# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0000933691-25-001180
**Filing Date:** 2025-8
**Character Count:** 255697
**Document Hash:** ba6db0767c7f8e05c0bc1330799616b9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000933691-25-001180.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0000933691-25-001180

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 251266053

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

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

## Series and Classes Contracts Data

### JNL/PIMCO REAL RETURN FUND (Series ID: S000010711)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000029602 | JNL/PIMCO REAL RETURN FUND (A) |  |
| C000067998 | JNL/PIMCO REAL RETURN FUND (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

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

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

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

- **b. EDGAR series identifier (if any):** S000010711

- **c. LEI of Series:** V4TXC5HR9FVHRRC3LU17

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2397121770.68

**Total Liabilities:** $1284967021.29

**Net Assets:** $1112154749.39

**Delayed Delivery Securities:** $1042149901.02

**Cash Not Reported:** $10040197.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -885.039691495516 | **1-Year:** -437.665452539178 | **5-Year:** -3140.191012646124 | **10-Year:** -7305.349524492806 | **30-Year:** -66561.445669060212

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

- **3-Month:** -440.760500080511 | **1-Year:** -618.066990867352 | **5-Year:** -1758.274065010662 | **10-Year:** -9637.816046650700 | **30-Year:** -911.076306448395

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000029602 | -0.17%               | -0.58%               | 1.17%                |
| Class ID C000067998 | -0.16%               | -0.56%               | 1.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-415020.37              | $-6389049.92                               |
| Month 2  | $-2062262.48             | $-10060139.46                              |
| Month 3  | $-318916.13              | $8132852.13                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury US TIPS TR USD

