# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-26-053174
**Filing Date:** 2026-5
**Character Count:** 549231
**Document Hash:** e179bff3d9dfff75c61592a88ddd519c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-053174.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0001410368-26-053174

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 261024654

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Total Return Portfolio (Series ID: S000026011)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078080 | Class I      |  |
| C000098952 | Class P      |  |

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

- **a. Name of Series:** Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000026011

- **c. LEI of Series:** 5SCI88E1XWY2RI6Q4163

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

- **a. Date of fiscal year-end:** 2026-12-31

- **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:** $3584605014.68

**Total Liabilities:** $2067141579.05

**Net Assets:** $1517463435.63

**Delayed Delivery Securities:** $1679039614.92

**Cash Not Reported:** $570803.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4882.55000000 | **1-Year:** -58683.67000000 | **5-Year:** -85754.17000000 | **10-Year:** -44433.65000000 | **30-Year:** -20515.96000000

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

- **3-Month:** -1486.29000000 | **1-Year:** -18705.79000000 | **5-Year:** -84119.07000000 | **10-Year:** -30318.50000000 | **30-Year:** -26342.54000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078080 | 0.38%                | 1.66%                | -2.43%               |
| Class ID C000098952 | 0.40%                | 1.67%                | -2.41%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1985673.40              | $325978.92                                 |
| Month 2  | $2942006.54              | $23434859.68                               |
| Month 3  | $-10706799.82            | $-43574787.42                              |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES CORP/THE                                      | AES Corp/The                                                                     | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4037524.16   | 0.27%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1405149.66   | 0.09%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2881052 | PA      | $2886228.87   | 0.19%             | 2039-06-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                              | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |     600000 | PA      | $591284.62    | 0.04%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2800000 | PA      | $2831090.86   | 0.19%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| AIR CANADA 2015-2AA PTT                           | Air Canada 2015-2 Class AA Pass Through Trust                                    | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1192174 | PA      | $1178472.49   | 0.08%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                           | Alaska Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3697619 | PA      | $3700706.53   | 0.24%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4392459.75   | 0.29%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4392459.75  | -0.29%            | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59220000 | PA      | $51936388.89  | 3.42%             | 2056-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29725000 | PA      | $28691760.19  | 1.89%             | 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        |  -29725000 | PA      | $-28691760.19 | -1.89%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29725000 | PA      | $28660409.53  | 1.89%             | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  142060000 | PA      | $139939322.64 | 9.22%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  140200000 | PA      | $140665022.37 | 9.27%             | 2056-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85000000 | PA      | $85195603.70  | 5.61%             | 2056-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $21367333.26  | 1.41%             | 2056-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3966362.18   | 0.26%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| AMDOCS LTD                                        | Amdocs Ltd                                                                       | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    4700000 | PA      | $4255485.42   | 0.28%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: —       |
| AMER AIRLINE 16-3 AA PTT                          | American Airlines 2016-3 Class AA Pass Through Trust                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2638924 | PA      | $2559779.74   | 0.17%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 A PTT                           | American Airlines 2016-3 Class A Pass Through Trust                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1719480 | PA      | $1638685.77   | 0.11%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                           | American Airlines 2021-1 Class A Pass Through Trust                              | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3862576 | PA      | $3461531.40   | 0.23%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1307247.10   | 0.09%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4604725.12   | 0.30%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                            | American Honda Finance Corp                                                      | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2997786.81   | 0.20%             | 2027-08-13      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8000000 | PA      | $7202521.52   | 0.47%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust       | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4572240.47   | 0.30%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1328680 | PA      | $1091018.97   | 0.07%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795286 | PA      | $780133.56    | 0.05%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750072 | PA      | $2653837.20   | 0.17%             | 2035-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4033864.08   | 0.27%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1645768.02   | 0.11%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $2944761.24   | 0.19%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | CUSIP: 05493LAA4<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6744421.60   | 0.44%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    3900000 | PA      | $4046437.51   | 0.27%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928423 | PA      | $339389.79    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45399 | PA      | $45282.51     | 0.00%             | 2037-03-26      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2514560.00   | 0.17%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    4300000 | PA      | $4348190.10   | 0.29%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2652596.91   | 0.17%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2022-3 Ltd                                               | CUSIP: 05684NAL5<br>LEI: 254900XLVE4635MESI73 | Long             | ABS-CBDO         | CORP              | JE        |    5100000 | PA      | $5101016.18   | 0.34%             | 2035-07-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     154396 | PA      | $148473.33    | 0.01%             | 2036-02-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAT8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    3600000 | PA      | $3558915.94   | 0.23%             | 2029-03-03      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1389927 | PA      | $1104218.74   | 0.07%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-R1 Trust                                            | CUSIP: 05953BAB7<br>LEI: 549300478KN17QUC9E29 | Long             | ABS-MBS          | CORP              | US        |    2621615 | PA      | $2129770.21   | 0.14%             | 2047-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2025221.58   | 0.13%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4639783.19   | 0.31%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                             | CUSIP: 060505GQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3456940.41   | 0.23%             | 2032-02-06      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1080994.34   | 0.07%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | REPO BANK AMERICA                                                                | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |   29289750 | PA      | $29289750.00  | 1.93%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | REPO BANK AMERICA                                                                | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |   18530250 | PA      | $18530250.00  | 1.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                  | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5578152.58   | 0.37%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4208199.91   | 0.28%             | 2026-08-18      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2900000 | PA      | $3021095.88   | 0.20%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3600000 | PA      | $3614356.62   | 0.24%             | 2027-09-13      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2624033.93   | 0.17%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5049102.24   | 0.33%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315912 | PA      | $293425.59    | 0.02%             | 2033-08-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492094 | PA      | $472231.33    | 0.03%             | 2036-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270104 | PA      | $196950.05    | 0.01%             | 2036-01-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282114 | PA      | $223014.58    | 0.01%             | 2046-12-26      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19500000 | PA      | $20064143.78  | 1.32%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6021513.55   | 0.40%             | 2055-03-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners Clo XXII Ltd                                             | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5101323.91   | 0.34%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                     | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2531158.54   | 0.17%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                           | Blackstone Secured Lending Fund                                                  | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2647876.42   | 0.17%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |     120509 | PA      | $120636.48    | 0.01%             | 2030-11-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2307709.10   | 0.15%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds             | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    4400000 | PA      | $4403080.00   | 0.29%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     700000 | PA      | $714596.09    | 0.05%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties Inc                   | CBL & Associates Properties Inc                                                  | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               |  | US        |       9021 | NS      | $346677.03    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98322.90     | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     900000 | PA      | $870863.95    | 0.06%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5848779.92   | 0.39%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730680 | PA      | $293184.87    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2519830.80   | 0.17%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                 | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |     800000 | PA      | $596943.43    | 0.04%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                            | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      89258 | PA      | $91918.13     | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     527368 | PA      | $27099.33     | 0.00%             | 2035-05-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                        | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209312 | PA      | $201834.93    | 0.01%             | 2034-05-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     383568 | PA      | $373994.67    | 0.02%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292455 | PA      | $284531.19    | 0.02%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1036164 | PA      | $792440.75    | 0.05%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-7                                     | CUSIP: 12669VAD0<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |       1775 | PA      | $1773.63      | 0.00%             | 2047-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3700000 | PA      | $3734802.39   | 0.25%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                          | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2431000 | PA      | $1729520.80   | 0.11%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                      | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    9800000 | PA      | $9777471.76   | 0.64%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                       | CUSIP: 14040HDP7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     900000 | PA      | $886599.99    | 0.06%             | 2032-01-30      | Fixed         | 4.72%                 | No            |                  2 | On Loan: —       |
| Carval CLO LTD                                    | CarVal CLO I Ltd                                                                 | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2015726 | PA      | $2017819.10   | 0.13%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1666203.67   | 0.11%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1793885.36   | 0.12%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     800000 | PA      | $669366.24    | 0.04%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $2922759.70   | 0.19%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    3489841 | PA      | $3130242.22   | 0.21%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                             | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    7000000 | PA      | $6329750.00   | 0.42%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3557066.15   | 0.23%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36471 | PA      | $33212.47     | 0.00%             | 2035-08-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR6                                           | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     277185 | PA      | $252327.34    | 0.02%             | 2036-08-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7910311 | PA      | $2943750.96   | 0.19%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1598145 | PA      | $899386.77    | 0.06%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                   | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1240922 | PA      | $1245758.06   | 0.08%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                | CNO Global Funding                                                               | CUSIP: 18977W2H2<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2678085.15   | 0.18%             | 2028-09-08      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                           | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     500000 | PA      | $496000.00    | 0.03%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4306803.40   | 0.28%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197138.16    | 0.01%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195265.56    | 0.01%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4381847.14   | 0.29%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                              | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3653288.20   | 0.24%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4900000 | PA      | $4046519.52   | 0.27%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60000 | PA      | $55042.07     | 0.00%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18400000 | PA      | $17227252.08  | 1.14%             | 2056-05-20      | 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      | $14493204.90  | 0.96%             | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300000 | PA      | $289500.82    | 0.02%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23800000 | PA      | $23525500.32  | 1.55%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17400000 | PA      | $17695146.63  | 1.17%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                  | CoStar Group Inc                                                                 | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1537963.23   | 0.10%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2900000 | PA      | $2899793.17   | 0.19%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3500000 | PA      | $3425342.10   | 0.23%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53853 | PA      | $52405.22     | 0.00%             | 2032-03-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                     | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857096 | PA      | $1872422.51   | 0.12%             | 2069-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    2277000 | PA      | $2273517.01   | 0.15%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-23                                    | CUSIP: 23243HAA9<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    3598234 | PA      | $3312149.27   | 0.22%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAA6<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |     855671 | PA      | $846214.80    | 0.06%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $8192870.04   | 0.54%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187630 | PA      | $179858.54    | 0.01%             | 2044-07-19      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3152640.33   | 0.21%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6288644.60   | 0.41%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                  | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4543329.56   | 0.30%             | 2028-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1512745.98   | 0.10%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-21363.