.08%             | 2030-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust 2021-OVA                                                                                                  | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2669138.70    | 0.16%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                            | SM Energy Co                                                                                                               | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |       330000 | PA      | $335204.10     | 0.02%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                            | SM Energy Co                                                                                                               | CUSIP: 78454LAY6<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |       530000 | PA      | $541103.50     | 0.03%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SV RNO PROPERTY OWNER 1                                 | SV RNO Property Owner 1 LLC                                                                                                | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3305000 | PA      | $3275155.85    | 0.20%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2025-1                                                                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1463927 | PA      | $1466688.27    | 0.09%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SAZERAC COMPANY INC                                     | Sazerac Company Inc Repriced Term Loan B                                                                                   | CUSIP: 80583EAP1<br>LEI: 9QU0CG1O4LSOB6IFK895 | Long             | LON              | CORP              | US        |      1620938 | PA      | $1618684.40    | 0.10%             | 2032-07-09      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte Ltd                 | SEAGATE DATA STOR                                                                                                          | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |       430000 | PA      | $451844.00     | 0.03%             | 2029-12-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SEALED AIR/SEALED AIR US                                | Sealed Air Corp/Sealed Air Corp US                                                                                         | CUSIP: 812127AA6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      1375000 | PA      | $1396051.25    | 0.08%             | 2028-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                     | Select Medical Corp                                                                                                        | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      2680000 | PA      | $2547340.00    | 0.15%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                 | Sensata Technologies BV                                                                                                    | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |       319000 | PA      | $307956.22     | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC                                        | Sensata Technologies Inc                                                                                                   | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      1059000 | PA      | $1014522.00    | 0.06%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                | Sinclair Television Group Inc                                                                                              | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      1145000 | PA      | $1166949.65    | 0.07%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                     | Sirius XM Radio LLC                                                                                                        | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      1525000 | PA      | $1473729.50    | 0.09%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, Ltd.                              | Sixth Street CLO XVI Ltd                                                                                                   | CUSIP: 83012DBQ5<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-CBDO         | CORP              | KY        |      6775000 | PA      | $6756829.45    | 0.40%             | 2039-01-21      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                | Snap Inc                                                                                                                   | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      2295000 | PA      | $2172309.30    | 0.13%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                | Snap Inc                                                                                                                   | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      1610000 | PA      | $1513705.90    | 0.09%             | 2034-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERI                                | Solstice Advanced Materials Inc                                                                                            | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |      2715000 | PA      | $2677098.60    | 0.16%             | 2033-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                    | Sonic Automotive Inc                                                                                                       | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      1411000 | PA      | $1367597.64    | 0.08%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                | Republic of South Africa Government International Bond                                                                     | CUSIP: 836205BH6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      1090000 | PA      | $1011934.20    | 0.06%             | 2037-12-11      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                | Republic of South Africa Government International Bond                                                                     | CUSIP: 836205BJ2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      1900000 | PA      | $1737550.00    | 0.10%             | 2055-12-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Spire Inc                                               | Spire Inc                                                                                                                  | CUSIP: 84858PDH1<br>LEI: 549300NXSY15DRY2R511 | Long             | STIV             | CORP              | US        |     17000000 | PA      | $16967745.90   | 1.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                                | Standard Building Solutions Inc                                                                                            | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |       610000 | PA      | $613031.70     | 0.04%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                     | Starwood Mortgage Residential Trust 2020-2                                                                                 | CUSIP: 85573DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1875000 | PA      | $1834268.63    | 0.11%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                 | Stellar Jay Ireland DAC                                                                                                    | CUSIP: 858558AA7<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |       427994 | PA      | $424135.36     | 0.03%             | 2041-10-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                        | StoneX Group Inc                                                                                                           | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |       685000 | PA      | $712646.60     | 0.04%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                            | Sunnova Hestia I Issuer LLC                                                                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       150266 | PA      | $147375.95     | 0.01%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                  | Sunoco LP / Sunoco Finance Corp                                                                                            | CUSIP: 86765KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       895000 | PA      | $913123.75     | 0.05%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                  | Sunoco LP / Sunoco Finance Corp                                                                                            | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       495000 | PA      | $482530.95     | 0.03%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO 52 Ltd                                                                                                        | CUSIP: 87170MAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3625000 | PA      | $3548914.88    | 0.21%             | 2036-01-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TPG Trust                                               | TPG Trust 2024-WLSC                                                                                                        | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4425000 | PA      | $4415576.65    | 0.26%             | 2029-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| TPG Trust                                               | TPG Trust 2024-WLSC                                                                                                        | CUSIP: 872973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1251323.36    | 0.07%             | 2029-11-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                    | TTM Technologies Inc                                                                                                       | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |      1040000 | PA      | $998836.80     | 0.06%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                 | Talen Energy Supply LLC                                                                                                    | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      2660000 | PA      | $2641912.00    | 0.16%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                                               | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       710000 | PA      | $729752.20     | 0.04%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                   | Tenet Healthcare Corp                                                                                                      | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       414000 | PA      | $415001.88     | 0.02%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                              | Terex Corp                                                                                                                 | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |       520000 | PA      | $523520.40     | 0.03%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                  | Tesla Auto Lease Trust 2024-A                                                                                              | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       238449 | PA      | $238865.84     | 0.01%             | 2027-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                         | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                   | CUSIP: 88231WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $793002.47     | 0.05%             | 2042-04-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| TIDEWATER INC                                           | Tidewater Inc                                                                                                              | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |      2540000 | PA      | $2711627.80    | 0.16%             | 2030-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2020-1                                                                                           | CUSIP: 89178WBB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |       550000 | PA      | $508784.32     | 0.03%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                     | Toyota Auto Receivables 2023-B Owner Trust                                                                                 | CUSIP: 891941AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1058521 | PA      | $1061157.33    | 0.06%             | 2028-02-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                                                                              | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |       795000 | PA      | $804078.90     | 0.05%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS                                 | TransMontaigne Partners LLC                                                                                                | CUSIP: 89377AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3756000 | PA      | $3807907.92    | 0.23%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                | Transocean International Ltd                                                                                               | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       295000 | PA      | $304684.85     | 0.02%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                | Transocean International Ltd                                                                                               | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $315165.00     | 0.02%             | 2031-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                     | Travel + Leisure Co                                                                                                        | CUSIP: 894164AA0<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |       525000 | PA      | $502446.00     | 0.03%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                       | Trimaran Cavu 2021-2 Ltd                                                                                                   | CUSIP: 89624UAU6<br>LEI: 254900IFDJE1IJQ1HT84 | Long             | ABS-CBDO         | CORP              | KY        |      5275000 | PA      | $5020433.78    | 0.30%             | 2034-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                        | TriNet Group Inc                                                                                                           | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |       525000 | PA      | $474153.75     | 0.03%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XXII Ltd                                                                                                      | CUSIP: 89640HAU5<br>LEI: 254900Y31HLFEBSJXC19 | Long             | ABS-CBDO         | CORP              | BM        |      2825000 | PA      | $2758053.15    | 0.16%             | 2038-03-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XXIII Ltd                                                                                                     | CUSIP: 89642TAL7<br>LEI: 635400HEV45BA22Y6W50 | Long             | ABS-CBDO         | CORP              | BM        |      2000000 | PA      | $1999946.00    | 0.12%             | 2038-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                 | UKG Inc 2024 Term Loan B                                                                                                   | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |       673630 | PA      | $642730.72     | 0.04%             | 2031-02-10      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Turkiye Government International Bonds                  | Turkiye Government International Bonds                                                                                     | CUSIP: 900123DL1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      1170000 | PA      | $1164337.20    | 0.07%             | 2032-07-17      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKIYE                                     | Turkiye Government International Bond                                                                                      | CUSIP: 900123DS6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      2100000 | PA      | $1981875.00    | 0.12%             | 2036-11-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                       | 1211 Avenue of the Americas Trust 2015-1211                                                                                | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $2200010.95    | 0.13%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                              | Twilio Inc                                                                                                                 | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |       525000 | PA      | $501616.50     | 0.03%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                            | US Foods Inc                                                                                                               | CUSIP: 90290MAG6<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      1210000 | PA      | $1239620.80    | 0.07%             | 2028-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CINEWORLD RIGHTS                                        | CINEWORLD RIGHTS                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             |  | US        |        16800 | NS      | $295192.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                      | Ukraine Government International Bond                                                                                      | CUSIP: 903724CH3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3020000 | PA      | $2174400.00    | 0.13%             | 2032-02-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                | United Natural Foods Inc                                                                                                   | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |       816000 | PA      | $816530.40     | 0.05%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                                                           | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       424000 | PA      | $398763.52     | 0.02%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Inflation-Indexed Bonds                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54840852 | PA      | $42017518.34   | 2.51%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    114740000 | PA      | $108303803.13  | 6.46%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13490000 | PA      | $13256032.81   | 0.79%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        11400 | PA      | $11398.22      | 0.00%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63790000 | PA      | $64318260.94   | 3.84%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                                                                        | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56500000 | PA      | $56698633.10   | 3.38%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  1 | On Loan: No      |
| USA COM PART/USA COM FIN                                | USA Compression Partners LP / USA Compression Finance Corp                                                                 | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       880000 | PA      | $900556.80     | 0.05%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                          | VFH Parent LLC 2025 Term Loan B                                                                                            | CUSIP: 91820UAV2<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      1806750 | PA      | $1803732.73    | 0.11%             | 2031-06-21      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                          | VOC Escrow Ltd                                                                                                             | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1700000 | PA      | $1693625.00    | 0.10%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                                                                          | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      2700000 | PA      | $2716686.00    | 0.16%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                   | Venture Global Plaquemines LNG LLC                                                                                         | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      1280000 | PA      | $1354380.80    | 0.08%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                         | Venture 49 CLO Ltd                                                                                                         | CUSIP: 922972AJ3<br>LEI: 254900CWURXJKKIUGG97 | Long             | ABS-CBDO         | CORP              | KY        |      1700000 | PA      | $1689764.30    | 0.10%             | 2037-04-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                  | Venture Global LNG Inc                                                                                                     | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1417000.80    | 0.08%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-8                                                                                          | CUSIP: 92538GAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |       619788 | PA      | $564545.02     | 0.03%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-4                                                                                          | CUSIP: 92538HAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      4064213 | PA      | $3440851.10    | 0.21%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-6                                                                                          | CUSIP: 92538MAA7<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |       249923 | PA      | $218849.07     | 0.01%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-7                                                                                          | CUSIP: 92538QAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      4535052 | PA      | $4178736.10    | 0.25%             | 2066-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-7                                                                                          | CUSIP: 92538QAB6<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      2055388 | PA      | $1829732.46    | 0.11%             | 2066-10-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-1                                                                                          | CUSIP: 92538WAC1<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |       944392 | PA      | $862684.01     | 0.05%             | 2067-01-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |      2273656 | PA      | $2284363.42    | 0.14%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAL4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |      3031536 | PA      | $3046979.36    | 0.18%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2025-6                                                                                          | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |        56672 | PA      | $56829.18      | 0.00%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                      | Viking Cruises Ltd                                                                                                         | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |      2680000 | PA      | $2650841.60    | 0.16%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Visio 2020-1 Trust                                      | Visio 2020-1 Trust                                                                                                         | CUSIP: 92837KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $482295.65     | 0.03%             | 2055-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| VIRTUSA CORP                                            | Virtusa Corp                                                                                                               | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |      1845000 | PA      | $1442015.10    | 0.09%             | 2028-12-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                                                                   | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      1015000 | PA      | $991096.75     | 0.06%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                           | VTR Commercial Mortgage Trust 2025-STEM                                                                                    | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2750000 | PA      | $2726220.17    | 0.16%             | 2039-10-13      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                           | VTR Commercial Mortgage Trust 2025-STEM                                                                                    | CUSIP: 92890YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350000 | PA      | $1332311.17    | 0.08%             | 2039-10-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2019-2 Ltd                                                                                                        | CUSIP: 92917RAL3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      1572615 | PA      | $1573533.80    | 0.09%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2024-1 Ltd                                                                                                        | CUSIP: 92920DAG0<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      1375000 | PA      | $1375662.75    | 0.08%             | 2037-04-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                            | WB Commercial Mortgage Trust 2024-HQ                                                                                       | CUSIP: 92943PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2425000 | PA      | $2423783.06    | 0.14%             | 2040-03-15      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                         | WHARF Commercial Mortgage Trust 2025-DC                                                                                    | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1650000 | PA      | $1678499.81    | 0.10%             | 2040-07-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                       | Waste Pro USA Inc                                                                                                          | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |      2015000 | PA      | $2043068.95    | 0.12%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTERNATIONA                                | Weatherford International Ltd                                                                                              | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |      1340000 | PA      | $1365500.20    | 0.08%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2026-1250B                                                                           | CUSIP: 949939AC6<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |      1600000 | PA      | $1576541.98    | 0.09%             | 2041-03-10      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2017-RC1                                                                             | CUSIP: 95001FAC9<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |       756000 | PA      | $719824.99     | 0.04%             | 2060-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                             | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1351537.68    | 0.08%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAA9<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1756758.27    | 0.10%             | 2035-07-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1102871.37    | 0.07%             | 2035-07-15      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust 2025-2                                                                               | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1818512 | PA      | $1821637.89    | 0.11%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| WhiteWater DBR HoldCo LLC                               | WhiteWater DBR HoldCo LLC 1st Lien Term Loan B                                                                             | CUSIP: 96616PAD0<br>LEI: 21380025GXMNBTSJP816 | Long             | LON              | CORP              | US        |      1649927 | PA      | $1651577.28    | 0.10%             | 2031-03-03      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                      | Wind River 2021-3 CLO Ltd                                                                                                  | CUSIP: 97316DAL0<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3489097.50    | 0.21%             | 2038-04-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ardagh Holdings SA                                      | Ardagh Holdings SA                                                                                                         | CUSIP: 985923101<br>LEI: 549300ORV6YW6ESSNQ21 | Long             | EC               | CORP              | LU        |        10317 | NS      | $72219.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                                                                               | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |       885000 | PA      | $894035.85     | 0.05%             | 2028-04-14      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 15 Ltd                                         | Zais Clo 15 Ltd                                                                                                            | CUSIP: 98888DBC5<br>LEI: 549300BTYXZYFTGVBO58 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1993084.00    | 0.12%             | 2037-07-28      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| ZI TECH LLC/ZI FIN CORP                                 | ZoomInfo Technologies LLC/ZoomInfo Finance Corp                                                                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1440000 | PA      | $1197619.20    | 0.07%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR212021  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR212021  IRS EUR P F  1.25000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      2630000 | OU      | $124605.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR219534  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR219534  IRS USD P F  3.49000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |        10000 | OU      | $24.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: SX003146  CDS USD R F  5.00000 2 CCPCDX / Short: SX003146  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |     21532500 | OU      | $830609.73     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  13324914368 | OU      | $-4407116.46   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: SX003290  CDS USD R F  1.00000 2 CCPCDX / Short: SX003290  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    211141729 | OU      | $3790648.57    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR233890  IRS BRL R F 13.25000 2 CCPNDFPREDISWAP / Short: SR233890  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    318120000 | OU      | $-1009852.67   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | Long: CX003306  CDS USD R F   .50000 2 CMBX / Short: CX003306  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     13175000 | OU      | $-191260.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    110690000 | OU      | $641869.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     87920000 | OU      | $638879.47     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    158350000 | OU      | $-1798270.10   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | Long: CX003318  CDS USD R F   .50000 2 CMBX / Short: CX003318  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      8675000 | OU      | $-125934.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1138676555 | OU      | $-7425001.26   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1138676555 | OU      | $4613858.79    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     12300000 | OU      | $-178557.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | Long: CX003328  CDS USD R F   .50000 2 CMBX / Short: CX003328  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     27900000 | OU      | $-405021.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: SX003325  CDS USD R F  1.00000 2 CCPCDX / Short: SX003325  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    727674435 | OU      | $12875762.52   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: SX003335  CDS USD R F  5.00000 2 CCPCDX / Short: SX003335  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     62964000 | OU      | $3319682.45    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR253442  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR253442  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  72181440000 | OU      | $1106428.84    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR254459  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR254459  IRS JPY P F  2.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8243272549 | OU      | $296161.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BR252837  IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BR252837  IRS BRL P F 12.75000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |     27240000 | OU      | $130642.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | Long: IBX00114  TRS USD R V 00MSOFR SOFRRATE -57 BPS / Short: IBX00114  TRS USD P F   .00000 JPMBKTL5 INDEX                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     95811012 | OU      | $1669680.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | Long: IBX00115  TRS USD R V 00MSOFR SOFRRATE -57 BPS / Short: IBX00115  TRS USD P F   .00000 JPMBKTL5 INDEX                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     98472429 | OU      | $1716060.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR252837  IRS BRL R F 12.75000 2 CCPNDFPREDISWAP / Short: SR252837  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |     59120000 | OU      | $-283537.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255081  IRS GBP R F  3.75000 2 CCPOIS / Short: SR255081  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    211630000 | OU      | $-2510573.85   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255064  IRS EUR R V 00MESTR 1 CCPOIS / Short: BR255064  IRS EUR P F  2.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |      3160000 | OU      | $43536.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255104  IRS CAD R F  3.25000 2 CCPOIS / Short: SR255104  IRS CAD P V 00MCORRA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     24460000 | OU      | $-4564.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255477  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255477  IRS USD P F  3.40711 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    202670000 | OU      | $3548751.70    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255481  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255481  IRS USD P F  3.17503 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    300190000 | OU      | $2075273.51    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255047  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255047  IRS EUR P F  2.25000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     61350000 | OU      | $874656.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255050  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR255050  IRS EUR P V 06MEURIB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    194560000 | OU      | $-4276427.74   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255058  IRS EUR P F  3.00000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     12380000 | OU      | $292211.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255056  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255056  IRS EUR P F  3.00000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |       510000 | OU      | $20123.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255048  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255048  IRS EUR P F  2.25000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      1660000 | OU      | $34493.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255084  IRS GBP R F  4.00000 2 CCPOIS / Short: SR255084  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     84550000 | OU      | $-883051.53    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255087  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255087  IRS GBP P F  4.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     22290000 | OU      | $399359.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255053  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255053  IRS EUR P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    197460000 | OU      | $6630088.94    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255030  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255030  IRS USD P F  3.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    253220000 | OU      | $2865310.91    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255036  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255036  IRS USD P F  3.75000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     42180000 | OU      | $453561.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255119  IRS AUD R F  5.00000 2 CCPVANILLA / Short: SR255119  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     61430000 | OU      | $-182275.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255133  IRS JPY R F  2.50000 2 CCPOIS / Short: SR255133  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2038000000 | OU      | $-1397294.56   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255201  IRS NZD R F  3.75000 2 CCPVANILLA / Short: SR255201  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    240740000 | OU      | $-1837489.52   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255942  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255942  IRS USD P F  3.29785 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    242940000 | OU      | $2749740.68    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255116  IRS AUD R F  4.75000 2 CCPVANILLA / Short: SR255116  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    226480000 | OU      | $-957748.29    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255098  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255098  IRS CAD P F  2.50000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     32500000 | OU      | $139102.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255206  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR255206  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     56840000 | OU      | $-1004436.06   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255182  IRS NOK R F  4.25000 2 CCPVANILLA / Short: SR255182  IRS NOK P V 06MNIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     81170000 | OU      | $-119015.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255159  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR255159  IRS SEK P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    308080000 | OU      | $951819.18     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255141  IRS CHF R F   .50000 2 CCPOIS / Short: SR255141  IRS CHF P V 00MSARON 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     23540000 | OU      | $-212389.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255129  IRS JPY R F  1.50000 2 CCPOIS / Short: SR255129  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1347000000 | OU      | $-536697.66    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255126  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR255126  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 114859000000 | OU      | $19226226.34   | 1.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255985  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255985  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     27900000 | OU      | $242964.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255988  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR255988  IRS AUD P F  4.50000 2 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     71680000 | OU      | $171160.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255986  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255986  IRS GBP P F  4.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     25710000 | OU      | $145783.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255984  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255984  IRS USD P F  3.25000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     51400000 | OU      | $335410.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BR233890  IRS BRL R V 00MBRCDI 2 CCPNDFPREDISWAP / Short: BR233890  IRS BRL P F 13.25000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |     79740000 | OU      | $253129.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR256088  IRS KRW R V 03MKSDA 1 CCPNDF / Short: BR256088  IRS KRW P F  3.50000 2 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  55754800000 | OU      | $215542.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255465  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255465  IRS THB P F  2.00000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    189810000 | OU      | $108646.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR256085  IRS INR R V 00MMIBOR 1 CCPNDFOIS / Short: BR256085  IRS INR P F  6.00000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2642370000 | OU      | $354029.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255456  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255456  IRS THB P F  1.25000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    374210000 | OU      | $61459.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255457  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255457  IRS THB P F  1.50000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     11060000 | OU      | $5304.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256081  IRS CZK R F  4.25000 2 CCPVANILLA / Short: SR256081  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     92690000 | OU      | $-116820.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256079  IRS CZK R F  4.00000 2 CCPVANILLA / Short: SR256079  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    953280000 | OU      | $-333102.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256095  IRS ZAR R F  6.75000 2 CCPVANILLA / Short: SR256095  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    311840000 | OU      | $-248850.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR256097  IRS ZAR R V 03MJIBAR 1 CCPVANILLA / Short: BR256097  IRS ZAR P F  7.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    143090000 | OU      | $422931.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256096  IRS ZAR R F  7.00000 2 CCPVANILLA / Short: SR256096  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     51820000 | OU      | $-103763.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR255987  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255987  IRS CAD P F  2.75000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     59760000 | OU      | $48307.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256082  IRS HUF R F  6.25000 2 CCPVANILLA / Short: SR256082  IRS HUF P V 06MBUBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3287770000 | OU      | $-190731.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR256084  IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BR256084  IRS HUF P F  6.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   2108970000 | OU      | $172403.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR256237  IRS CLP R F  4.75000 2 CCPNDFCAMARAPROMEDIO / Short: SR256237  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  14567570000 | OU      | $-85836.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR256238  IRS CLP R F  5.25000 2 CCPNDFCAMARAPROMEDIO / Short: SR256238  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    881800000 | OU      | $-5781.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR256253  IRS MXN R F  8.00000 2 CCPOIS / Short: SR256253  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     93400000 | OU      | $-214795.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR256252  IRS MXN R F  7.25000 2 CCPOIS / Short: SR256252  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    498480000 | OU      | $-352448.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SR256251  IRS MXN R F  7.75000 2 CCPOIS / Short: SR256251  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    248590000 | OU      | $-317252.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR256094  IRS PLN R F  4.50000 2 CCPVANILLA / Short: SR256094  IRS PLN P V 06MWIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     17650000 | OU      | $-159830.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BR256092  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR256092  IRS PLN P F  3.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     81290000 | OU      | $323649.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BR256285  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR256285  IRS COP P F 11.25000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |  16719810000 | OU      | $-49043.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SR255482  IRS JPY R F  1.77125 2 CCPOIS / Short: SR255482  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2311340000 | OU      | $-45588.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nigeria Government International Bonds                  | Nigeria Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       910000 | PA      | $914513.60     | 0.05%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                          | ARD Finance SA                                                                                                             | CUSIP: 000000000<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |       249939 | PA      | $3446.48       | 0.00%             | 2027-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                 | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      1250000 | PA      | $1379102.69    | 0.08%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                  | Romania Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       930000 | PA      | $816493.50     | 0.05%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                             | Ivory Coast Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |       530000 | PA      | $568493.37     | 0.03%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                  | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      1663864 | PA      | $1347895.90    | 0.08%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| North Westerly CLO BV                                   | North Westerly VII ESG CLO DAC                                                                                             | CUSIP: 000000000<br>LEI: 6354007ZUE69EZFAZR52 | Long             | ABS-CBDO         | CORP              | IE        |      1200000 | PA      | $1331188.54    | 0.08%             | 2034-05-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                         | Bridgepoint CLO 2 DAC                                                                                                      | CUSIP: 000000000<br>LEI: 549300718PL321JS4E33 | Long             | ABS-CBDO         | CORP              | IE        |       800000 | PA      | $917561.99     | 0.05%             | 2035-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                     | RRE 5 Loan Management DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300D6UNTEPRSJ6X22 | Long             | ABS-CBDO         | CORP              | IE        |      2200000 | PA      | $2538046.66    | 0.15%             | 2037-01-15      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds                  | Hungary Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      3440000 | PA      | $3546158.40    | 0.21%             | 2052-09-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bonds              | Ivory Coast Government International Bonds                                                                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      1190000 | PA      | $1209932.50    | 0.07%             | 2033-01-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                                     | Benin Government International Bond                                                                                        | CUSIP: 000000000<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |      2240000 | PA      | $2191449.79    | 0.13%             | 2038-02-13      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| ARDONAGH FINCO LTD                                      | Ardonagh Finco Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | CORP              | JE        |       905000 | PA      | $1039402.07    | 0.06%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TURKIYE GARANTI BANKASI                                 | Turkiye Garanti Bankasi AS                                                                                                 | CUSIP: 000000000<br>LEI: 5493002XSS7K7RHN1V37 | Long             | DBT              | CORP              | TR        |      2260000 | PA      | $2276950.00    | 0.14%             | 2034-02-28      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                                                                     | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      1200000 | PA      | $1257978.00    | 0.08%             | 2054-05-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Zambia Government International Bonds                   | Zambia Government International Bonds                                                                                      | CUSIP: 000000000<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |      3200000 | PA      | $2080968.00    | 0.12%             | 2053-12-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                    | Ghana Government International Bonds                                                                                       | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      2570000 | PA      | $2184500.00    | 0.13%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds | Republic of South Africa Government International Bonds                                                                    | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      2360000 | PA      | $2332270.00    | 0.14%             | 2054-11-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                | Sri Lanka Government International Bonds                                                                                   | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |      2590000 | PA      | $2154232.50    | 0.13%             | 2033-03-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                  | Egypt Government International Bond                                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      2070000 | PA      | $2165861.70    | 0.13%             | 2033-02-04      | Fixed         | 9.45%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                  | Romania Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      1740000 | PA      | $1827661.20    | 0.11%             | 2037-02-10      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                        | CVC Cordatus Loan Fund XXXIV DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400DVOSHFEKDFWJ26 | Long             | ABS-CBDO         | CORP              | IE        |      1800000 | PA      | $2060253.55    | 0.12%             | 2038-04-20      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                            | OCP Euro 2025-12 DAC                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2000000 | PA      | $2288675.90    | 0.14%             | 2038-01-20      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                        | CVC Cordatus Loan Fund III DAC                                                                                             | CUSIP: 000000000<br>LEI: 213800XV458LVR3TU384 | Long             | ABS-CBDO         | CORP              | IE        |      1600000 | PA      | $1832488.64    | 0.11%             | 2038-05-26      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Penta CLO                                               | Penta CLO 2021-2 DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400GBGDCFEEAL3O62 | Long             | ABS-CBDO         | CORP              | IE        |      1350000 | PA      | $1550440.90    | 0.09%             | 2038-04-15      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| DNO ASA                                                 | DNO ASA                                                                                                                    | CUSIP: 000000000<br>LEI: 5967007LIEEXZXH3K072 | Long             | DBT              | CORP              | NO        |      2270000 | PA      | $2315400.00    | 0.14%             | 2030-03-27      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                                 | Beach Acquisition Bidco LLC                                                                                                | CUSIP: 000000000<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |       469000 | PA      | $520258.22     | 0.03%             | 2032-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO                                 | Beach Acquisition Bidco LLC                                                                                                | CUSIP: 000000000<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |      1469000 | PA      | $1629550.79    | 0.10%             | 2032-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF UZBEKIS                                | National Bank of Uzbekistan                                                                                                | CUSIP: 000000000<br>LEI: 253400TZJ7T1YULTGN68 | Long             | DBT              | NUSS              | UZ        |      2260000 | PA      | $2302375.00    | 0.14%             | 2030-07-17      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| BlackRock European CLO DAC                              | Blackrock European CLO XII DAC                                                                                             | CUSIP: 000000000<br>LEI: 635400ZPCUGNUXRP2Y51 | Long             | ABS-CBDO         | CORP              | IE        |      1500000 | PA      | $1725350.92    | 0.10%             | 2038-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                             | Harvest CLO XXXVII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400IUMEGLVCCJWL30 | Long             | ABS-CBDO         | CORP              | IE        |      1900000 | PA      | $2185117.27    | 0.13%             | 2039-01-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                      | Arini European Clo VII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |      2100000 | PA      | $2415561.67    | 0.14%             | 2039-01-15      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                      | Arini European Clo VII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |      2300000 | PA      | $2636206.89    | 0.16%             | 2039-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                            | Providus CLO                                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      7900000 | PA      | $9069654.08    | 0.54%             | 2039-11-19      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                     | RRE 2 Loan Management DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300YT0EWEDPE3LK61 | Long             | ABS-CBDO         | CORP              | IE        |      5300000 | PA      | $6094206.07    | 0.36%             | 2041-01-15      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CONGO                                       | Congolese International Bond                                                                                               | CUSIP: 000000000<br>LEI: 529900BXT90HR4QTB688 | Long             | DBT              | NUSS              | CG        |      2550000 | PA      | $2381955.00    | 0.14%             | 2032-11-07      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                     | Ecuador Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       580000 | PA      | $568980.00     | 0.03%             | 2039-01-29      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                     | Ecuador Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      1330000 | PA      | $1305727.50    | 0.08%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                   | Indonesia Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      1480000 | PA      | $1641171.38    | 0.10%             | 2034-03-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                      | Arini European Clo IX DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400TNJSU8PGVNSX11 | Long             | ABS-CBDO         | CORP              | IE        |      1200000 | PA      | $1387020.26    | 0.08%             | 2040-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division        | ICE 3MTH SONIA FU DEC26                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         2813 | NC      | $-4189758.96   | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                       | EURO-SCHATZ FUT JUN26                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         1752 | NC      | $-562356.22    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           95 | NC      | $14656.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          119 | NC      | $-152712.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1245 | NC      | $742201.47     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           16 | NC      | $2222.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1805 | NC      | $-2482716.89   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division        | LONG GILT FUTURE JUN26                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |            3 | NC      | $-16947.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          696 | NC      | $-987013.61    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                          | OPS08399A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     21520000 | NC      | $544.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS08400A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     -6400000 | NC      | $-12961.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS08401A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     21760000 | NC      | $29019.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS09382A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     -6555646 | NC      | $-747.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS09418A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     -4260000 | NC      | $-2146.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS09417A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     18390000 | NC      | $1237.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS09776A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     10270000 | NC      | $259.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | OPS09777A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     -3130000 | NC      | $-356.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                  | OPS09936A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |     52300000 | NC      | $18309.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                  | OPS09937A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |    -12180000 | NC      | $-20527.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | OPS10180A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        |  16245000004 | NC      | $761894.13     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | OPS10181A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        |  16245000000 | NC      | $441303.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                  | OPS10293A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -35880000 | NC      | $-20.74        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                  | OPS10292A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -35880000 | NC      | $-1160533.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | OPS10312A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -35270000 | NC      | $-450359.40    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | OPS10311A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -35270000 | NC      | $-104244.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | OPS10320A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -38130000 | NC      | $-110916.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | OPS10319A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -38130000 | NC      | $-492037.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | OPS10331A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -25470000 | NC      | $-188437.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | OPS10332A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -25470000 | NC      | $-191840.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | OPS10342A SWAPTION EUR OTC APR26 3.117 PUT                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |    -23470000 | NC      | $-168078.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | OPS10341A SWAPTION EUR OTC APR26 3.117 CALL                                                                                | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |    -23470000 | NC      | $-274560.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | OPS10349A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    -25910000 | NC      | $-209404.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | OPS10351A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    -25910000 | NC      | $-231158.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TK Elevator Midco GmbH                                  | TK Elevator Midco GmbH 2025 USD Term Loan B                                                                                | CUSIP: 000000000<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |      2358314 | PA      | $2362086.97    | 0.14%             | 2030-04-30      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |       224000 | PA      | $222337.92     | 0.01%             | 2028-04-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIFL US LLC                                | Digicel International Finance Ltd / Difl US LLC                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1510000 | PA      | $1532344.38    | 0.09%             | 2032-08-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| KINGSTON AIRPORT REV FIN                                | Kingston Airport Revenue Finance Ltd                                                                                       | CUSIP: 000000000<br>LEI: 254900SK2YRR95AVHU30 | Long             | DBT              | CORP              | KY        |      1540000 | PA      | $1529759.00    | 0.09%             | 2036-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Camelot US Acquisition LLC                              | Camelot US Acquisition LLC 2024 Term Loan B                                                                                | CUSIP: 000000000<br>LEI: 549300U6VBJHQP2SFL81 | Long             | LON              | CORP              | US        |      1831968 | PA      | $1576646.94    | 0.09%             | 2031-01-31      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Travelport Finance (Luxembourg) Sarl                    | Travelport Finance (Luxembourg) Sarl 2020 Super Priority Term Loan                                                         | CUSIP: 000000000<br>LEI: 2221005SGFWYZHL40F77 | Long             | LON              | CORP              | LU        |        12736 | PA      | $9478.92       | 0.00%             | 2028-09-29      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Nouryon Finance BV                                      | Nouryon Finance BV 2024 USD Term Loan B1                                                                                   | CUSIP: 000000000<br>LEI: 549300GD4NJGLPVYB245 | Long             | LON              | CORP              | NL        |      1225717 | PA      | $1199670.04    | 0.07%             | 2028-04-03      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CTBOAUSMX20260407182 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    120785000 | OU      | $318630.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                           | CTHSBUSCN202604166965 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |     81478000 | OU      | $27946.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS20260417116 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     70649000 | OU      | $658748.49     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | CWCITUSMX20260407182 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -121321046 | OU      | $-320044.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | CTCITUSMX202604071775 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    122719000 | OU      | $1516070.53    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PWRBCEUUS20260417116 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |    -70649000 | OU      | $-658748.49    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSCN202604166965 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -81478000 | OU      | $-27946.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSMX202604071775 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -122719000 | OU      | $-1516070.53   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | CTBNPNZUS202603310613 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    140115214 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | CWUBSNZUS202603310613 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -140115214 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PTMSIEUUS2026040111775 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |     69112000 | OU      | $1460503.10    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PTDEUUSKR202604021416 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |     81608000 | OU      | $81.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202604011178 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     69084000 | OU      | $1494406.91    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | CWDEUUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    -81608000 | OU      | $-1076491.13   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PWDEUEUUS202604011178 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    -69084000 | OU      | $-1494406.91   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PWSTAUSJP2026040915425 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |    -41169000 | OU      | $-20666.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PWDEUEUUS2026040111775 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    -69112000 | OU      | $-1460503.10   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PTDEUEUUS2026040111945 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    103678000 | OU      | $3951839.66    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PTSTAUSJP2026040915015 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |     82338000 | OU      | $3375.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CTMSIUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |     40804000 | OU      | $538245.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202604011179 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    105394000 | OU      | $2385107.48    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPEUUS2026040111945 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -103678000 | OU      | $-3951839.66   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PWCITEUUS202604011179 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -105394000 | OU      | $-2385107.48   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PTCITEUUS2026042111725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    142619000 | OU      | $2550830.14    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | CWBNPUSBR202604065375 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -42930000 | OU      | $-13651.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | CTBNPUSBR202604065215 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     42930000 | OU      | $162833.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPUSJP2026040915425 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     41169000 | OU      | $20666.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPUSJP2026040915015 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -82338000 | OU      | $-3375.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PWSTAUSSG202603311262 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |    -21885000 | OU      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | CWSTAUSSG202603311262 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |    -21885000 | OU      | $-403318.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CTCHAUSKR2026040214855 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     40804000 | OU      | $538245.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CTCHAUSTW202604083186 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |     87537000 | OU      | $726119.42     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | CTDEUUSBR202604065375 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |     42930000 | OU      | $13651.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | CWDEUUSBR202604065215 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -42930000 | OU      | $-162833.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PWCITUSKR202604021416 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    -81608000 | OU      | $-81.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PWRBCEUUS2026042111725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |   -142619000 | OU      | $-2550830.14   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PTRBCEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |    149638000 | OU      | $786963.97     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSMX202604071784 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -87952918 | OU      | $-807319.83    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PWDEUEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    -74977334 | OU      | $-394314.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CTBOAUSMX202604071784 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     87389000 | OU      | $802143.63     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     75100000 | OU      | $509020.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PTBOAUSJP20260417154 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    175019000 | OU      | $228399.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAUSJP2026041715725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -87510000 | OU      | $-432124.38    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PWRBCEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |    -37778000 | OU      | $-256055.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -43652000 | OU      | $-307135.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PWRBCUSCA202604071355 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |    -21793000 | OU      | $-21.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PWCHAEUUS202604161155 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -37603044 | OU      | $-254869.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | CWRBCUSCA202604071355 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |    -21793000 | OU      | $-561627.40    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAUSSG202604021272 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -21883000 | OU      | $-262.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSSG202604021272 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -21883000 | OU      | $-225657.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | CTSTAUSTW202605143208 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |     43767000 | OU      | $516275.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CTCHAUSZA202605141686 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |     43767000 | OU      | $1063012.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CWCHAUSZA202605141772 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -48144000 | OU      | $-448268.78    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PTCITUSKR2026043014762 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |     43767000 | OU      | $267285.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPUSJP20260417154 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -175019000 | OU      | $-228399.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPUSJP2026041715725 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     87510000 | OU      | $432124.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | CWSTAUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | LU        |    -43768500 | OU      | $-307955.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202604211139 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     38032000 | OU      | $111832.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PTBOAGBUS202606151314 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     32830000 | OU      | $507757.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAUSSG202604061276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -21913000 | OU      | $-11000.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSSG202604061276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -21913000 | OU      | $-166998.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PTUBSNZUS202604280577 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    151033000 | OU      | $1149721.67    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | CWSTAUSTW202604083186 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |    -87537000 | OU      | $-726119.42    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PTUBSEUUS202606161144 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |     38296000 | OU      | $347697.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | CTSTAUSTW202604093194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |     87420500 | OU      | $615090.64     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAAUNZ202604151211 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -31096000 | OU      | $-231860.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAAUNZ202604151211 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -31096000 | OU      | $-30766.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202606181145 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     38200000 | OU      | $367356.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIUSCN20260416686 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -21937000 | OU      | $-101941.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIUSCN20260416686 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -21937000 | OU      | $-42272.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | CWDEUUSMX202605181865 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    -48488000 | OU      | $-413069.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | CTDEUUSMX20260518178 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |     44080000 | OU      | $1009828.72    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAAUNZ202604071212 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -31049000 | OU      | $-217735.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPEUUS202606161144 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -38296000 | OU      | $-347697.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAAUNZ202604071212 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -31049000 | OU      | $-7390.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PTCHAAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    124477000 | OU      | $1796670.88    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIUSMX202605211893 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -48170000 | OU      | $-331313.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PWCITAUNZ202604221203 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    -31119000 | OU      | $-157851.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CTMSIUSMX2026052118135 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |     43791000 | OU      | $711297.21     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | CWCITAUNZ202604221203 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -31119000 | OU      | $-93225.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PWBOAEUUS202604211139 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -38032000 | OU      | $-111832.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CWCHAUSCN202604076885 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -21881000 | OU      | $-44681.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PWCHAUSCN202604076885 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -21881000 | OU      | $-47853.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                           | PWHSBUSSG202604231276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    -21881000 | OU      | $-56649.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIEUPL202604234268 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -18886000 | OU      | $-193342.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPEUUS202604211149 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -74660666 | OU      | $-392649.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202605221153 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     75546000 | OU      | $777321.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                           | CWHSBUSSG202604231276 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    -21881000 | OU      | $-182837.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -62238500 | OU      | $-898335.44    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIEUPL202604234268 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -18886000 | OU      | $-49443.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIAUNZ202604231194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -31425000 | OU      | $-177746.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIAUNZ202604231194 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -31425000 | OU      | $-84298.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIEUPL20260428427 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -18997000 | OU      | $-197707.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIEUPL20260428427 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    -18997000 | OU      | $-59922.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PTCITGBUS202605071326 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |     32875000 | OU      | $487567.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPEUUS202605271145 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     37970000 | OU      | $299840.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CWBOAUSZA202605141686 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    -43767000 | OU      | $-1063012.90   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | CTBOAUSZA202605141772 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     48144000 | OU      | $448268.78     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CTCHAUSZA20260527175 GOLDMAN                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     43821000 | OU      | $622126.74     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | CWCHAUSZA2026052718575 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    -43821000 | OU      | $-225239.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | PWMSIAUNZ202604271197 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -32228000 | OU      | $-115336.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PWBNPNZUS202604280577 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -151033000 | OU      | $-1149721.67   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PTCHAAUUS202605220673 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     64457000 | OU      | $362447.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | CWMSIAUNZ202604271197 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -32228000 | OU      | $-154827.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PWCHAAUUS2026052206955 GOLDMAN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    -62238500 | OU      | $-898335.44    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PTBNPNZUS202605280561 GOLDMAN                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    154238000 | OU      | $697895.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| El Salvador Government International Bonds              | El Salvador Government International Bonds                                                                                 | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      2040000 | PA      | $2163190.50    | 0.13%             | 2052-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      1040000 | PA      | $1073280.00    | 0.06%             | 2031-05-20      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT                                   | Costa Rica Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      4110000 | PA      | $3822300.00    | 0.23%             | 2043-04-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GRUPO NUTRESA SA                                        | Grupo Nutresa SA                                                                                                           | CUSIP: 000000000<br>LEI: 254900KKAX7B7RJUE255 | Long             | DBT              | CORP              | CO        |      2100000 | PA      | $2330842.50    | 0.14%             | 2035-05-12      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                   | Guatemala Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      3150000 | PA      | $3370500.00    | 0.20%             | 2032-10-04      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| LATAM AIRLINES GROUP SA                                 | Latam Airlines Group SA                                                                                                    | CUSIP: 000000000<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |      2230000 | PA      | $2243937.50    | 0.13%             | 2031-01-07      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                  | Mexico City Airport Trust                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      1726000 | PA      | $1434133.40    | 0.09%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      6610000 | PA      | $2743150.00    | 0.16%             | 2025-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bonds                  | Nigeria Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      1260000 | PA      | $1272915.00    | 0.08%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bonds              | Ivory Coast Government International Bonds                                                                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      1896000 | PA      | $1780818.00    | 0.11%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MONGOLIA INTL BOND                                      | Mongolia Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |      2510000 | PA      | $2311239.38    | 0.14%             | 2031-07-07      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Allison Fracchiolla

**Name of Signer:** Allison Fracchiolla

**Title:** Vice President