- **Index Identifier:** LHMN1551

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       60455 | PA      | $56754.28     | 0.01%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       18808 | PA      | $18593.27     | 0.00%             | 2037-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       10374 | PA      | $10557.14     | 0.00%             | 2035-11-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31409BFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       23100 | PA      | $23968.54     | 0.00%             | 2036-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140XJ4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      308265 | PA      | $295704.81    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      569174 | PA      | $546472.63    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      345877 | PA      | $339929.88    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      749972 | PA      | $774758.53    | 0.07%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF10                                           | First Franklin Mortgage Loan Trust 2006-FF10                                           | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1063375 | PA      | $1031241.89   | 0.09%             | 2036-07-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF17                                           | First Franklin Mortgage Loan Trust 2006-FF17                                           | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4528986 | PA      | $4079840.55   | 0.37%             | 2036-12-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                                                        | First NLC Trust                                                                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      183195 | PA      | $88732.43     | 0.01%             | 2037-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2018-3(A), Ltd.                                                        | 522 Funding CLO 2018-3(A), Ltd.                                                        | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      226378 | PA      | $226448.12    | 0.02%             | 2031-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                          | Ginnie Mae II                                                                          | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12207141 | PA      | $11148591.66  | 1.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                                          | Ginnie Mae II                                                                          | CUSIP: 36179Y5G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90725 | PA      | $82638.33     | 0.01%             | 2054-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5ER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14998504 | PA      | $13613533.19  | 1.22%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5H93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $907659.74    | 0.08%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5KS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $907659.28    | 0.08%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer Ltd.                                                         | LoanCore 2021-CRE5 Issuer Ltd.                                                         | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      950452 | PA      | $950149.69    | 0.09%             | 2036-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-7                                                  | Long Beach Mortgage Loan Trust 2006-7                                                  | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      372928 | PA      | $149183.84    | 0.01%             | 2036-08-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                       | MF1 2022-FL9 LLC                                                                       | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1415453 | PA      | $1415895.64   | 0.13%             | 2037-06-22      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 Ltd                                                                     | M360 2021-CRE3 Ltd                                                                     | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       42753 | PA      | $42723.62     | 0.00%             | 2038-11-22      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-10                                          | MASTR Adjustable Rate Mortgages Trust 2004-10                                          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32303 | PA      | $31162.33     | 0.00%             | 2033-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                           | MASTR Asset Backed Securities Trust 2006-AM1                                           | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       41417 | PA      | $39142.95     | 0.00%             | 2035-10-25      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                             | Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                             | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18878 | PA      | $17593.58     | 0.00%             | 2033-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                                    | Merrill Lynch Mortgage Capital Inc.                                                    | CUSIP: 59020UAC9<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-MBS          | CORP              | US        |       30599 | PA      | $29282.48     | 0.00%             | 2034-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2019-GS2                                                 | Mill City Mortgage Loan Trust 2019-GS2                                                 | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      161781 | PA      | $156341.14    | 0.01%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CFR2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |      247193 | PA      | $258663.30    | 0.02%             | 2034-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CNC6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |      755964 | PA      | $732221.10    | 0.07%             | 2035-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                                | Morgan Stanley ABS Capital Trust I Inc.                                                | CUSIP: 61744CUU8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     1053806 | PA      | $987370.04    | 0.09%             | 2035-09-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                                       | Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                                       | CUSIP: 61750SAF9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     1148234 | PA      | $497547.61    | 0.04%             | 2036-10-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                                       | Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                                       | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-CBDO         | CORP              | US        |       31796 | PA      | $28556.08     | 0.00%             | 2037-05-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Mortgageit Trust 2004-2                                                                | Mortgageit Trust 2004-2                                                                | CUSIP: 61913PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93807 | PA      | $91071.62     | 0.01%             | 2034-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                     | New Century Home Equity Loan Trust                                                     | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      187372 | PA      | $179465.64    | 0.02%             | 2035-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-RPL3                                          | New Residential Mortgage Loan Trust 2019-RPL3                                          | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025718 | PA      | $987143.70    | 0.09%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                                 | Nissan Motor Co., Ltd.                                                                 | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |      300000 | PA      | $288064.34    | 0.03%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1                 | Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1                 | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1605525 | PA      | $1570264.72   | 0.14%             | 2035-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10805000 | PA      | $13509613.24  | 1.21%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    40947000 | PA      | $49282305.93  | 4.43%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14860000 | PA      | $19946204.27  | 1.79%             | 2026-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11830000 | PA      | $15687491.43  | 1.41%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1                         | ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1                         | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      325186 | PA      | $123034.85    | 0.01%             | 2037-03-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| AG Trust 2024-NLP                                                                      | AG Trust 2024-NLP                                                                      | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      427649 | PA      | $428184.24    | 0.04%             | 2029-08-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     8000000 | PA      | $7436588.00   | 0.67%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    20577000 | PA      | $19675147.13  | 1.77%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    16223000 | PA      | $15508172.44  | 1.39%             | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-HY11                                                       | Alternative Loan Trust 2006-HY11                                                       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      230206 | PA      | $214933.14    | 0.02%             | 2036-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-4CB                                                        | Alternative Loan Trust 2007-4CB                                                        | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197143 | PA      | $168059.13    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Clo 20 Ltd                                                           | Anchorage Capital Clo 20 Ltd                                                           | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      900000 | PA      | $899460.00    | 0.08%             | 2035-01-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                                        | Arbor Realty Collateralized Loan Obligation Ltd                                        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      745200 | PA      | $745199.37    | 0.07%             | 2037-01-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund XV Ltd                                                          | Atlas Senior Loan Fund XV Ltd                                                          | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      401600 | PA      | $401585.35    | 0.04%             | 2032-10-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                                        | Avolon Holdings Funding Limited                                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |       89000 | PA      | $84590.53     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                                      | BDS 2022-FL11 LLC                                                                      | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1066747 | PA      | $1067414.40   | 0.10%             | 2039-03-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust 2011-RR5                                                                | BCAP LLC Trust 2011-RR5                                                                | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      107472 | PA      | $104086.72    | 0.01%             | 2037-03-26      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit                                                                    | Bain Capital Credit                                                                    | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $599837.40    | 0.05%             | 2034-07-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities, Inc.                                              | Banc of America Mortgage Securities, Inc.                                              | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-MBS          | CORP              | US        |        9179 | PA      | $8454.69      | 0.00%             | 2035-06-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                            | Bank of America Corporation                                                            | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1160000 | PA      | $1178618.81   | 0.11%             | 2500-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21068 | PA      | $20233.93     | 0.00%             | 2034-11-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23445 | PA      | $20511.71     | 0.00%             | 2035-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27051 | PA      | $25554.79     | 0.00%             | 2034-02-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                          | Bear Stearns ARM Trust 2004-1                                                          | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5501 | PA      | $4992.45      | 0.00%             | 2033-05-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                                        | Bear Stearns ALT-A Trust 2006-3                                                        | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69504 | PA      | $65226.86     | 0.01%             | 2036-01-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4              | Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82181 | PA      | $49738.80     | 0.00%             | 2036-08-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust 2005-6                                                          | Bear Stearns Arm Trust 2005-6                                                          | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56000 | PA      | $51699.68     | 0.00%             | 2035-03-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc. Trust 2007-R6                                    | Bear Stearns Structured Products Inc. Trust 2007-R6                                    | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157748 | PA      | $123931.10    | 0.01%             | 2046-12-26      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXII Ltd                                                              | BlueMountain CLO XXII Ltd                                                              | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      489184 | PA      | $489367.11    | 0.04%             | 2031-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Canada, Government of                                                                  | Canada, Government of                                                                  | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     3800000 | PA      | $5464150.26   | 0.49%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1900000 | PA      | $1899406.25   | 0.17%             | 2055-07-25      | Floating      | 5.52%                 | No            |                  3 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      497731 | PA      | $493137.50    | 0.04%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     4133127 | PA      | $3924647.21   | 0.35%             | 2057-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                                       | GSR Mortgage Loan Trust 2005-AR1                                                       | CUSIP: 36242DUL5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |       13209 | PA      | $12880.30     | 0.00%             | 2035-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII 2017-1 Ltd                                                           | Gallatin CLO VIII 2017-1 Ltd                                                           | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      677880 | PA      | $678011.44    | 0.06%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      803072 | PA      | $810904.67    | 0.07%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1441295 | PA      | $1440158.23   | 0.13%             | 2068-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2270816 | PA      | $2266178.83   | 0.20%             | 2072-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Greenpoint M F T S 2006-AR4                                                            | Greenpoint M F T S 2006-AR4                                                            | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199897 | PA      | $184359.94    | 0.02%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Harborview Mortgage Loan Trust                                                         | Harborview Mortgage Loan Trust                                                         | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54690 | PA      | $52208.41     | 0.00%             | 2034-04-19      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2007-5                                                  | HarborView Mortgage Loan Trust 2007-5                                                  | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13518 | PA      | $11780.42     | 0.00%             | 2037-09-19      | Floating      | 15.55%                | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                | Home Equity Asset Trust                                                                | CUSIP: 437084QA7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-CBDO         | CORP              | US        |      733873 | PA      | $712781.72    | 0.06%             | 2036-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62629 | PA      | $48364.09     | 0.00%             | 2045-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9484 | PA      | $10807.81     | 0.00%             | 2035-11-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660NQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6165 | PA      | $5971.06      | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26037 | PA      | $25619.64     | 0.00%             | 2035-08-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3670 | PA      | $3432.44      | 0.00%             | 2035-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                                     | J.P. Morgan Mortgage Trust 2005-A1                                                     | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35314 | PA      | $33558.60     | 0.00%             | 2035-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                                        | J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                                        | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        8113 | PA      | $8082.54      | 0.00%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2007-A1                                                     | J.P. Morgan Mortgage Trust 2007-A1                                                     | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10305 | PA      | $10105.65     | 0.00%             | 2035-07-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust, Series 2008-R2                                             | J.P. Morgan Mortgage Trust, Series 2008-R2                                             | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128234 | PA      | $118425.66    | 0.01%             | 2037-07-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 Ltd.                                                                         | KKR CLO 9 Ltd.                                                                         | CUSIP: 48250LAW9<br>LEI: 549300C6QY0XRSC8FH09 | Long             | ABS-CBDO         | CORP              | US        |       52531 | PA      | $52537.85     | 0.00%             | 2030-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| KKR CLO 11 Ltd                                                                         | KKR CLO 11 Ltd                                                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      228795 | PA      | $228937.37    | 0.02%             | 2031-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund I Ltd.                                                            | LCM Loan Income Fund I Ltd.                                                            | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      274703 | PA      | $274768.11    | 0.02%             | 2031-04-21      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| LCM 36 Ltd                                                                             | LCM 36 Ltd                                                                             | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1988998.00   | 0.18%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust, Series 2007-15N                                                       | Lehman XS Trust, Series 2007-15N                                                       | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      291341 | PA      | $275715.43    | 0.02%             | 2047-08-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE7 Issuer Ltd                                                          | LoanCore 2021-CRE7 Issuer Ltd                                                          | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1309589 | PA      | $1309588.99   | 0.12%             | 2037-01-21      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OZLM IX, Ltd.                                                                          | OZLM IX, Ltd.                                                                          | CUSIP: 67109KBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      175118 | PA      | $175151.48    | 0.02%             | 2031-10-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV, Ltd.                                                                        | OZLM XXIV, Ltd.                                                                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      355581 | PA      | $355768.58    | 0.03%             | 2032-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO 8                                                                     | Ocean Trails CLO 8                                                                     | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1700000 | PA      | $1699954.10   | 0.15%             | 2034-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                                  | Octagon Investment Partners 18-R Ltd.                                                  | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      440045 | PA      | $440126.55    | 0.04%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 40 Ltd.                                                    | Octagon Investment Partners 40 Ltd.                                                    | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $696216.50    | 0.06%             | 2035-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                                         | Palmer Square Loan Funding Ltd                                                         | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      169167 | PA      | $169169.06    | 0.02%             | 2029-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Kayne CLO 5 Ltd                                                                        | Kayne CLO 5 Ltd                                                                        | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      305164 | PA      | $305328.43    | 0.03%             | 2032-07-26      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| RALI Series 2007-QH8 Trust                                                             | RALI Series 2007-QH8 Trust                                                             | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      416461 | PA      | $356158.63    | 0.03%             | 2037-10-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Rad CLO 4, Ltd.                                                                        | Rad CLO 4, Ltd.                                                                        | CUSIP: 749984AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      461917 | PA      | $462286.73    | 0.04%             | 2032-04-26      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RASC Series 2006-EMX1 Trust                                                            | RASC Series 2006-EMX1 Trust                                                            | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1869374 | PA      | $1821340.73   | 0.16%             | 2036-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                              | Residential Asset Mortgage Products, Inc.                                              | CUSIP: 760985R37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      173905 | PA      | $177397.13    | 0.02%             | 2034-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                               | Residential Asset Securities Corporation                                               | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      109205 | PA      | $108397.63    | 0.01%             | 2036-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                  | Wells Fargo & Company                                                                  | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |         500 | NS      | $587065.00    | 0.05%             | 2500-01-01      | Fixed         | 7.50%                 | No            |                  1 | On Loan: No      |