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-12900.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-14151.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-56946.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-58591.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-31103.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-38110.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-17014.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-48054.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-79866.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-12309.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $7577.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $6213.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $6669.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $11990.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $4152.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $10080.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $13480.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $10943.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $2323964.58   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holding SA                                                               | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       3476 | NS      | $79948.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holdings SA                                                              | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |      31292 | NS      | $719716.00    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |      82408 | PA      | $82509.80     | 0.01%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                    | EPR Properties                                                                   | CUSIP: 26884UAH2<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    1000000 | PA      | $976468.33    | 0.06%             | 2030-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-47674.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $-9068.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-8900.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-55828.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-1923.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-1694.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-17725.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-49481.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-21757.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1411.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-49281.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $136594.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-79634.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-48633.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PL        |          1 | NC      | $-11404.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-53649.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | PL        |          1 | NC      | $-108625.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $-25296.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-52928.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-42780.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-42990.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-6532.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-13575.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-4006.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $-44786.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-4522.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |          1 | NC      | $-16183.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $-8673.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $55028.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |          1 | NC      | $-102195.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-2056.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $1546.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $16024.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $20028.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $-51949.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $21040.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $13861.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $-800.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $12501.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2091.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $2274.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3125.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $6092.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $10635.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $8734.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $5604.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $10794.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $11036.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $61106.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $37686.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $12530.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $927.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $8616.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $84.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $4781.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $374709.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $8297.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $75.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $7210.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-3627.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $104.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SE        |          1 | NC      | $-43009.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $235658.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |          1 | NC      | $-38188.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $92879.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $98.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1256.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $24018.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $1800.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $428484.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $327066.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |          1 | NC      | $-49829.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $1274688.24   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $3292.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $14617.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $545302.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $-14070.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $337.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $-12438.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $-3384.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $16599.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $396.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3652.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $175614.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $-22723.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $554537.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $427.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $4528.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $89537.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |          1 | NC      | $-25773.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $18754.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-55525.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $2366.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $-6078.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $23333.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $5080.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $16854.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $181.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TH        |          1 | NC      | $-6.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $7269.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $9132.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $3237.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1258.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $1438.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-8812.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $1461.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-520.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $-76007.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $5164.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $62545.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $14358.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-24.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $-2870.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $-10595.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $18585.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-10054.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $36186.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $32520.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $31382.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $29028.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-9031.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $4900.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-5010.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5296.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5506.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5805.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-6802.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2388.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5302.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1170.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5305.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5895.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1855.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1140.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $15058.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-13397.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5097.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3596.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3433.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5415.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5195.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-7097.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-6676.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-7091.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2497.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2630.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5178.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $5582.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2108.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1769.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $76.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $14486.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $31.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4304.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3350.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-3446.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-2640.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-586.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $25098.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-645.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $3178.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $66692.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-228.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1823.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $854.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1606.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-690.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2849.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3069.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2918.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-2000.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-639.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $19301.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1196.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $17715.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CN        |          1 | NC      | $-1305.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IL        |          1 | NC      | $-1038.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $77684.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2871.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-2587.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $45.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-1374.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-421.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $262.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $10251.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $1445.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CH        |          1 | NC      | $-15090.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-863.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-625.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4038.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-176.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $15838.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-8984.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2074.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3791.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3772.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-10864.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $10417.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-200.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $921.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IL        |          1 | NC      | $-235.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1058.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1250.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $172.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $22167.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-13024.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $8962.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-9384.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $2063.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $-2050.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $21622.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-12357.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2152.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2415.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $243.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $4147.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $11748.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $13855.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-6681.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-151.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-972.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1302.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2569.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2990.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-263.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $74.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-1232.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1517.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2105.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $442.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $9574.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-2396.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $511.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-297.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $1808.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $5774.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6291.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2998.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3017.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $4301.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-9945.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1042.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1312.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-142.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $677.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $7868.