| CBAM 2018-5 Ltd                                                                        | CBAM 2018-5 Ltd                                                                        | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | US        |      224248 | PA      | $224450.24    | 0.02%             | 2031-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CBAM 2019-10, Ltd.                                                                     | CBAM 2019-10, Ltd.                                                                     | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | US        |      475852 | PA      | $476444.75    | 0.04%             | 2032-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2                         | C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2                         | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      179866 | PA      | $173543.88    | 0.02%             | 2034-08-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                                    | Credit-Based Asset Servicing and Securitization LLC                                    | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       63371 | PA      | $43212.32     | 0.00%             | 2037-07-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                                    | Credit-Based Asset Servicing and Securitization LLC                                    | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1857874 | PA      | $1266954.23   | 0.11%             | 2037-07-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                                         | Community Health Systems, Inc.                                                         | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196821.93    | 0.02%             | 2027-03-15      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding 2018-III Ltd                                                              | CIFC Funding 2018-III Ltd                                                              | CUSIP: 12551YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      436457 | PA      | $436755.39    | 0.04%             | 2031-07-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust 2007-1                                                         | CIT Mortgage Loan Trust 2007-1                                                         | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1359062 | PA      | $1354195.06   | 0.12%             | 2037-10-26      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust 2007-1                                                      | CSMC Mortgage-Backed Trust 2007-1                                                      | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      570586 | PA      | $123377.53    | 0.01%             | 2037-02-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2015-3R                                                                    | CSMC Series 2015-3R                                                                    | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      133618 | PA      | $132420.38    | 0.01%             | 2036-09-29      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2015-12R                                                                   | CSMC Series 2015-12R                                                                   | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1726788 | PA      | $1581755.48   | 0.14%             | 2037-12-03      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                         | Alternative Loan Trust 2005-43                                                         | CUSIP: 12667GUG6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |       61039 | PA      | $32483.69     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-12                                          | CWABS Asset-Backed Certificates Trust 2007-12                                          | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-CBDO         | CORP              | US        |       58987 | PA      | $57958.20     | 0.01%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-8                                           | CWABS Asset-Backed Certificates Trust 2007-8                                           | CUSIP: 12669WAA4<br>LEI: 549300X70WTYWZ2HGN95 | Long             | ABS-CBDO         | CORP              | US        |     2978662 | PA      | $2822530.51   | 0.25%             | 2036-02-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO II Ltd.                                                            | Capital Four US CLO II Ltd.                                                            | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $502077.00    | 0.05%             | 2037-01-21      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      901980 | PA      | $885521.08    | 0.08%             | 2042-09-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5460994 | PA      | $5469197.84   | 0.49%             | 2055-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A10                                        | Residential Asset Securitization Trust 2006-A10                                        | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187557 | PA      | $56528.68     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                                         | Romark CLO Ltd                                                                         | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      173995 | PA      | $174045.73    | 0.02%             | 2030-10-23      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust 2004-1                                                          | SLM Student Loan Trust 2004-1                                                          | CUSIP: 78442GLL8<br>LEI: 549300UECCCKC4WVNL14 | Long             | ABS-CBDO         | CORP              | US        |     1165442 | PA      | $1132760.74   | 0.10%             | 2064-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                                    | Sandstone Peak Ltd.                                                                    | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $599824.80    | 0.05%             | 2034-10-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Saranac CLO VI Limited                                                                 | Saranac CLO VI Limited                                                                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | US        |      419208 | PA      | $419447.39    | 0.04%             | 2031-08-13      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-3                                                    | Saxon Asset Securities Trust 2004-3                                                    | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1717483.20   | 0.15%             | 2037-11-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2007-3                                                    | Saxon Asset Securities Trust 2007-3                                                    | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      254065 | PA      | $244220.44    | 0.02%             | 2047-09-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXVII Ltd                                                                 | Sculptor CLO XXVII Ltd                                                                 | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      900000 | PA      | $899550.00    | 0.08%             | 2034-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE1                                | Securitized Asset Backed Receivables LLC Trust 2006-HE1                                | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2485773 | PA      | $828706.05    | 0.07%             | 2036-07-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2                                | Securitized Asset Backed Receivables LLC Trust 2006-HE2                                | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350374 | PA      | $133006.45    | 0.01%             | 2036-07-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| U.S. Small Business Administration                                                     | U.S. Small Business Administration                                                     | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       34507 | PA      | $34591.19     | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd                                                                 | Sound Point CLO IX Ltd                                                                 | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |     1009958 | PA      | $1010938.67   | 0.09%             | 2032-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                             | Sound Point CLO IV-R, Ltd.                                                             | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |      142572 | PA      | $142572.42    | 0.01%             | 2031-04-18      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2007-OPT1                                                    | Soundview Home Loan Trust 2007-OPT1                                                    | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1274190 | PA      | $881416.87    | 0.08%             | 2037-06-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVIII, Ltd                                                            | Sound Point CLO XXVIII, Ltd                                                            | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      873810 | PA      | $873886.14    | 0.08%             | 2032-01-26      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                                | Structured Asset Securities Corporation                                                | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40744 | PA      | $39209.97     | 0.00%             | 2034-02-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Inc.                                          | Structured Asset Mortgage Investments II Inc.                                          | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3318 | PA      | $3132.19      | 0.00%             | 2034-10-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage-Backed Trust Series 2006-4                                                | TBW Mortgage-Backed Trust Series 2006-4                                                | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      473176 | PA      | $13474.45     | 0.00%             | 2036-09-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR Ltd                                                                 | TCW CLO 2019-1 AMR Ltd                                                                 | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $600766.20    | 0.05%             | 2034-08-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 Issuer, Ltd.                                                             | TRTX 2022-FL5 Issuer, Ltd.                                                             | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      265121 | PA      | $265028.26    | 0.02%             | 2039-02-17      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Wind River 2014-1 CLO Ltd.                                                             | Wind River 2014-1 CLO Ltd.                                                             | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | US        |       18174 | PA      | $18175.57     | 0.00%             | 2031-07-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                    | Thornburg Mortgage Securities Trust                                                    | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33219 | PA      | $32539.12     | 0.00%             | 2045-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| St. Paul's CLO II Designated Activity Company                                          | St. Paul's CLO II Designated Activity Company                                          | CUSIP: N/A<br>LEI: 549300HFD82A7GIR1V82       | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $702316.32    | 0.06%             | 2035-10-25      | Variable      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Voya Euro CLO IV Designated Activity Company                                           | Voya Euro CLO IV Designated Activity Company                                           | CUSIP: N/A<br>LEI: 549300H0DM0Z0GCEKC77       | Long             | ABS-CBDO         | CORP              | IE        |     1600000 | PA      | $1876903.21   | 0.17%             | 2034-10-15      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | GB        |      100000 | PA      | $140868.17    | 0.01%             | 2027-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                                | Segretariato Generale Della Presidenza Della Repubblica                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |      800000 | PA      | $974685.11    | 0.09%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Gouvernement De France                                                                 | Gouvernement De France                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |      100000 | PA      | $118180.93    | 0.01%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |      100000 | PA      | $132666.69    | 0.01%             | 2029-03-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Credicorp Capital Sociedad Titularizada S.A.                                           | Credicorp Capital Sociedad Titularizada S.A.                                           | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      700000 | PA      | $201750.18    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding V CLO, Ltd.                                                              | Cedar Funding V CLO, Ltd.                                                              | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | US        |      397031 | PA      | $397527.03    | 0.04%             | 2031-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007-A1                                            | Chase Mortgage Finance Trust Series 2007-A1                                            | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6584 | PA      | $6358.46      | 0.00%             | 2037-02-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-1                                                 | CHL Mortgage Pass-Through Trust 2007-1                                                 | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      698362 | PA      | $321514.90    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        4040 | PA      | $3969.21      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-CBDO         | CORP              | US        |     3422000 | PA      | $3129843.33   | 0.28%             | 2035-10-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GTK4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       17572 | PA      | $18049.23     | 0.00%             | 2035-08-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        3154 | PA      | $3105.55      | 0.00%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                     | Citigroup Mortgage Loan Trust Inc.                                                     | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        2253 | PA      | $2216.47      | 0.00%             | 2035-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2006-AMC1                                                | Citigroup Mortgage Loan Trust 2006-AMC1                                                | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1205904 | PA      | $1174279.64   | 0.11%             | 2036-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR4                                                 | Citigroup Mortgage Loan Trust 2007-AR4                                                 | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      793489 | PA      | $688621.58    | 0.06%             | 2037-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC2                                                | Citigroup Mortgage Loan Trust 2007-AMC2                                                | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       40341 | PA      | $29069.84     | 0.00%             | 2037-01-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC3                                                | Citigroup Mortgage Loan Trust 2007-AMC3                                                | CUSIP: 17312EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      917710 | PA      | $784817.35    | 0.07%             | 2037-03-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Series 2007 AHL3                                         | Citigroup Mortgage Loan Trust Series 2007 AHL3                                         | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       82738 | PA      | $57229.81     | 0.01%             | 2045-07-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC4                                                | Citigroup Mortgage Loan Trust 2007-AMC4                                                | CUSIP: 17313BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1200000 | PA      | $1104718.68   | 0.10%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-10                                                  | Citigroup Mortgage Loan Trust 2007-10                                                  | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      206101 | PA      | $192478.47    | 0.02%             | 2037-09-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -16600000 | PA      | $-15078991.80 | -1.36%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                                                          | Crestline Denali CLO XV, Ltd.                                                          | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | US        |       53621 | PA      | $53629.48     | 0.00%             | 2030-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-1T1                                                        | Alternative Loan Trust 2007-1T1                                                        | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2178755 | PA      | $751446.19    | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dryden 64 CLO, Ltd.                                                                    | Dryden 64 CLO, Ltd.                                                                    | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      294687 | PA      | $295124.21    | 0.03%             | 2031-04-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO 2022-16 Ltd                                                              | Elevation CLO 2022-16 Ltd                                                              | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $597456.60    | 0.05%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128JRN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       13629 | PA      | $13974.37     | 0.00%             | 2036-10-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       39550 | PA      | $40432.03     | 0.00%             | 2036-07-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       10616 | PA      | $10838.57     | 0.00%             | 2036-09-01      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                    | Thornburg Mortgage Securities Trust                                                    | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1529804 | PA      | $1267401.36   | 0.11%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-HY3                                                     | Towd Point Mortgage Trust 2019-HY3                                                     | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      319734 | PA      | $323439.05    | 0.03%             | 2027-07-25      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Tralee CLO VII Ltd                                                                     | Tralee CLO VII Ltd                                                                     | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1400000 | PA      | $1400722.40   | 0.13%             | 2034-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIX Ltd                                                                   | Trinitas CLO XIX Ltd                                                                   | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1600000 | PA      | $1597334.40   | 0.14%             | 2033-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                       | Gobierno Federal de los Estados Unidos Mexicanos                                       | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |      300000 | PA      | $303983.70    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                       | Gobierno Federal de los Estados Unidos Mexicanos                                       | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | US        |      300000 | PA      | $304701.90    | 0.03%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20613000 | PA      | $43455032.43  | 3.91%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7353000 | PA      | $15656757.12  | 1.41%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      260000 | PA      | $420345.58    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9685000 | PA      | $15009936.59  | 1.35%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11697000 | PA      | $18176277.10  | 1.63%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11500000 | PA      | $16822275.82  | 1.51%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6080000 | PA      | $8701552.11   | 0.78%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13460000 | PA      | $14805764.24  | 1.33%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3940000 | PA      | $4076511.54   | 0.37%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    18850000 | PA      | $21743019.51  | 1.96%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22734000 | PA      | $22568395.81  | 2.03%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17750000 | PA      | $18170907.09  | 1.63%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Dryden 44 Euro CLO 2015 B.V.                                                           | Dryden 44 Euro CLO 2015 B.V.                                                           | CUSIP: N/A<br>LEI: 724500Y7W6D0XWW63V58       | Long             | ABS-CBDO         | CORP              | IE        |      500000 | PA      | $587085.89    | 0.05%             | 2034-04-17      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Bosphorus CLO VI Designated Activity Company                                           | Bosphorus CLO VI Designated Activity Company                                           | CUSIP: N/A<br>LEI: 6354003QOK8LLEWEMR90       | Long             | ABS-CBDO         | CORP              | IE        |     5500000 | PA      | $6439344.38   | 0.58%             | 2034-05-25      | Floating      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Man GLG Euro CLO V Designated Activity Company                                         | Man GLG Euro CLO V Designated Activity Company                                         | CUSIP: N/A<br>LEI: 635400WPMITSRLC5LX57       | Long             | ABS-CBDO         | CORP              | IE        |      173918 | PA      | $204206.86    | 0.02%             | 2031-12-15      | Floating      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |      240000 | PA      | $282354.77    | 0.03%             | 2026-10-13      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Arbour CLO VI Designated Activity Company                                              | Arbour CLO VI Designated Activity Company                                              | CUSIP: N/A<br>LEI: 635400HEJB8VLV1GBH66       | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1176957.64   | 0.11%             | 2037-11-15      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Henley CLO VII Designated Activity Company                                             | Henley CLO VII Designated Activity Company                                             | CUSIP: N/A<br>LEI: 635400SRJSVJPTMR4D89       | Long             | ABS-CBDO         | CORP              | IE        |     1200000 | PA      | $1412694.07   | 0.13%             | 2034-04-25      | Floating      | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                                       | Gobierno Federal de los Estados Unidos Mexicanos                                       | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     2464390 | PA      | $123577.91    | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16298382 | PA      | $14793379.99  | 1.33%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    21298300 | PA      | $19331602.20  | 1.74%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                           | GS Mortgage Securities Corp.                                                           | CUSIP: 362334ND2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |      210514 | PA      | $113297.61    | 0.01%             | 2046-03-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16142000 | PA      | $15504753.91  | 1.39%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7200000 | PA      | $6872968.10   | 0.62%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4640000 | PA      | $4283478.19   | 0.39%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8700000 | PA      | $6287342.57   | 0.57%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11070000 | PA      | $7410361.65   | 0.67%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5300000 | PA      | $3255167.70   | 0.29%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5800000 | PA      | $4953161.56   | 0.45%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13200000 | PA      | $12621416.16  | 1.13%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8000000 | PA      | $7862920.52   | 0.71%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    33200000 | PA      | $42943553.72  | 3.86%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    40402000 | PA      | $51538289.12  | 4.63%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17510000 | PA      | $22926626.03  | 2.06%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20320000 | PA      | $25643946.68  | 2.31%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7000000 | PA      | $8232229.67   | 0.74%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15400000 | PA      | $18088141.03  | 1.63%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16850000 | PA      | $19222815.07  | 1.73%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17400000 | PA      | $21043264.46  | 1.89%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8550000 | PA      | $9412416.87   | 0.85%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22900000 | PA      | $26566766.70  | 2.39%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29300000 | PA      | $30719599.07  | 2.76%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9700000 | PA      | $10786750.90  | 0.97%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    79400000 | PA      | $81741269.37  | 7.35%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20500000 | PA      | $22467158.42  | 2.02%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    38600000 | PA      | $39699239.22  | 3.57%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13900000 | PA      | $14832369.48  | 1.33%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    47800000 | PA      | $49004132.80  | 4.41%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37400000 | PA      | $40621047.21  | 3.65%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    43400000 | PA      | $44887517.44  | 4.04%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10700000 | PA      | $11391305.93  | 1.02%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    32300000 | PA      | $33056733.20  | 2.97%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10121859 | PA      | $10132534.52  | 0.91%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25200000 | PA      | $26000753.40  | 2.34%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28300000 | PA      | $29235537.73  | 2.63%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      508800 | PA      | $517087.89    | 0.05%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                                  | Treasury, United States Department of                                                  | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28000000 | PA      | $28408788.13  | 2.55%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Venture XXVIII CLO, Limited                                                            | Venture XXVIII CLO, Limited                                                            | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | US        |      233620 | PA      | $233705.79    | 0.02%             | 2030-07-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd                                                                     | Vibrant CLO XI Ltd                                                                     | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      882210 | PA      | $880675.45    | 0.08%             | 2032-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                                             | VMware LLC                                                                             | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198260.80    | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2012-4, Ltd.                                                                  | Voya CLO 2012-4, Ltd.                                                                  | CUSIP: 92916GBE3<br>LEI: 54930043I9VQ10YJ1Z07 | Long             | ABS-CBDO         | CORP              | US        |      115888 | PA      | $115911.05    | 0.01%             | 2030-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2013-1, Ltd.                                                                  | Voya CLO 2013-1, Ltd.                                                                  | CUSIP: 92917CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      114789 | PA      | $114863.48    | 0.01%             | 2030-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2019-2 Ltd                                                                    | Voya CLO 2019-2 Ltd                                                                    | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      451693 | PA      | $451472.44    | 0.04%             | 2032-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                         | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29663 | PA      | $28263.72     | 0.00%             | 2033-06-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                          | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22043 | PA      | $20680.62     | 0.00%             | 2035-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                          | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14028 | PA      | $13277.44     | 0.00%             | 2033-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR9 Trust                         | WaMu Mortgage Pass-Through Certificates, Series 2006-AR9 Trust                         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      625025 | PA      | $592735.41    | 0.05%             | 2046-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                          | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                          | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133495 | PA      | $114909.96    | 0.01%             | 2047-05-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                            | Washington Mutual Mortgage Securities Corp.                                            | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13562 | PA      | $13224.97     | 0.00%             | 2033-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Grifonas Finance No.1 PLC                                                              | Grifonas Finance No.1 PLC                                                              | CUSIP: N/A<br>LEI: 2138001BQMIKJQ4HNR60       | Long             | ABS-MBS          | CORP              | GR        |      253186 | PA      | $289776.73    | 0.03%             | 2039-08-28      | Floating      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                               | Eurosail-UK 2007-3BL PLC                                                               | CUSIP: 29880YAG4<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      224286 | PA      | $306733.07    | 0.03%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                               | Eurosail-UK 2007-3BL PLC                                                               | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |       77156 | PA      | $105412.19    | 0.01%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain EUR CLO 2016-1 DAC                                                        | BlueMountain EUR CLO 2016-1 DAC                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |       54292 | PA      | $63947.43     | 0.01%             | 2032-04-26      | Floating      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Adagio CLO VIII Designated Activity Company                                            | Adagio CLO VIII Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400GXSZ7DMJYBSH11       | Long             | ABS-CBDO         | CORP              | IE        |      871151 | PA      | $1023094.33   | 0.09%             | 2032-04-15      | Floating      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| Contego CLO IV Designated Activity Company                                             | Contego CLO IV Designated Activity Company                                             | CUSIP: N/A<br>LEI: 635400H7QVHLSOZWVU92       | Long             | ABS-CBDO         | CORP              | DE        |      497073 | PA      | $581952.56    | 0.05%             | 2030-01-23      | Floating      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| Harvest CLO XXI Designated Activity Company                                            | Harvest CLO XXI Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400UREZHY9PWJR290       | Long             | ABS-CBDO         | CORP              | IE        |      446229 | PA      | $525001.92    | 0.05%             | 2031-07-15      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Providus CLO IV Designated Activity Company                                            | Providus CLO IV Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400JHNUBVSY8RBH70       | Long             | ABS-CBDO         | CORP              | IE        |     1900000 | PA      | $2228079.52   | 0.20%             | 2034-04-20      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Dryden 52 Euro Clo 2017 B.V. In Liquidatie                                             | Dryden 52 Euro Clo 2017 B.V. In Liquidatie                                             | CUSIP: N/A<br>LEI: 7245003CHF6RJ8GWXX63       | Long             | ABS-CBDO         | CORP              | IE        |      288051 | PA      | $338292.47    | 0.03%             | 2034-05-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO 2019-1 Designated Activity Company                                   | Black Diamond CLO 2019-1 Designated Activity Company                                   | CUSIP: N/A<br>LEI: 549300I3ISWDFTMO5713       | Long             | ABS-CBDO         | CORP              | IE        |      223454 | PA      | $263048.93    | 0.02%             | 2032-05-15      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Toro European CLO 7 Designated Activity Company                                        | Toro European CLO 7 Designated Activity Company                                        | CUSIP: N/A<br>LEI: 635400B4VLIGNRNR9O61       | Long             | ABS-CBDO         | CORP              | IE        |     1775280 | PA      | $2079851.64   | 0.19%             | 2034-02-15      | Floating      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Hayfin Emerald CLO XII Designated Activity Company                                     | Hayfin Emerald CLO XII Designated Activity Company                                     | CUSIP: N/A<br>LEI: 635400BXG1TVMV17VA90       | Long             | ABS-CBDO         | CORP              | XX        |     3300000 | PA      | $3891031.08   | 0.35%             | 2037-10-25      | Floating      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2024-2 Designated Activity Company                 | Palmer Square European Loan Funding 2024-2 Designated Activity Company                 | CUSIP: N/A<br>LEI: 254900G4AVDGFB7U1712       | Long             | ABS-CBDO         | CORP              | IE        |     1414618 | PA      | $1657947.17   | 0.15%             | 2034-05-15      | Floating      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2023-3 Designated Activity Company                 | Palmer Square European Loan Funding 2023-3 Designated Activity Company                 | CUSIP: N/A<br>LEI: 54930004WJL9ZPQZOM50       | Long             | ABS-CBDO         | CORP              | IE        |      700978 | PA      | $825938.23    | 0.07%             | 2033-05-15      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2024-1 Designated Activity Company                 | Palmer Square European Loan Funding 2024-1 Designated Activity Company                 | CUSIP: N/A<br>LEI: 254900S9D49Z2X16W073       | Long             | ABS-CBDO         | CORP              | IE        |     1479789 | PA      | $1744356.32   | 0.16%             | 2033-08-15      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Tikehau CLO IV B.V.                                                                    | Tikehau CLO IV B.V.                                                                    | CUSIP: N/A<br>LEI: 7245009T7YHKKD7TOT65       | Long             | ABS-CBDO         | CORP              | IE        |      559869 | PA      | $659168.46    | 0.06%             | 2031-10-15      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1501000000 | PA      | $12126937.41  | 1.09%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                 | Credit Suisse Group AG                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |      100000 | PA      | $116028.14    | 0.01%             | 2027-06-24      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                                | Segretariato Generale Della Presidenza Della Repubblica                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     1700000 | PA      | $2412970.04   | 0.22%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                                    | Cabinet Office, Government of Japan                                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1596000000 | PA      | $12861173.74  | 1.16%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company           | Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company           | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |      654828 | PA      | $769449.87    | 0.07%             | 2031-11-15      | Floating      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Oak Hill European Credit Partners VII Designated Activity Company                      | Oak Hill European Credit Partners VII Designated Activity Company                      | CUSIP: N/A<br>LEI: 5493002IYTC83ODTTK84       | Long             | ABS-CBDO         | CORP              | IE        |      835006 | PA      | $982612.13    | 0.09%             | 2031-10-20      | Floating      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| CIFC European Funding CLO III Designated Activity Company                              | CIFC European Funding CLO III Designated Activity Company                              | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4711807.31   | 0.42%             | 2034-01-15      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| St.Paul's CLO X Designated Activity Company                                            | St.Paul's CLO X Designated Activity Company                                            | CUSIP: N/A<br>LEI: 635400814HPIBD5YSW07       | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $703714.31    | 0.06%             | 2035-04-23      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Republique Francaise Presidence                                                        | Republique Francaise Presidence                                                        | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    10500000 | PA      | $14978407.15  | 1.35%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Republique Francaise Presidence                                                        | Republique Francaise Presidence                                                        | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     2000000 | PA      | $2745847.42   | 0.25%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    17100000 | PA      | $17081956.08  | 1.54%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    39800000 | PA      | $40411005.62  | 3.63%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 01F062689<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    19000000 | PA      | $19584846.60  | 1.76%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     3114495 | PA      | $3104396.64   | 0.28%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HKKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1332625 | PA      | $1329658.91   | 0.12%             | 2055-03-25      | Floating      | 5.46%                 | No            |                  3 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       79455 | PA      | $71990.67     | 0.01%             | 2044-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | IN        |      658322 | PA      | $25.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | SINGAPORE DOLLAR                                                                       | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | SG        |     6671374 | PA      | $88042.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      101047 | PA      | $-955.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | EURO DOLLAR                                                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |    48166911 | PA      | $859810.59    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | TW        |    11658345 | PA      | $41137.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | KR        |  1132780167 | PA      | $16091.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      749092 | PA      | $-91331.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      587056 | PA      | $-6486.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | IN        |    85281933 | PA      | $-1056.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      872263 | PA      | $-56308.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      553885 | PA      | $-6885.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | PL        |       50526 | PA      | $310.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     1001924 | PA      | $-6050.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    14529882 | PA      | $-124999.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |    55878433 | PA      | $-869790.47   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PL        |     8960844 | PA      | $68311.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      775584 | PA      | $-89437.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     2893400 | PA      | $-1465.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      858009 | PA      | $-2043.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |       27520 | PA      | $106.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     1226500 | PA      | $-1669.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |        2658 | PA      | $-2.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | TW        |    19507276 | PA      | $10389.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | PL        |      163549 | PA      | $1713.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | TW        |     2565253 | PA      | $1679.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | NEW ZEALAND DOLLAR                                                                     | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | NZ        |      761478 | PA      | $5901.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     6696714 | PA      | $-122021.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | EURO DOLLAR                                                                            | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      856000 | PA      | $4652.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      962843 | PA      | $-5624.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PL        |     1757284 | PA      | $19550.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |    54065781 | PA      | $-1944841.06  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |    14523168 | PA      | $-140245.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       73108 | PA      | $-2942.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |     5877504 | PA      | $-18733.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      558371 | PA      | $-5061.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | PL        |     8477933 | PA      | $49859.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |       12835 | PA      | $-376.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      635247 | PA      | $-2579.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      298566 | PA      | $-2227.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      601503 | PA      | $-17045.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |      476751 | PA      | $-1299.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |    85491549 | PA      | $-157.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | ZA        |     3799752 | PA      | $1644.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      647057 | PA      | $-11389.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        | 15687027329 | PA      | $4183.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    84921088 | PA      | $4524.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      158834 | PA      | $-2307.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      405445 | PA      | $-39399.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      186741 | PA      | $-23743.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |        9636 | PA      | $-73.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | SINGAPORE DOLLAR                                                                       | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | SG        |     1328745 | PA      | $14829.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      150078 | PA      | $-4940.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       14257 | PA      | $-1719.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | BR        |     1554876 | PA      | $7552.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      685529 | PA      | $-78841.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | IN        |    98817229 | PA      | $12904.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | BR        |     3265235 | PA      | $42915.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | BR        |     1625372 | PA      | $7793.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      760550 | PA      | $-85383.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      596921 | PA      | $-11814.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | ID        | 63047319992 | PA      | $22255.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      160085 | PA      | $-2162.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      489738 | PA      | $-3684.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      390093 | PA      | $-1692.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      195510 | PA      | $-1449.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      752770 | PA      | $-93513.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | ISRAELI SHEKEL                                                                         | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | IL        |     2896813 | PA      | $2013.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      991723 | PA      | $-11296.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | EURO DOLLAR                                                                            | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      855701 | PA      | $6246.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      769170 | PA      | $-22253.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        |   635607110 | PA      | $82.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      490422 | PA      | $-5164.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      333483 | PA      | $-2234.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | IN        |   110212286 | PA      | $11245.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |     7555848 | PA      | $-98832.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       90000 | PA      | $-1010.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      146216 | PA      | $-5844.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    84455968 | PA      | $-2483.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     2051548 | PA      | $-20999.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    89977693 | PA      | $4196.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | NORWEGIAN KRONE                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | NO        |      276305 | PA      | $-107.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      772593 | PA      | $-87556.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | EURO DOLLAR                                                                            | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      532000 | PA      | $22971.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |      123375 | PA      | $-8067.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | BRITISH POUND STERLING                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | GB        |     2296000 | PA      | $27751.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     3500941 | PA      | $-24442.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |      972926 | PA      | $631.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      354325 | PA      | $-2404.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | TW        |     2057621 | PA      | $1287.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | BR        |      771790 | PA      | $2053.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     3123961 | PA      | $-27643.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |    10781433 | PA      | $7139.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      136463 | PA      | $-385.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |       53071 | PA      | $-698.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |       81201 | PA      | $-978.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |     3827591 | PA      | $-19615.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        |  2072399158 | PA      | $299.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      346630 | PA      | $-3024.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     6304156 | PA      | $-83797.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |       23044 | PA      | $-410.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | ID        |  9942039916 | PA      | $2644.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      674849 | PA      | $-78260.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | BRITISH POUND STERLING                                                                 | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | GB        |     2296000 | PA      | $58478.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      551324 | PA      | $-5977.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | KR        |   775822051 | PA      | $11078.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |     1316661 | PA      | $-37982.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     1147810 | PA      | $-444.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | SINGAPORE DOLLAR                                                                       | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | SG        |      382314 | PA      | $2113.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      169491 | PA      | $-658.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    84573188 | PA      | $-1159.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | BR        |    74426750 | PA      | $1169218.18   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      893434 | PA      | $-111049.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |       90266 | PA      | $-292.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |     1296547 | PA      | $-266.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | JAPANESE YEN                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | JP        |  1931452800 | PA      | $32055.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    85043327 | PA      | $1928.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |      580606 | PA      | $-66694.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |      263089 | PA      | $-206.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | JAPANESE YEN                                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | JP        |    13036585 | PA      | $262.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      745414 | PA      | $-87373.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | TW        |      854920 | PA      | $553.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |    48457850 | PA      | $1947.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      600923 | PA      | $-11560.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | TW        |     8083523 | PA      | $4998.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |     6818336 | PA      | $6273.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      446472 | PA      | $-54243.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      329472 | PA      | $-3261.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | SINGAPORE DOLLAR                                                                       | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | SG        |      173949 | PA      | $343.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale Bannon, LLC                                                           | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    13380345 | PA      | $-36614.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     8418417 | PA      | $23003.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     3718286 | PA      | $-196244.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      454138 | PA      | $-10020.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |    68809912 | PA      | $-25820.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |     1572940 | PA      | $-9123.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |      101654 | PA      | $196.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | ID        |   144014347 | PA      | $16.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | IN        |   110628947 | PA      | $13161.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      844057 | PA      | $-24469.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      173224 | PA      | $-3818.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | BRAZILIAN REAL                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | BR        |    61874938 | PA      | $150306.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | SWISS FRANC                                                                            | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | CH        |     2796202 | PA      | $23164.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |       22311 | PA      | $-765.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | TAIWAN NEW DOLLAR                                                                      | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TW        |     6449303 | PA      | $24676.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | AUSTRALIAN DOLLAR                                                                      | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | AU        |     9699000 | PA      | $82928.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | MEXICAN PESO                                                                           | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | MX        |    43276249 | PA      | $54741.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | SINGAPORE DOLLAR                                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | SG        |      250331 | PA      | $1368.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co.                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DFE              | CORP              | US        |    10973263 | PA      | $-160364.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Banking Group LTD.                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: HZSN7FQBPO5IEWYIGC72       | N/A              | DFE              | CORP              | US        |      458755 | PA      | $-5939.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |      473701 | PA      | $1210.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |       81617 | PA      | $-438.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      522355 | PA      | $-6823.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |     5591936 | PA      | $-118833.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |      192668 | PA      | $-4886.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | KR        |   501522230 | PA      | $7185.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |      605326 | PA      | $-73324.