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8237.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $207.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $750.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |          1 | NC      | $951.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $8093.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $5156.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5112.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $466.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SG        |          1 | NC      | $-140479.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $139360.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-18512.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | BR        |          1 | NC      | $7865.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-7848.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $18509.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $11047.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-2312.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-33147.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-12203.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $33316.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $12262.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-5698.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $5410.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $7514.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-7874.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-376585.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $376265.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1171.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-4462.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3233.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-2254.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1657.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-4878.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $4441.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $10849.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $3346.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1903.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1362.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $3347.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $598.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-1639.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-5609.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $21.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TH        |          1 | NC      | $-4744.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $3115.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-722.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $2955.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TH        |          1 | NC      | $-4579.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | SG        |          1 | NC      | $-143.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $142.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $6712.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $7605.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $996.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $1465.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $5617.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CA        |          1 | NC      | $-123775.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $123083.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3826.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $-9628.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | AU        |          1 | NC      | $-6765.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-2125.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $403.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | SG        |          1 | NC      | $-8.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $6.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $6819.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $7380.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-815.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1323.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |          1 | NC      | $94962.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-92704.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1205.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-123.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $20424.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-20305.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $98.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |          1 | NC      | $-97.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-263.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-22.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3883.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-22365.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $21438.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $22479.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | SG        |          1 | NC      | $33.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-35.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $-1259.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-39052.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-704.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-62.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                               | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-23117.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CH        |          1 | NC      | $10099.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-10094.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-21211.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |          1 | NC      | $76194.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-75934.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1655.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IL        |          1 | NC      | $6567.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-6580.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-3651.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | NO        |          1 | NC      | $3659.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-4898.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-12553.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $2137.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2139.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4214.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1277.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $1277.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-820.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $887.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |          1 | NC      | $99481.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-99632.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $116.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-118.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-18607.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |          1 | NC      | $18809.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $19912.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $279.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $7495.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-8547.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-19785.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |          1 | NC      | $7972.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-2042.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | SE        |          1 | NC      | $2047.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IL        |          1 | NC      | $7651.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1411956.48   | 0.09%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2119715.51   | 0.14%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                          | Equinix Europe 2 Financing Corp LLC                                              | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    2200000 | PA      | $2180458.02   | 0.14%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                | Essex Portfolio LP                                                               | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |     500000 | PA      | $499774.66    | 0.03%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3453794.75   | 0.23%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                            | Extra Space Storage LP                                                           | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    2200000 | PA      | $2180233.22   | 0.14%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16309495 | PA      | $16104367.66  | 1.06%             | 2035-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                               | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3736666.46   | 0.25%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                               | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3062841.94   | 0.20%             | 2028-09-08      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128L15L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67044 | PA      | $68999.29     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47650 | PA      | $48850.66     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $457.61       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7126 | PA      | $7495.61      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        587 | PA      | $607.31       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        902 | PA      | $931.53       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3940 | PA      | $4068.80      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43178 | PA      | $44498.12     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $152.67       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1384 | PA      | $1430.36      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5418 | PA      | $5601.27      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34628 | PA      | $34853.07     | 0.00%             | 2031-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507604 | PA      | $524747.54    | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14499 | PA      | $14797.47     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11420 | PA      | $11760.51     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297727 | PA      | $307255.41    | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65948 | PA      | $67917.05     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24396 | PA      | $25193.67     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20307 | PA      | $20928.22     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13624 | PA      | $14047.45     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1874 | PA      | $1929.41      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13491 | PA      | $13889.62     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73653 | PA      | $75852.40     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12626 | PA      | $13011.98     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70788 | PA      | $72952.07     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167188 | PA      | $160412.67    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570317 | PA      | $547205.23    | 0.04%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9464 | PA      | $9743.72      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42156 | PA      | $43291.53     | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9525 | PA      | $9777.45      | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32210 | PA      | $33160.98     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6486 | PA      | $6605.00      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4983 | PA      | $5076.21      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1476 | PA      | $1504.45      | 0.00%             | 2032-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22030 | PA      | $21659.69     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4567529 | PA      | $4250779.36   | 0.28%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A74F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $42.88        | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5421 | PA      | $5329.10      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20977 | PA      | $20590.73     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2780 | PA      | $2716.24      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2744 | PA      | $2739.45      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49074 | PA      | $48052.07     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DNU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876034 | PA      | $849239.47    | 0.06%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPFL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5563163 | PA      | $5514519.45   | 0.36%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3348934 | PA      | $3163356.03   | 0.21%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3504599 | PA      | $3515433.92   | 0.23%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21735955 | PA      | $20612716.55  | 1.36%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4154162 | PA      | $4187119.82   | 0.28%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4136296 | PA      | $4220834.90   | 0.28%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1781.17      | 0.00%             | 2029-12-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2240108 | PA      | $1973514.80   | 0.13%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133BLAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     828739 | PA      | $804225.05    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425874 | PA      | $424738.49    | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CHTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293755 | PA      | $304044.90    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8891021 | PA      | $8809793.12   | 0.58%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                       | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        657 | PA      | $657.07       | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $480.96       | 0.00%             | 2028-01-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31358SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $81.93        | 0.00%             | 2030-10-18      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        246 | PA      | $246.27       | 0.00%             | 2028-04-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637924 | PA      | $634674.47    | 0.04%             | 2042-11-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41463 | PA      | $41108.30     | 0.00%             | 2033-03-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96901 | PA      | $101706.81    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3512 | PA      | $3632.41      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $315.63       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NG58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7006 | PA      | $7008.96      | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2267 | PA      | $2279.30      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $435.28       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        908 | PA      | $910.50       | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $2877.78      | 0.00%             | 2036-05-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3811 | PA      | $3772.08      | 0.00%             | 2036-05-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $654.15       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377CRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150067 | PA      | $147964.68    | 0.01%             | 2036-05-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1830252 | PA      | $1795191.42   | 0.12%             | 2043-10-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1390862 | PA      | $1367560.49   | 0.09%             | 2040-08-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1262573 | PA      | $1240874.99   | 0.08%             | 2040-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2023443 | PA      | $2031544.01   | 0.13%             | 2054-05-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31380AMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        731 | PA      | $755.67       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31384VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $74.71        | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9692 | PA      | $9604.38      | 0.00%             | 2034-09-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385PH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.68       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A95X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1934 | PA      | $1928.31      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AATL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.02         | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EG2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284758 | PA      | $293068.98    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4303 | PA      | $4270.99      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $291.60       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.80        | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $2009.83      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35738 | PA      | $35926.48     | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MDJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119219 | PA      | $117407.92    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79958 | PA      | $80657.40     | 0.01%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WB2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30642 | PA      | $29946.66     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XFF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10456 | PA      | $10513.72     | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XLXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42569 | PA      | $42673.24     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XS4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105595 | PA      | $103199.93    | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391KGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3213 | PA      | $3230.26      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391LJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48017 | PA      | $48473.27     | 0.00%             | 2033-02-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP68<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     215027 | PA      | $216269.62    | 0.01%             | 2042-10-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        819 | PA      | $60.98        | 0.00%             | 2035-10-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1596181 | PA      | $1558702.34   | 0.10%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328112 | PA      | $303419.71    | 0.02%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28996 | PA      | $28473.48     | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400HFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        503 | PA      | $511.12       | 0.00%             | 2033-03-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400RV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6294 | PA      | $6486.56      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1346 | PA      | $1359.33      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401YS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5157 | PA      | $5222.48      | 0.00%             | 2033-07-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24000 | PA      | $24839.18     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        574 | PA      | $574.88       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402EMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1430 | PA      | $1451.42      | 0.00%             | 2033-02-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17650 | PA      | $18296.54     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24272 | PA      | $25112.99     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10465 | PA      | $10701.11     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30483 | PA      | $30503.63     | 0.00%             | 2044-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76169 | PA      | $76491.82     | 0.01%             | 2044-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63116 | PA      | $63169.86     | 0.00%             | 2042-08-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62348 | PA      | $62692.57     | 0.00%             | 2042-08-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4815 | PA      | $4836.16      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40477 | PA      | $41036.42     | 0.00%             | 2035-08-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403BF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24800 | PA      | $24944.41     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2723 | PA      | $2789.74      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403CX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5598 | PA      | $5791.82      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6096 | PA      | $6211.09      | 0.00%             | 2033-09-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2474 | PA      | $2559.77      | 0.00%             | 2034-01-01      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1595 | PA      | $1626.16      | 0.00%             | 2034-03-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80213 | PA      | $80743.26     | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404KQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33253 | PA      | $33948.63     | 0.00%             | 2034-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28391 | PA      | $28560.07     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        915 | PA      | $912.40       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404U6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $529.99       | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405BFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5072 | PA      | $5174.30      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405EFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3209 | PA      | $3280.90      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405G5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4316 | PA      | $4340.27      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405JRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8788 | PA      | $8846.26      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127134 | PA      | $128998.32    | 0.01%             | 2034-12-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1202 | PA      | $1223.42      | 0.00%             | 2034-12-01      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405VH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6886 | PA      | $6925.71      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406ABS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8295 | PA      | $8351.64      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406EW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14946 | PA      | $15501.08     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11189 | PA      | $11331.36     | 0.00%             | 2035-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406VWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9028 | PA      | $9442.23      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406YFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        945 | PA      | $977.81       | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407BY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66778 | PA      | $67625.35     | 0.00%             | 2035-07-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EAE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1131 | PA      | $1153.59      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52623 | PA      | $53423.48     | 0.00%             | 2035-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407JDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $874.45       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407ME76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11930 | PA      | $12276.06     | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407TSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18245 | PA      | $18869.90     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $679.95       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369542 | PA      | $386766.79    | 0.03%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408AFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3021 | PA      | $3164.26      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4477.70      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408FAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7945 | PA      | $8104.84      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408GY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5453 | PA      | $5691.64      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15084 | PA      | $15842.24     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409G4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7703 | PA      | $7927.02      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409T6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4675 | PA      | $4813.49      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3346 | PA      | $3445.50      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140A32V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75091 | PA      | $76904.57     | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178496 | PA      | $171158.89    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JPJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12925 | PA      | $12633.19     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980120 | PA      | $863725.94    | 0.06%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MUMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760381 | PA      | $737576.27    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N0XN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895620 | PA      | $868667.77    | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92764 | PA      | $91997.92     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NFCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580977 | PA      | $577460.73    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NGF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295717 | PA      | $1281893.42   | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NJXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331252 | PA      | $327870.76    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NQEE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389056 | PA      | $393567.64    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140Q1EY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13200000 | PA      | $13092695.09  | 0.86%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3059031 | PA      | $2974202.29   | 0.20%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QQKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838799 | PA      | $813383.36    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790382 | PA      | $768088.84    | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82189 | PA      | $79910.37     | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2154981 | PA      | $2144924.60   | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2795053 | PA      | $2785144.05   | 0.18%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326489 | PA      | $1271116.06   | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17387 | PA      | $17013.36     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2875721 | PA      | $2817046.85   | 0.19%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017894 | PA      | $973083.52    | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1812498 | PA      | $1736207.92   | 0.11%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XKZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2540214 | PA      | $2465072.41   | 0.16%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166357 | PA      | $2094832.74   | 0.14%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9048 | PA      | $9495.49      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31236 | PA      | $32779.74     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364908 | PA      | $375608.72    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3374 | PA      | $3489.62      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        917 | PA      | $962.75       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340149 | PA      | $350608.39    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410MJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $263.92       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410PUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2710 | PA      | $2828.70      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11939 | PA      | $12461.95     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QN80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28593 | PA      | $29926.76     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410RJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        944 | PA      | $973.27       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410TZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $301.34       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14527 | PA      | $14826.34     | 0.00%             | 2036-08-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410W5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7562 | PA      | $7819.42      | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410XYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1635 | PA      | $1696.43      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411CYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $203.70       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411VQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16041 | PA      | $16181.69     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411WTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3284 | PA      | $3385.45      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411YXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2878 | PA      | $2934.49      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412ER24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30329 | PA      | $31263.45     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412N6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $2164.17      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412NBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $403.27       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4692 | PA      | $4670.42      | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412STL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3551 | PA      | $3621.81      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412SYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2026 | PA      | $2121.07      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412T6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5291 | PA      | $5466.68      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412XES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        599 | PA      | $627.04       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7600 | PA      | $7977.99      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9117 | PA      | $9344.01      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413FLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120595 | PA      | $125592.67    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413RJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57327 | PA      | $60909.28     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414FKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11817 | PA      | $12259.64     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $676.52       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2554 | PA      | $2607.38      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6927 | PA      | $7271.66      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415XER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $1044.55      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6644 | PA      | $6772.52      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416B6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118294 | PA      | $122929.74    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70934 | PA      | $74456.30     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48101 | PA      | $50486.38     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416HWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35733 | PA      | $36132.28     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164101 | PA      | $165936.78    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $211.73       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130760 | PA      | $134974.96    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416YDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.17        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417VX57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38726 | PA      | $38950.95     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4317 | PA      | $4351.51      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7789 | PA      | $7870.55      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1406.05      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418A2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2564 | PA      | $2552.55      | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109966 | PA      | $108020.88    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15346 | PA      | $15271.30     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21088 | PA      | $20738.02     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62284 | PA      | $60863.30     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4961 | PA      | $4856.75      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3515 | PA      | $3441.36      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418E3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1483692 | PA      | $1513238.47   | 0.10%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387092 | PA      | $341011.85    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233520 | PA      | $242097.10    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489704 | PA      | $507150.65    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26008 | PA      | $27296.18     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3819 | PA      | $3924.89      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25216 | PA      | $26035.12     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10306 | PA      | $10531.83     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6432 | PA      | $6507.00      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                          | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1317753 | PA      | $1325831.42   | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13662624 | PA      | $11459239.08  | 0.76%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                     | CUSIP: 32051D3G5<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     698483 | PA      | $702568.69    | 0.05%             | 2034-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2005-AA1                     | CUSIP: 32051GGD1<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     282670 | PA      | $156937.05    | 0.01%             | 2035-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1875970.07   | 0.12%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397J20<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4050757.36   | 0.27%             | 2029-04-06      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                         | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1704649.59   | 0.11%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                    | CUSIP: 35563PWX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2949219 | PA      | $2323463.38   | 0.15%             | 2060-09-25      | Variable      | 12.44%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36176ARS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22555 | PA      | $22751.18     | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1090130 | PA      | $1098754.44   | 0.07%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17326702 | PA      | $16029041.56  | 1.06%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JHDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     645020 | PA      | $665996.09    | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1140370 | PA      | $1159091.26   | 0.08%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     532180 | PA      | $503016.15    | 0.03%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5181 | PA      | $4950.96      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    1800000 | PA      | $1728703.44   | 0.11%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201SJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1944 | PA      | $1978.25      | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201U2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6057 | PA      | $6045.71      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202DFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $591.18       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.26        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        570 | PA      | $570.20       | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $112.19       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $131.10       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36205MNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3333 | PA      | $3394.95      | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36206MNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1120 | PA      | $1134.85      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207K6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8388 | PA      | $8578.36      | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $170.31       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KYQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        455 | PA      | $460.65       | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36208YY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4120 | PA      | $4217.40      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2750 | PA      | $2782.52      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        446 | PA      | $455.35       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        744 | PA      | $752.38       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        336 | PA      | $340.35       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209Y6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1903 | PA      | $1926.07      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3620C0WS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15663 | PA      | $15920.67     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210B3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15240 | PA      | $15428.47     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210TVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7288 | PA      | $7373.25      | 0.00%             | 2029-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211J5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2702 | PA      | $2734.45      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211KPY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9825 | PA      | $9984.95      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2256 | PA      | $2296.19      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2729 | PA      | $2762.57      | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1181 | PA      | $1194.06      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        541 | PA      | $552.85       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.99        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6098 | PA      | $6171.65      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212CYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1291 | PA      | $1306.55      | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1307 | PA      | $1336.58      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1012 | PA      | $1040.42      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212HD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4640 | PA      | $4696.63      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212SLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4806 | PA      | $4896.43      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1862 | PA      | $1884.37      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6455 | PA      | $6530.91      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        317 | PA      | $318.84       | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212VCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1491 | PA      | $1509.23      | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212WMD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        815 | PA      | $824.71       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213DCU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $260.53       | 0.00%             | 2031-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213UDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13646 | PA      | $13880.80     | 0.00%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $82.49        | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1047 | PA      | $1076.21      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $168.96       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5890 | PA      | $6118.44      | 0.00%             | 2030-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5621 | PA      | $5874.39      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7734 | PA      | $8086.03      | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $136.49       | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1315 | PA      | $1314.50      | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        663 | PA      | $661.54       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $80.67        | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        383 | PA      | $384.31       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        227 | PA      | $228.27       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        287 | PA      | $286.04       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        556 | PA      | $555.07       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CGN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1181 | PA      | $1181.49      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9756 | PA      | $9842.03      | 0.00%             | 2029-03-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        552 | PA      | $552.78       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1295 | PA      | $1292.14      | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1539 | PA      | $1534.34      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11180 | PA      | $11145.91     | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        647 | PA      | $648.87       | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2521 | PA      | $2532.65      | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22929 | PA      | $22912.70     | 0.00%             | 2031-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10505 | PA      | $10510.69     | 0.00%             | 2031-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5028 | PA      | $5053.22      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7060 | PA      | $7140.42      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6563 | PA      | $6618.15      | 0.00%             | 2032-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7182 | PA      | $7274.66      | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17727 | PA      | $17844.81     | 0.00%             | 2032-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8905 | PA      | $8942.87      | 0.00%             | 2032-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14512 | PA      | $14695.86     | 0.00%             | 2033-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14550 | PA      | $14581.81     | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5365 | PA      | $5389.49      | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36498 | PA      | $37033.16     | 0.00%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241K4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202308 | PA      | $206641.80    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14606 | PA      | $14918.79     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9016 | PA      | $9208.95      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6555372.60   | 0.43%             | 2049-10-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    5191122 | PA      | $4305761.73   | 0.28%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292FC39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        970 | PA      | $979.82       | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80636 | PA      | $82290.65     | 0.01%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295NNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545 | PA      | $568.66       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295YXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22520 | PA      | $22767.31     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296B6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23546 | PA      | $23983.63     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296GQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31290 | PA      | $31633.23     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296QRY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2971 | PA      | $3034.31      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296RZS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        913 | PA      | $921.74       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296XE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25972 | PA      | $26308.52     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7951261 | PA      | $1701067.32   | 0.11%             | 2036-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                      | CUSIP: 366651AJ6<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3513447.25   | 0.23%             | 2031-03-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1188653.63   | 0.08%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                              | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     600000 | PA      | $582767.59    | 0.04%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1784392.87   | 0.12%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1292331.87   | 0.09%             | 2029-01-21      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3300770.42   | 0.22%             | 2027-05-21      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC                                 | Golub Capital BDC Inc                                                            | CUSIP: 38173MAE2<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1495802.42   | 0.10%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136144 | PA      | $136179.47    | 0.01%             | 2064-04-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1593483 | PA      | $1613679.29   | 0.11%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180781 | PA      | $180798.84    | 0.01%             | 2065-05-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     574828 | PA      | $575191.06    | 0.04%             | 2065-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     808551 | PA      | $809078.16    | 0.05%             | 2065-08-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1103800 | PA      | $1106961.66   | 0.07%             | 2066-01-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4655615 | PA      | $4693960.31   | 0.31%             | 2073-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1349729 | PA      | $1354409.00   | 0.09%             | 2072-10-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3061952 | PA      | $3117057.61   | 0.21%             | 2072-12-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7373161 | PA      | $7432933.26   | 0.49%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2444436 | PA      | $2431023.91   | 0.16%             | 2072-01-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4360238 | PA      | $4396713.42   | 0.29%             | 2073-01-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YY64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4813657 | PA      | $4868618.85   | 0.32%             | 2073-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38383KLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8795750 | PA      | $8933104.84   | 0.59%             | 2073-12-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15491 | PA      | $14964.31     | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                          | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    3500000 | PA      | $3516408.00   | 0.23%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     747498 | PA      | $749469.29    | 0.05%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                          | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1888000 | PA      | $1943347.02   | 0.13%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                          | CUSIP: 404119DD8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3443363.88   | 0.23%             | 2030-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6200000 | PA      | $6464402.66   | 0.43%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-OPT3                                    | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     265749 | PA      | $260950.70    | 0.02%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     468022 | PA      | $380516.75    | 0.03%             | 2038-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-4                                                   | CUSIP: 437084CZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339302 | PA      | $339250.02    | 0.02%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust            | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2576446 | PA      | $2314820.67   | 0.15%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HYDRO-QUEBEC                                      | Hydro-Quebec                                                                     | CUSIP: 448814DB6<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $1130726.34   | 0.07%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7108283.66   | 0.47%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3409398.14   | 0.22%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     800000 | PA      | $835374.75    | 0.06%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2615047.89   | 0.17%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IMC Home Equity Loan Trust                        | Imc Home Equity Loan Trust 1998-3                                                | CUSIP: 449670EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        185 | PA      | $184.08       | 0.00%             | 2029-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-4                                                    | CUSIP: 45254NPA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14127 | PA      | $13844.98     | 0.00%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1587562 | PA      | $97217.09     | 0.01%             | 2035-11-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        590 | PA      | $574.83       | 0.00%             | 2032-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                     | CUSIP: 456837BJ1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4700000 | PA      | $4721247.38   | 0.31%             | 2027-09-11      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                     | CUSIP: 456837BU6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1300000 | PA      | $1292598.41   | 0.09%             | 2032-03-23      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                   | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081454 | PA      | $1050156.39   | 0.07%             | 2029-09-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2006-HE3                                          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10094683 | PA      | $3249666.16   | 0.21%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     752000 | PA      | $466095.26    | 0.03%             | 2035-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1276412 | PA      | $1081260.43   | 0.07%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-ACC1                                   | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6977686 | PA      | $6762918.11   | 0.45%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust Series 2008-R4                                  | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     824070 | PA      | $381625.85    | 0.03%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2355991 | PA      | $1997825.76   | 0.13%             | 2037-12-26      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2814355.35   | 0.19%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4341374.82   | 0.29%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4108940.05   | 0.27%             | 2028-07-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839190 | PA      | $2834586.39   | 0.19%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                              | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5920773 | PA      | $5621470.18   | 0.37%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     400000 | PA      | $409011.42    | 0.03%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                            | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |     900000 | PA      | $899443.53    | 0.06%             | 2026-10-23      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1000000 | PA      | $986448.60    | 0.07%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1000000 | PA      | $979652.16    | 0.06%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     700000 | PA      | $673234.53    | 0.04%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                 | CUSIP: 50222CAA8<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3617443.69   | 0.24%             | 2027-03-28      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                 | CUSIP: 50222CAD2<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1489378.41   | 0.10%             | 2029-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                  | Lazard Group LLC                                                                 | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2702151.53   | 0.18%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4651036 | PA      | $2995386.57   | 0.20%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     687538 | PA      | $456757.79    | 0.03%             | 2037-06-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2311102.15   | 0.15%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1380789.42   | 0.09%             | 2031-11-04      | Fixed         | 4.42%                 | No            |                  2 | On Loan: —       |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8289713.72   | 0.55%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                  | Marble Point CLO XXII Ltd                                                        | CUSIP: 56606GAJ3<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5497250.22   | 0.36%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BZ4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1904455.35   | 0.13%             | 2027-11-08      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3005921.46   | 0.20%             | 2026-07-10      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3001792.77   | 0.20%             | 2027-10-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4292 | PA      | $4287.13      | 0.00%             | 2034-04-21      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     682846 | PA      | $55159.90     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6762345 | PA      | $1337274.68   | 0.09%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1                          | CUSIP: 59020UQV0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     676189 | PA      | $668248.24    | 0.04%             | 2035-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYU3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       7301 | PA      | $7144.75      | 0.00%             | 2035-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3145884 | PA      | $3050856.03   | 0.20%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822DS0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2100000 | PA      | $2070306.50   | 0.14%             | 2032-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4419635.92   | 0.29%             | 2028-01-14      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4653138.74   | 0.31%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-HE2                                      | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1195791 | PA      | $997494.31    | 0.07%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Pacific Life U.S. Government Fund Direct          | Pacific Life U.S. Government Fund Direct                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    3699579 | NS      | $3699579.25   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3361248.50   | 0.22%             | 2029-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |    4788911 | PA      | $2284981.57   | 0.15%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAC0<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |    2097724 | PA      | $848462.00    | 0.06%             | 2037-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAD8<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |    3512469 | PA      | $1420639.11   | 0.09%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |     112884 | PA      | $103631.26    | 0.01%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |    4936770 | PA      | $4530288.17   | 0.30%             | 2037-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4343516.31   | 0.29%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                           | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3588725.41   | 0.24%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                               | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1614740.42   | 0.11%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                               | CUSIP: 62829D2H2<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2669405.46   | 0.18%             | 2031-01-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: —       |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAZ1<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    4000000 | PA      | $3994937.44   | 0.26%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11182827.04  | 0.74%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                 | National Grid PLC                                                                | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    2800000 | PA      | $2868123.55   | 0.19%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                      | NNN REIT Inc                                                                     | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    3600000 | PA      | $3560774.83   | 0.23%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2423191.97   | 0.16%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    4300000 | PA      | $4348975.15   | 0.29%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                               | NatWest Markets PLC                                                              | CUSIP: 63906YAT5<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3973394.80   | 0.26%             | 2028-11-06      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     974506 | PA      | $995473.78    | 0.07%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     974506 | PA      | $1008072.30   | 0.07%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAA6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    2062625 | PA      | $2042055.18   | 0.13%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1703907 | PA      | $1718316.28   | 0.11%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAA4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    2317626 | PA      | $2257943.17   | 0.15%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-INV1                                    | CUSIP: 64831DAB8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    5381775 | PA      | $4684232.11   | 0.31%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    2329659 | PA      | $2348635.09   | 0.15%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $2515843.58   | 0.17%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5519882.18   | 0.36%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4341101.40   | 0.29%             | 2029-09-13      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1737550.08   | 0.11%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                  | Norinchukin Bank/The                                                             | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    2100000 | PA      | $2083509.83   | 0.14%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                          | Northwestern Mutual Global Funding                                               | CUSIP: 66815L2M0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3742768.97   | 0.25%             | 2028-06-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    1940839 | PA      | $1920989.92   | 0.13%             | 2057-06-25      | Floating      | 4.44%                 | 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        |    3567974 | PA      | $3446439.86   | 0.23%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3559101 | PA      | $2359289.71   | 0.16%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10382205 | PA      | $5114192.07   | 0.34%             | 2037-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2576359.62   | 0.17%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2784915.32   | 0.18%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4493562 | PA      | $3301461.11   | 0.22%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2693152 | PA      | $2687194.59   | 0.18%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                    | PEAC Solutions Receivables 2025-1 LLC                                            | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1960682 | PA      | $1970293.33   | 0.13%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3530968.35   | 0.23%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4285930.83   | 0.28%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| PACIFICORP                                        | PacifiCorp                                                                       | CUSIP: 695114DP0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1706034.29   | 0.11%             | 2033-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAA0<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |     914334 | PA      | $914817.65    | 0.06%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6009345 | PA      | $5858505.37   | 0.39%             | 2035-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                             | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4177155.75   | 0.28%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     881000 | PA      | $274588.80    | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5684000 | PA      | $1771580.85   | 0.12%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   31350000 | PA      | $9418942.14   | 0.62%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1900000 | PA      | $2165895.50   | 0.14%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2300000 | PA      | $2314523.37   | 0.15%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                                 | CUSIP: 74256LEW5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6428832.67   | 0.42%             | 2028-06-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                                   | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3201300.42   | 0.21%             | 2026-04-14      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                              | CUSIP: 744573AY2<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1733499.69   | 0.11%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    8800000 | PA      | $6610659.19   | 0.44%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2007-SP2 Trust                                                       | CUSIP: 74919XAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1099487 | PA      | $1078891.18   | 0.07%             | 2047-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WCC5<br>LEI: 549300WI4CNLL8T7Q274 | Long             | ABS-MBS          | CORP              | US        |     627102 | PA      | $190516.46    | 0.01%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    3700000 | PA      | $3708245.97   | 0.24%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                         | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3126295.84   | 0.21%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                               | CUSIP: 756109BZ6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    8100000 | PA      | $8031830.64   | 0.53%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                | Regency Centers LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |    1500000 | PA      | $1496449.89   | 0.10%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97840 | PA      | $90644.77     | 0.01%             | 2033-08-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327837 | PA      | $202872.02    | 0.01%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4816214.79   | 0.32%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| RIO OIL FINANCE TRUST                             | Rio Oil Finance Trust Series 2014-3                                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     880681 | PA      | $900575.13    | 0.06%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                   | Rolls-Royce PLC                                                                  | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $965300.35    | 0.06%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    6500000 | PA      | $6378758.75   | 0.42%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3519126.03   | 0.23%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-LIH Mortgage Trust                                                     | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $7092398.74   | 0.47%             | 2036-11-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                    | Salesforce Inc                                                                   | CUSIP: 79466LAQ7<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1951174.52   | 0.13%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                    | Salesforce Inc                                                                   | CUSIP: 79466LAR5<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1954345.09   | 0.13%             | 2029-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3525000 | PA      | $3465645.94   | 0.23%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: —       |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    5000000 | PA      | $4945725.35   | 0.33%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4400000 | PA      | $4400840.14   | 0.29%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBP3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     900000 | PA      | $888494.63    | 0.06%             | 2029-01-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                             | CUSIP: 80415RAB7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2700000 | PA      | $2646862.65   | 0.17%             | 2029-02-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-2                                              | CUSIP: 805564SD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1066603 | PA      | $1059804.56   | 0.07%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2005-FR5                          | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2362881 | PA      | $1829878.39   | 0.12%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     107207 | PA      | $107897.58    | 0.01%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAA5<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    2333199 | PA      | $2381101.77   | 0.16%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYENSQO FINANCE AMERICA                           | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4506030.80   | 0.30%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1296945 | PA      | $342278.63    | 0.02%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8215715.95   | 0.54%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5689579.09   | 0.37%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                        | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1914241.68   | 0.13%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                | CUSIP: 862121AA8<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    7600000 | PA      | $7553652.31   | 0.50%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100018 | PA      | $925130.07    | 0.06%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19618 | PA      | $19515.62     | 0.00%             | 2035-01-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust            | Structured Asset Investment Loan Trust 2006-1                                    | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3380477 | PA      | $3221427.94   | 0.21%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR3                             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3839 | PA      | $3641.59      | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24692 | PA      | $23205.14     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10099 | PA      | $9824.65      | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258511 | PA      | $221493.62    | 0.01%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453123 | PA      | $380774.25    | 0.03%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      76153 | PA      | $74814.59     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1                    | CUSIP: 86359YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     997402 | PA      | $937557.55    | 0.06%             | 2036-03-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341969 | PA      | $241830.37    | 0.02%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4696897.95   | 0.31%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4022882.00   | 0.27%             | 2029-07-09      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                   | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332035 | PA      | $55264.12     | 0.00%             | 2035-12-25      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                   | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5663492.74   | 0.37%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XXXII Ltd                                                           | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6100000 | PA      | $6100521.43   | 0.40%             | 2035-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6106883.14   | 0.40%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3363322 | PA      | $3367509.13   | 0.22%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| TAKEOFF MERGER SUB INC                            | Takeoff Merger Sub Inc                                                           | CUSIP: 873923AC0<br>LEI: 984500DF5ACB4A114F45 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1788758.33   | 0.12%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-3                                                     | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63074 | PA      | $62314.81     | 0.00%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3400000 | PA      | $3404701.52   | 0.22%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    2982459 | PA      | $2831484.67   | 0.19%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2437967.04   | 0.16%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9600000 | PA      | $9202799.04   | 0.61%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3600000 | PA      | $3542210.35   | 0.23%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5222629 | PA      | $4354945.65   | 0.29%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2844251 | PA      | $2547950.50   | 0.17%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     278649 | PA      | $256687.53    | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                           | United Airlines 2023-1 Class A Pass Through Trust                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4279952 | PA      | $4420207.42   | 0.29%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     900000 | PA      | $896310.00    | 0.06%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $195850.00    | 0.01%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     104000 | PA      | $103937.43    | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     100000 | PA      | $99798.72     | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     200000 | PA      | $199456.17    | 0.01%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4758167.98   | 0.31%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7630218.75   | 0.50%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $20198671.88  | 1.33%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $5498710.91   | 0.36%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1967000 | PA      | $1895158.39   | 0.12%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $20045046.74  | 1.32%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $4225976.59   | 0.28%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20900000 | PA      | $18116054.79  | 1.19%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13500000 | PA      | $11471835.87  | 0.76%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33300000 | PA      | $26115785.07  | 1.72%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $912082.03    | 0.06%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6833515.65   | 0.45%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3156819 | PA      | $2343961.53   | 0.15%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4580616 | PA      | $3252386.50   | 0.21%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8300000 | PA      | $6122871.07   | 0.40%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13319981 | PA      | $9577294.38   | 0.63%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1468359.38   | 0.10%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1411101.56   | 0.09%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2118925.77   | 0.14%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1809360 | PA      | $1282236.62   | 0.08%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13100000 | PA      | $9317375.00   | 0.61%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20798000 | PA      | $12941067.99  | 0.85%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14255000 | PA      | $9085891.96   | 0.60%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $3902226.60   | 0.26%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3415365 | PA      | $1935761.02   | 0.13%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $2192203.10   | 0.14%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20550000 | PA      | $13243913.16  | 0.87%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11375000 | PA      | $6318457.03   | 0.42%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3497564 | PA      | $1862488.02   | 0.12%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4450000 | PA      | $2445935.56   | 0.16%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2219694 | PA      | $1153724.42   | 0.08%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45700000 | PA      | $37668581.92  | 2.48%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3734000 | PA      | $3379926.36   | 0.22%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13675750 | PA      | $10494601.11  | 0.69%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7300000 | PA      | $6488730.49   | 0.43%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5900000 | PA      | $5230949.20   | 0.34%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3635000 | PA      | $3432164.16   | 0.23%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8159382 | PA      | $7201988.59   | 0.47%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $485068.36    | 0.03%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9000000 | PA      | $8410078.08   | 0.55%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1238604 | PA      | $1152421.49   | 0.08%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19209000 | PA      | $19150472.48  | 1.26%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1911250.00   | 0.13%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      20000 | PA      | $19581.25     | 0.00%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8131725 | PA      | $8165718.29   | 0.54%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82300000 | PA      | $82589335.53  | 5.44%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8630000 | PA      | $8541677.30   | 0.56%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $1236811.39   | 0.08%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $1828734.84   | 0.12%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $276991.21    | 0.02%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $5548776.79   | 0.37%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5246333 | PA      | $4371438.05   | 0.29%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $855894.51    | 0.06%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $185620.10    | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1534824.00   | 0.10%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAA3<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    2852356 | PA      | $2745166.24   | 0.18%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                          | Virgin Media Secured Finance PLC                                                 | CUSIP: 92769XAR6<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $177525.72    | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $479897.96    | 0.03%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6321506.98   | 0.42%             | 2028-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1695655.06   | 0.11%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    1673609 | PA      | $1672917.79   | 0.11%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10816 | PA      | $10541.46     | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197948 | PA      | $192957.12    | 0.01%             | 2036-01-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10676 | PA      | $10796.30     | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR1 Trust   | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1284 | PA      | $1300.05      | 0.00%             | 2033-02-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712582 | PA      | $650484.45    | 0.04%             | 2046-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1589708 | PA      | $79635.46     | 0.01%             | 2035-11-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5232292 | PA      | $218838.50    | 0.01%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     970087 | PA      | $774917.86    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2709216.23   | 0.18%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4412404.26   | 0.29%             | 2026-12-11      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4808490.19   | 0.32%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2021-2 Ltd                                                         | CUSIP: 95023AAL4<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |    4050000 | PA      | $4053948.43   | 0.27%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Cashmere Valley Bank                              | Cashmere Valley Bank                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   30400000 | PA      | $20974485.64  | 1.38%             | 2057-12-30      | Variable      | 4.54%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4600000 | PA      | $246171.81    | 0.02%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    5600000 | PA      | $1521098.89   | 0.10%             | 2018-01-15      | None          | 4.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   55000000 | PA      | $3039784.71   | 0.20%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1000000 | PA      | $271624.80    | 0.02%             | 2017-05-08      | None          | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    6900000 | PA      | $3991619.87   | 0.26%             | 2035-06-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   10160000 | PA      | $564484.05    | 0.04%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6130992 | PA      | $7286507.44   | 0.48%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain Fuji Eur CLO V DAC                                                  | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |    2479554 | PA      | $2868967.54   | 0.19%             | 2033-01-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    9000000 | PA      | $5850689.40   | 0.39%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1800000 | PA      | $840649.11    | 0.06%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    2800000 | PA      | $1543382.69   | 0.10%             | 2032-08-20      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                      | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    2171815 | PA      | $2512932.13   | 0.17%             | 2034-05-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    3600000 | PA      | $1900197.33   | 0.13%             | 2034-03-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $2418279.41   | 0.16%             | 2030-01-17      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     700000 | PA      | $445322.83    | 0.03%             | 2035-08-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   15400000 | PA      | $2875153.14   | 0.19%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                   | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    3300000 | PA      | $4037311.02   | 0.27%             | 2028-11-13      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    9347000 | PA      | $10305618.82  | 0.68%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVE                           | IRB INFRASTRUCTURE DEVELOPERS                                                    | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |    2500000 | PA      | $2511323.08   | 0.17%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     900000 | PA      | $574936.18    | 0.04%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $958758.29    | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Trinity Square                                    | Trinity Square 2021-1 PLC                                                        | CUSIP: 000000000<br>LEI: 6354001L6FRKQUMWRQ12 | Long             | ABS-MBS          | CORP              | GB        |    2395459 | PA      | $3174958.84   | 0.21%             | 2059-07-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    2747149 | PA      | $3641141.67   | 0.24%             | 2053-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  332000000 | PA      | $1440054.31   | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    8000000 | PA      | $9246297.81   | 0.61%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7800000 | PA      | $1408609.81   | 0.09%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   49000000 | PA      | $223236.29    | 0.01%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  501000000 | PA      | $2387788.00   | 0.16%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  790000000 | PA      | $4140226.21   | 0.27%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  744900000 | PA      | $3629219.64   | 0.24%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  431900000 | PA      | $2406453.56   | 0.16%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $660393.81    | 0.04%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $2554566.02   | 0.17%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1478098.13   | 0.10%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1465926.54   | 0.10%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     500000 | PA      | $559590.07    | 0.04%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  641000000 | PA      | $3699002.77   | 0.24%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   38550000 | PA      | $223818.57    | 0.01%             | 2045-09-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 000000000<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1273472.31   | 0.08%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT                             | Costa Rica Government International Bond                                         | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    1000000 | PA      | $1199705.04   | 0.08%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $231086.44    | 0.02%             | 2029-10-05      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GSG BIDCO LTD                                     | GSG Bidco Ltd                                                                    | CUSIP: 000000000<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |    1700000 | PA      | $1951446.20   | 0.13%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GSG BIDCO LTD                                     | GSG Bidco Ltd                                                                    | CUSIP: 000000000<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |    1500000 | PA      | $1719913.80   | 0.11%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU MAR27                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        104 | NC      | $48051.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE JUN26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-8419.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE JUN26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -218 | NC      | $844404.41    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -18 | NC      | $60303.28     | 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        |        -24 | NC      | $93768.67     | 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        |       1134 | NC      | $-2266580.23  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT JUN26                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        234 | NC      | $-93470.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal          | CAN 10YR BOND FUT JUN26                                                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        197 | NC      | $-316996.73   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1953 | NC      | $-2879493.97  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         93 | NC      | $-72593.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE JUN26                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        249 | NC      | $-1409770.69  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -667 | NC      | $1729713.09   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| RMAC Securities PLC                               | RMAC Securities No 1 PLC                                                         | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    2253813 | PA      | $2890127.04   | 0.19%             | 2044-06-12      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8200000 | PA      | $389478.53    | 0.03%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                             | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    1098339 | PA      | $1258797.63   | 0.08%             | 2043-12-15      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                          | Tesco Property Finance 4 PLC                                                     | CUSIP: 000000000<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     173015 | PA      | $224433.10    | 0.01%             | 2040-10-13      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Stepstone Group MidCo 2 GmbH/The                  | Stepstone Group MidCo 2 GmbH/TheUSD Term Loan B                                  | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     470738 | PA      | $415425.86    | 0.03%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1300000 | PA      | $724490.47    | 0.05%             | 2033-09-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1750000 | PA      | $93782.15     | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  205900000 | PA      | $11965711.39  | 0.79%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1434576 | OU      | $-1146.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000                                   | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |   -3695000 | OU      | $-2952.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000                                   | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |   -3692500 | OU      | $-3027.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -2549924 | OU      | $-2251.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | 31750SIK3 PIMCO CDSOPT PUT USD 0.8 20260617                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   -1200000 | NC      | $-1635.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   -4900000 | NC      | $-3982.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317UC4MA5 PIMCO SWAPTION 3.08 CALL USD 2026072                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -65100000 | NC      | $-43851.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317UC4KA7 PIMCO SWAPTION 3.29 CALL USD 2026072                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -65100000 | NC      | $-65933.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317UC4LA6 PIMCO SWAPTION 3.5 CALL USD 20260720                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   65100000 | NC      | $99342.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317UC4NA4 PIMCO SWAPTION 3.5 CALL USD 20260713                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   62500000 | NC      | $90462.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317UC4OA3 PIMCO SWAPTION 3.25 CALL USD 2026071                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -62500000 | NC      | $-54600.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317UC4PA2 PIMCO SWAPTION 3.0 CALL USD 20260713                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -62500000 | NC      | $-32918.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                            | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041                                   | CUSIP: 000000000<br>LEI: G1MLHIS0N32I3QPILB75 | N/A              | DIR              |  | US        |    -500000 | NC      | $-76.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                            | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416                                   | CUSIP: 000000000<br>LEI: G1MLHIS0N32I3QPILB75 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1854.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -500000 | NC      | $-2611.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -500000 | NC      | $-446.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -600000 | NC      | $-3398.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -600000 | NC      | $-749.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   -2100000 | NC      | $-5845.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   -2100000 | NC      | $-6038.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750SOL4 PIMCO CDSOPT PUT EUR 1.05 20260520                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |   -2000000 | NC      | $-2339.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UCABA3 PIMCO SWAPTION 4.069 PUT USD 2026043                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -400000 | NC      | $-1205.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 317UCACA2 PIMCO SWAPTION 3.669 CALL USD 202604                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -400000 | NC      | $-1148.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -800000 | NC      | $-3862.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -800000 | NC      | $-3028.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6800000 | PA      | $1855034.25   | 0.12%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| CLEAR STREET                                      | CLEAR STREET                                                                     | CUSIP: 000000000<br>LEI: 549300KNQS43Y7TO3X67 | Long             | RA               | CORP              | US        |   18513820 | PA      | $18513819.75  | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| SWIB                                              | SWIB                                                                             | CUSIP: 000000000<br>LEI: VY0GIYI3352UC4XOP168 | Long             | RA               | CORP              | US        |    8473622 | PA      | $8473622.19   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3500000 | PA      | $187304.64    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7300000 | OU      | $39864.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4800000 | OU      | $9370.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1600000 | OU      | $-757.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    4600000 | OU      | $-2178.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    2100000 | OU      | $-7257.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1900000 | OU      | $-6566.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6000000 | OU      | $77843.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2400000 | OU      | $244581.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     300000 | OU      | $4299.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1000000 | OU      | $-1472.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG44 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     600000 | OU      | $10743.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | ORACLE CORPORATION SNR S* ICE                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1000000 | OU      | $-23571.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3100000 | OU      | $38424.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG45 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   63200000 | OU      | $1120045.60   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX ITRAXX MAIN44 5Y ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6200000 | OU      | $104991.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    8200000 | OU      | $87278.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG46 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   44200000 | OU      | $762932.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     575672 | OU      | $101814.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                             | CDX ITRAXX XOV44 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    6500000 | OU      | $1288281.78   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3300000 | OU      | $654050.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | CDX ITRAXX XOV44 5Y 35-100% SP BOA                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    2100000 | OU      | $416214.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     640000 | OU      | $126846.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV44 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    5160000 | OU      | $1022697.54   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | CDX ITRAXX XOV44 5Y 35-100% SP GST                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1100000 | OU      | $218016.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |     141180 | OU      | $290.30       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  310000000 | OU      | $-905842.64   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  189800000 | OU      | $209853.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   50000000 | OU      | $53397.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33230000 | OU      | $3566250.25   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   29000000 | OU      | $-646124.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11600000 | OU      | $4546352.04   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   12700000 | OU      | $-249495.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.15600 03/10/28-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27580000 | OU      | $704646.94    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    7300000 | OU      | $-158811.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    1500000 | OU      | $-49726.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   28300000 | OU      | $-602549.33   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $-25322.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25000000 | OU      | $2715067.50   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37900000 | OU      | $34617.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-4116.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11490000 | OU      | $19225.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4100000 | OU      | $-20670.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2100000 | OU      | $-10150.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-24459.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $-43253.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-15745.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75375 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-4622.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11000000 | OU      | $-254561.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     280000 | OU      | $-5919.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4800000 | OU      | $522756.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   90700000 | OU      | $-722204.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   32900000 | OU      | $-265515.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14425000 | OU      | $-42982.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-348906.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.76473 12/17/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $148096.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89548 12/23/24-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8469000 | OU      | $359736.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $8963.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $6162.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $2709.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/17/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37600000 | OU      | $-227619.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 09/17/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $1168786.68   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-8712.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/2.74040 03/10/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $24791.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21300000 | OU      | $284246.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $1802845.24   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $-44700.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3590000000 | OU      | $797947.93    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2700000 | OU      | $-22919.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.88400 03/25/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-6985.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-26197.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3400000 | OU      | $-15175.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6000000 | OU      | $-10790.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   31600000 | OU      | $-147453.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   58300000 | OU      | $-104550.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3900000 | OU      | $-4789.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4600000 | OU      | $-12266.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34666000 | OU      | $-139104.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.4 07/10/25-01/02/29 CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   45800000 | OU      | $-99669.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 03/18/26-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2200000 | OU      | $11900.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.00000 03/18/26-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-33527.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.0166 08/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   63300000 | OU      | $230433.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13 08/13/25-01/02/29 CME                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15400000 | OU      | $57013.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.55100 09/17/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $27875.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $30729.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $21262.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3423000 | OU      | $32338.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.50000 03/18/26-5Y CME                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3300000 | OU      | $18435.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.74800 03/03/26-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $4772.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.77500 03/03/26-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $3657.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.50000 09/16/26-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8800000 | OU      | $-201800.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 09/16/26-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   61770000 | OU      | $-2189934.72  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 09/16/26-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22400000 | OU      | $535245.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16600000 | OU      | $762229.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1740000 | OU      | $99218.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1080000 | OU      | $58662.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.00000 06/17/26-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4000000 | OU      | $93786.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.657 03/13/26-01/02/31 CME                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   26600000 | OU      | $-778.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $8814.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.681 03/18/26-01/02/31 CME                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7900000 | OU      | $1413.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.725 03/18/26-01/02/31 CME                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     250000 | OU      | $139.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.8994 03/20/26-01/02/31 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2100000 | OU      | $2346.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 14.0671 03/27/26-01/02/31 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   16100000 | OU      | $30548.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                          | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    5900000 | PA      | $5570118.02   | 0.37%             | 2028-07-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President