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |   111448215 | PA      | $16482.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | JAPANESE YEN                                                                           | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | JP        |    68819006 | PA      | $1142.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | ID        | 32761755264 | PA      | $11982.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | NORWEGIAN KRONE                                                                        | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | NO        |     2653796 | PA      | $200.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     4934742 | PA      | $-44166.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDIAN RUPEE                                                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | IN        |    85485331 | PA      | $-285.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |       95604 | PA      | $-2221.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | ID        |   323551744 | PA      | $38.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 8NAV47T0Y26Q87Y0QP81       | N/A              | DFE              | CORP              | US        |       54716 | PA      | $-751.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     5158811 | PA      | $-90238.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | CANADIAN DOLLAR                                                                        | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | CA        |    19963546 | PA      | $137046.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |      803000 | PA      | $-96524.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |        3514 | PA      | $-78.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     1201233 | PA      | $-137539.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     3057325 | PA      | $3362.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |     3291373 | PA      | $4010.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      767047 | PA      | $-93099.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |     1675313 | PA      | $-4528.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                                    | SOUTH KOREAN WON                                                                       | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | KR        |   110688499 | PA      | $432.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | US        |          64 | PA      | $-1.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      119502 | PA      | $-1040.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       97943 | PA      | $-1783.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | POLISH ZLOTY                                                                           | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | PL        |     1256317 | PA      | $12964.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      605759 | PA      | $-2654.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | SOUTH AFRICAN RAND                                                                     | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | ZA        |     3291391 | PA      | $4010.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | US        |      405439 | PA      | $-1290.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                            | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |     1008676 | PA      | $-125442.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Alex Brown Inc.                                                          | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | ID        |  1403319720 | PA      | $196.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | INDONESIAN RUPIAH                                                                      | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | ID        |   467669801 | PA      | $59.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |      670463 | PA      | $-77361.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                                 | THAI BAHT                                                                              | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | TH        |     3275280 | PA      | $863.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                                         | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      775481 | PA      | $-88521.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                                | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     1030192 | PA      | $-15292.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Securities, Inc.                                                                  | UNITED STATES DOLLAR                                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              | CORP              | US        |     3231092 | PA      | $-115359.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                             | JAPANESE YEN                                                                           | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | JP        |  1101944872 | PA      | $96281.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |   -51900000 | PA      | $-503326.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |   -51900000 | PA      | $-324901.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |    -4200000 | PA      | $-29039.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                           | SWAPTION INTEREST RATE                                                                 | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | XX        |    -4200000 | PA      | $-79288.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -57 | NC      | $12172.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                  | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |        -851 | NC      | $-441098.72   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                              | FUTURE - CASH SETTLED                                                                  | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |         851 | NC      | $532336.60    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -328 | NC      | $-323282.38   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         255 | NC      | $111799.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                                                              | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |           3 | NC      | $8376.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -323 | NC      | $345912.95    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         362 | NC      | $-223262.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -623 | NC      | $669920.95    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |    60000000 | PA      | $5803.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   792690000 | PA      | $99118.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |       10000 | PA      | $-10.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     4600000 | PA      | $2263621.78   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    13300000 | PA      | $6705780.69   | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    21700000 | PA      | $3533007.86   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  1400000000 | PA      | $83299.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    79790000 | PA      | $-523766.74   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  1021000000 | PA      | $181670.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    50860000 | PA      | $-2171380.73  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    10490000 | PA      | $3549272.62   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                                            | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     7700000 | PA      | $377152.86    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    46200000 | PA      | $492078.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   153490000 | PA      | $-343164.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    34640000 | PA      | $2210943.19   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    16700000 | PA      | $-41724.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     7700000 | PA      | $-113344.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    15700000 | PA      | $59789.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    19300000 | PA      | $47340.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    29167000 | PA      | $-412161.43   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED IRS                                                                   | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    15430000 | PA      | $-296212.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    13700000 | PA      | $28065.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1100000 | PA      | $7926.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     8500000 | PA      | $-59185.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     7900000 | PA      | $-832170.12   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     8920000 | PA      | $-1802873.76  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      410000 | PA      | $-31445.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5600000 | PA      | $-15518.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     2400000 | PA      | $45344.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $-6450.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    13330000 | PA      | $-81788.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3700000 | PA      | $644552.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4500000 | PA      | $752354.05    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2700000 | PA      | $40811.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      570000 | PA      | $-1790.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1400000 | PA      | $174968.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8700000 | PA      | $1035929.53   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     6500000 | PA      | $629939.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      900000 | PA      | $88956.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |      800000 | PA      | $63518.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     1900000 | PA      | $134948.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    14500000 | PA      | $-2514432.62  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      800000 | PA      | $123509.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3000000 | PA      | $283023.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     3300000 | PA      | $-2617.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5600000 | PA      | $12429.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1700000 | PA      | $224320.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      900000 | PA      | $121623.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      800000 | PA      | $24109.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |      300000 | PA      | $8922.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     5000000 | PA      | $-12326.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1300000 | PA      | $186487.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    16800000 | PA      | $2042428.45   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    21600000 | PA      | $-139555.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8400000 | PA      | $-40972.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     6100000 | PA      | $-904753.06   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     5800000 | PA      | $105156.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     9100000 | PA      | $-38483.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     5400000 | PA      | $-16342.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     2000000 | PA      | $183086.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    10040000 | PA      | $-1163453.17  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     8700000 | PA      | $-939636.54   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     1000000 | PA      | $60301.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     4850000 | PA      | $480738.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                           | EXCHANGE CLEARED INFLATION INDEXED SWAP                                                | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     2200000 | PA      | $-487393.19   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    50000000 | PA      | $135888.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    50000000 | PA      | $812018.85    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    25000000 | PA      | $88525.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                         | TOTAL RETURN SWAP                                                                      | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |    30000000 | PA      | $382388.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -1062 | NC      | $-880121.75   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -164 | NC      | $-261175.26   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                                         | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          77 | NC      | $-202971.38   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -217 | NC      | $-899873.31   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         134 | NC      | $332188.51    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         105 | NC      | $426700.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                                         | FUTURE - CASH SETTLED                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         225 | NC      | $134437.42    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer