# EDGAR Filing Document

**Accession Number:** 0000875186
**File Stem:** 0001003715-26-001533
**Filing Date:** 2026-4
**Character Count:** 133389
**Document Hash:** e44b63cabf86fc12d7c7fd9f7601c421
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001003715-26-001533.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001003715-26-001533

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY PATHWAY FUNDS
- **CENTRAL INDEX KEY:** 0000875186

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06318
- **FILM NUMBER:** 26897370

**BUSINESS ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577
- **BUSINESS PHONE:** 8883749999

**MAIL ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CONSULTING GROUP CAPITAL MARKETS FUNDS
- **DATE OF NAME CHANGE:** 19950125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUST FOR TRAK INVESTMENTS
- **DATE OF NAME CHANGE:** 19920929

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSTITUTIONAL ADVISORS PORTFOLIOS
- **DATE OF NAME CHANGE:** 19600201

## Series and Classes Contracts Data

### Inflation-Linked Fixed Income Fund (Series ID: S000052236)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000164312 | Inflation-Linked Fixed Income Fund | TILUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY PATHWAY FUNDS

- **b. Investment Company Act file number:** 811-06318

- **c. CIK number of Registrant:** 0000875186

- **d. LEI of Registrant:** 549300P3RUTI9W6SLI87

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

  - **Street Address 1:** 2000 Westchester Avenue

  - **City:** Purchase

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10577

  - **Telephone number:** 888-454-3965

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

- **a. Name of Series:** Inflation-Linked Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000052236

- **c. LEI of Series:** 549300Y5STFD97ES4K03

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $217029945.78

**Total Liabilities:** $73236257.66

**Net Assets:** $143793688.12

**Cash Not Reported:** $3938452.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -104.82318308 | **1-Year:** -1837.28727016 | **5-Year:** -3597.67524573 | **10-Year:** -4746.86001633 | **30-Year:** -1531.62721866

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

- **3-Month:** -9.66683854 | **1-Year:** -241.55914382 | **5-Year:** -519.85748305 | **10-Year:** -450.58237928 | **30-Year:** -35.94592123

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000164312 | -0.33%               | 0.48%                | 1.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-106161.75              | $-1102841.31                               |
| Month 2  | $-215137.11              | $1492639.28                                |
| Month 3  | $-265679.68              | $2187868.50                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** SEC_PORT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNCL 30YR TBA 4.0% MARCH 26         | FNCL 30YR TBA 4.0% MARCH 26    TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2236350.56   | 1.56%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% MAR 26           | FNMA 30YR TBA 4.5% MAR 26      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7800000 | PA      | $7716256.24   | 5.37%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% APR 26           | FNMA 30YR TBA 6.5% APR 26      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2078439.70   | 1.45%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2006-HY11  V/R 06/25/36       | ALTERNATIVE LOAN TRUST 2006-HY11 SER 2006-HY11 CL A1 V/R REGD 4.02821000                         | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134253 | PA      | $130783.01    | 0.09%             | 2036-06-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CWALT 2008-2R 1A V/R 08/25/37       | ALTERNATIVE LOAN TRUST RESECURITIZATION 2008-2R SER 2008-2R CL 1A1 V/R REGD 6.00000000           | CUSIP: 021482AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    327205 | PA      | $271385.77    | 0.19%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2007-4CB 1A 6% 04/25/37       | ALTERNATIVE LOAN TRUST 2007-4CB SER 2007-4CB CL 1A35 REGD 6.00000000                             | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22882 | PA      | $19646.24     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-3 3A2 V/R 05/25/33       | BEAR STEARNS ARM TRUST 2003-3 SER 2003-3 CL 3A2 V/R REGD 6.34434000                              | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7860 | PA      | $7490.74      | 0.01%             | 2033-05-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| BSABS 2004-1 M1 V/R 06/25/34        | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-1 SER 2004-1 CL M1 V/R REGD 4.76321000           | CUSIP: 07384YSY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64933 | PA      | $77494.75     | 0.05%             | 2034-06-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| BLUEM 2016-3A A1 V/R 11/15/30       | BLUEMOUNTAIN CLO 2016-3 LTD SER 2016-3A CL A1R2 V/R REGD 144A P/P 4.85253000                     | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32866 | PA      | $32893.31     | 0.02%             | 2030-11-15      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| BLUEM 2022-34A A V/R 04/20/35       | BLUEMOUNTAIN CLO XXXIV LTD SER 2022-34A CL AR V/R REGD 144A P/P 4.81763000                       | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700721.00    | 0.49%             | 2035-04-20      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| CBASS 2005-CB3 M V/R 06/25/35       | CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC SER 2005-CB3 CL M4 V/R REGD 4.83821000       | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113763 | PA      | $112027.59    | 0.08%             | 2035-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CBASS 2007-CB6 A V/R 07/25/37       | CREDIT-BASED ASSET SERVICING AND SECURITI SER 2007-CB6 CL A3 V/R REGD 144A P/P 4.00821000        | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    593820 | PA      | $402279.16    | 0.28%             | 2037-07-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| CWHL 2005-HYB9 2 V/R 02/20/36       | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 2A1 V/R REGD 6.44851000               | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34109 | PA      | $32546.39     | 0.02%             | 2036-02-20      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| CWL 2004-7 MV5 V/R 11/25/34         | CWABS ASSET-BACKED CERTIFICATES TRUST 2004-7 SER 2004-7 CL MV5 V/R REGD 5.51321000               | CUSIP: 126673EG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149011 | PA      | $138857.29    | 0.10%             | 2034-11-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-HYB6 2 V/R 10/20/35       | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB6 SER 2005-HYB6 CL 2A1 V/R REGD 4.65565300               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    370830 | PA      | $352417.61    | 0.25%             | 2035-10-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CWHL 2006-6 A4 6% 04/25/36          | CHL MORTGAGE PASS-THROUGH TRUST 2006-6 SER 2006-6 CL A4 REGD 6.00000000                          | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78146 | PA      | $37860.84     | 0.03%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWL 2007-6 1A V/R 09/25/37          | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-6 SER 2007-6 CL 1A V/R REGD 4.18821000                | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42724 | PA      | $40492.63     | 0.03%             | 2037-09-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| CWL 2007-8 1A1 V/R 11/25/37         | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-8 SER 2007-8 CL 1A1 V/R REGD 3.97821000               | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216177 | PA      | $210103.80    | 0.15%             | 2037-11-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260318 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2122.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | TWD/USD FWD 20260318 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $488.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | KRW/USD FWD 20260318 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-411.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | BRL/USD FWD 20260303 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-478.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260302 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7857.81      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | BRL/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1958.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260318 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12682.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260318 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260309 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2980.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260318 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-799.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260309 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6704.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260409 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1959.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260413 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10407.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | THB/USD FWD 20260312 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-226.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260415 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7141.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260318 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $112.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260325 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $228.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | TRY/USD FWD 20260327 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $18449.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260415 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $261.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260415 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1546.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260415 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $718.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260407 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-298.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260415 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1416.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | GBP/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-21.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260422 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12048.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260420 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $19167.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | EUR/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-812.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260407 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14459.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | GBP/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-9052.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | EUR/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $60460.56     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CHF/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $379.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | JPY/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $23813.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | EUR/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $116.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260407 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $82.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | BRL/USD FWD 20260505 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $39370.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | KRW/USD FWD 20260305 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $280.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260610 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $446.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260610 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $80.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | DKK/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $857.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | JPY/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $34367.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NOK/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-598.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CAD/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10135.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SGD/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1497.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SEK/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1606.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NZD/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13110.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | GBP/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $70449.07     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CNH/USD FWD 20260303 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-378.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260617 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $934.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NZD/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3364.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | AUD/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-15305.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SEK/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-711.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CAD/USD FWD 20260303 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5353.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260407 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $943.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NZD/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $659.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CHF/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3423.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | EUR/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-424.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260610 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260406 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1438.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NOK/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1047.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CNH/USD FWD 20260303 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SGD/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2639.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260413 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1958.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260305 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-112.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260305 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $50.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | KRW/USD FWD 20260305 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-384.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | THB/USD FWD 20260305 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1086.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260305 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-23.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260406 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2046.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260406 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-846.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | PLN/USD FWD 20260415 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-63.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260617 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2876.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | COP/USD FWD 20260318 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5556.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NZD/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-674.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260610 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1666.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IDR/USD FWD 20260312 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-41.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INR/USD FWD 20260312 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-159.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | KRW/USD FWD 20260312 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-237.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260610 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5651.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | USD/ZAR FWD 20260320 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6361.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | USD/ZAR FWD 20260320 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $588.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SGD/USD FWD 20260402 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2135.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | BRL/USD FWD 20260303 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $883.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | THB/USD FWD 20260319 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-126.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | TWD/USD FWD 20260324 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $79.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | THB/USD FWD 20260420 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | USD/ZAR FWD 20260320 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-290.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260610 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-67.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | ILS/USD FWD 20260610 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $332.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | COP/USD FWD 20260318 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4263.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | COP/USD FWD 20260916 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5402.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | GBP/USD FWD 20260402 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $8960.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | BRL/USD FWD 20260402 000005286 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1663.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | JPY/USD FWD 20260402 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1907.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SEK/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-960.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | SEK/USD FWD 20260402 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1001.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | TWD/USD FWD 20260331 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-35.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | THB/USD FWD 20260326 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-22.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | MXN/USD FWD 20260617 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $709.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | JPY/USD FWD 20260402 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1161.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NZD/USD FWD 20260402 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3467.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | DKK/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $131.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | DKK/USD FWD 20260407 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-141.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | NOK/USD FWD 20260407 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-81.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CAD/USD FWD 20260402 000005198 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5415.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CNH/USD FWD 20260402 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-32.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | CNH/USD FWD 20260303 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $20.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GO 0.5% 12/01/50/CAD/      | CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 0.50000000                                            | CUSIP: 135087G99<br>LEI: N/A                  | Long             | DBT              | UST               | CA        |     63478 | PA      | $36096.99     | 0.03%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN G 4.25% 12/01/26/CAD/      | CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 4.25000000                                            | CUSIP: 135087VS0<br>LEI: N/A                  | Long             | DBT              | UST               | CA        |    563616 | PA      | $425496.00    | 0.30%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CANYC 2020-1A AR V/R 07/15/34       | CANYON CLO 2020-1 LTD SER 2020-1A CL AR2 V/R REGD 144A P/P 4.75219000                            | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500335.00    | 0.35%             | 2034-07-15      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CCMFC 2004-A A1 V/R 03/25/35        | CHEVY CHASE FUNDING LLC MORTGAGE-BACKED SER 2004-A CL A1 V/R REGD 144A P/P 4.14821000            | CUSIP: 16678RBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13835 | PA      | $13950.17     | 0.01%             | 2035-03-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| CWHL 2007-1 A1 6% 03/25/37          | CHL MORTGAGE PASS-THROUGH TRUST 2007-1 SER 2007-1 CL A1 REGD 6.00000000                          | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116414 | PA      | $50514.55     | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2004-HYB2  V/R 03/25/34       | CITIGROUP MORTGAGE LOAN TRUST 2004-HYB2 SER 2004-HYB2 CL 2A V/R REGD 6.03485000                  | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2510 | PA      | $2346.47      | 0.00%             | 2034-03-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| CMLTI 2004-NCM2 5.5% 08/25/34       | CITIGROUP MORTGAGE LOAN TRUST INC SER 2004-NCM2 CL 1CB1 REGD 5.50000000                          | CUSIP: 17307GGX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11690 | PA      | $11717.24     | 0.01%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2007-AR4 1A1A V/R3/25/37      | CITIGROUP MORTGAGE LOAN TRUST_  INC SERIES 2007-AR4 CLASS 1A1A V/R REGD 4.53347300               | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95417 | PA      | $83200.26     | 0.06%             | 2037-03-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| CWL 2007-1 1A V/R 07/25/37          | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-1 SER 2007-1 CL 1A V/R REGD 4.06821000                | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199822 | PA      | $187131.17    | 0.13%             | 2037-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| ELAT 2007-1 A1 V/R 05/25/37         | ELLINGTON LOAN ACQUISITION TRUST 2007-1 SER 2007-1 CL A1 V/R REGD 144A P/P 4.88821000            | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    344964 | PA      | $340907.81    | 0.24%             | 2037-05-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#SD8225 3% 07/01/52           | FREDDIE MAC POOL UMBS P#SD8225 3.00000000                                                        | CUSIP: 3132DWD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81610 | PA      | $74018.28     | 0.05%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8409 6% 03/01/54           | FREDDIE MAC POOL UMBS P#SD8409 6.00000000                                                        | CUSIP: 3132DWKW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3169135 | PA      | $3259576.96   | 2.27%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QH2327 6.5% 10/01/53         | FREDDIE MAC POOL UMBS P#QH2327 6.50000000                                                        | CUSIP: 3133CESQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    296809 | PA      | $309448.84    | 0.22%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI9438 5% 07/01/54           | FREDDIE MAC POOL UMBS P#QI9438 5.00000000                                                        | CUSIP: 3133WGPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    292568 | PA      | $294523.76    | 0.20%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2025-47 FJ V/R 06/25/55         | FANNIE MAE REMICS SER 2025-47 CL FJ V/R 4.69721000                                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    633856 | PA      | $639496.15    | 0.44%             | 2055-06-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK2298 4% 03/01/50           | FANNIE MAE POOL UMBS P#BK2298 4.00000000                                                         | CUSIP: 3140HFRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31689 | PA      | $31233.20     | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV5578 3% 05/01/52           | FANNIE MAE POOL UMBS P#BV5578 3.00000000                                                         | CUSIP: 3140MKFU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80607 | PA      | $73129.90     | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5353 5.5% 05/01/54         | FANNIE MAE POOL UMBS P#MA5353 5.50000000                                                         | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1556464 | PA      | $1583820.19   | 1.10%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4599 3% 05/01/52           | FANNIE MAE POOL UMBS P#MA4599 3.00000000                                                         | CUSIP: 31418EDD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79194 | PA      | $71836.58     | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4784 4.5% 10/01/52         | FANNIE MAE POOL UMBS P#MA4784 4.50000000                                                         | CUSIP: 31418EJ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76153 | PA      | $75736.71     | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IRO EUR 2Y C 2.44000 L 01/25/27 BRC | IRO EUR 2Y C 2.44000 L 01/25/27 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6900000 | NC      | $-47360.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| IRO EUR 2Y P 2.44000 L 01/25/27 BRC | IRO EUR 2Y P 2.44000 L 01/25/27 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6900000 | NC      | $-14421.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DUNEP 1A AR V/R 11/20/34 /EUR/      | DUNEDIN PARK CLO DAC SER 1A CL AR V/R REGD 144A P/P /EUR/ 2.98600000                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $827677.89    | 0.58%             | 2034-11-20      | Variable      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| GLGE 5A A1R V/R 12/15/31 /EUR/      | MAN GLG EURO CLO V DAC SER 5A CL A1R V/R REGD 144A P/P /EUR/ 2.79000000                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    123508 | PA      | $146046.24    | 0.10%             | 2031-12-15      | Variable      | 2.79%                 | Yes           |                  2 | On Loan: No      |
| DRYD 2015-4 V/R 04/15/34 /EUR/      | DRYDEN 44 EURO CLO 2015 DAC SER 2015-44A CL A1RR V/R REGD 144A P/P /EUR/ 2.89600000              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    451956 | PA      | $534367.03    | 0.37%             | 2034-04-15      | Variable      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| SPAUL 4A AR V/R 04/25/30 /EUR/      | ST PAUL'S CLO IV DAC SER 4A CL ARR1 V/R REGD 144A P/P /EUR/ 2.86000000                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    405462 | PA      | $478921.45    | 0.33%             | 2030-04-25      | Variable      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| HAYEM 6A AR V/R 10/15/38 /EUR/      | HAYFIN EMERALD CLO VI DAC SER 6A CL AR V/R REGD 144A P/P /EUR/ 3.26600000                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $828556.70    | 0.58%             | 2038-10-15      | Variable      | 3.27%                 | Yes           |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) JUN26         | FUTURE CONTRACT ON           US 2YR NOTE (CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -84 | NC      | $-17578968.79 | -12.23%           |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BOBL FUTURE  MAR26         | FUTURE CONTRACT ON           EURO-BOBL FUTURE  MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         5 | NC      | $693953.68    | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BUND FUTURE  MAR26         | FUTURE CONTRACT ON           EURO-BUND FUTURE  MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        34 | NC      | $5231912.07   | 3.64%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BTP FUTURE   MAR26         | FUTURE CONTRACT ON           EURO-BTP FUTURE   MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        17 | NC      | $2467712.50   | 1.72%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-OAT FUTURE   MAR26         | FUTURE CONTRACT ON           EURO-OAT FUTURE   MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -45 | NC      | $-6589074.19  | -4.58%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C JPN 10Y BOND(OSE) MAR26         | FUTURE CONTRACT ON           JPN 10Y BOND(OSE) MAR26 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |        -2 | NC      | $-1700874.13  | -1.18%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C AUST 10Y BOND FUT MAR26         | FUTURE CONTRACT ON           AUST 10Y BOND FUT MAR26 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        24 | NC      | $1888398.18   | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BUXL 30Y BND MAR26         | FUTURE CONTRACT ON           EURO-BUXL 30Y BND MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -12 | NC      | $-1614443.70  | -1.12%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 5YR NOTE (CBT) JUN26         | FUTURE CONTRACT ON           US 5YR NOTE (CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       114 | NC      | $12556031.25  | 8.73%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US LONG BOND(CBT) JUN26         | FUTURE CONTRACT ON           US LONG BOND(CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        22 | NC      | $2606312.50   | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR NOTE (CBT)JUN26         | FUTURE CONTRACT ON           US 10YR NOTE (CBT)JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -155 | NC      | $-17640937.50 | -12.27%           |  |  |  | No            |                  1 | On Loan: No      |
| RC R/P NOMURA  3.760% 04/02/26      | RC R/P NOMURA  3.760% 04/02/26 3.76000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -54425125 | PA      | $-54425125.00 | -37.85%           |  |  |  | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT JUN26         | FUTURE CONTRACT ON           US ULTRA BOND CBT JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        16 | NC      | $1945500.00   | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR ULTRA FUT JUN26         | FUTURE CONTRACT ON           US 10YR ULTRA FUT JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        77 | NC      | $8988546.88   | 6.25%             |  |  |  | No            |                  1 | On Loan: No      |
| RC R/P BNP PA  3.730% 03/02/26      | RC R/P BNP PA  3.730% 03/02/26 3.73000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 1.39%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA8425 3.5% 11/20/52      | GINNIE MAE II POOL P#MA8425 3.50000000                                                           | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    264040 | PA      | $250209.15    | 0.17%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9961 3.5% 10/20/54      | GINNIE MAE II POOL P#MA9961 3.50000000                                                           | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3902938 | PA      | $3672277.14   | 2.55%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA 2006-7 AF4A V/R 03/25/46       | GSAA TRUST SER 2006-7 CL AF4A V/R REGD 6.72000000                                                | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16558 | PA      | $8587.37      | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GCBSL 2020-50A A V/R 04/20/35       | GOLUB CAPITAL PARTNERS CLO 50B-R LTD SER 2020-50A CL A1R2 V/R REGD 144A P/P 4.77763000           | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    700000 | PA      | $701608.60    | 0.49%             | 2035-04-20      | Variable      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| GNR 2018-H15 FG V/R 08/20/68        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H15 CL FG V/R 4.92655000                       | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199627 | PA      | $201616.63    | 0.14%             | 2068-08-20      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNR 2025-159 FJ V/R 09/20/55        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2025-159 CL FJ V/R 4.83154000                       | CUSIP: 38381U6P2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1372926 | PA      | $1385693.31   | 0.96%             | 2055-09-20      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNR 2023-H11 FC V/R 05/20/73        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2023-H11 CL FC V/R 4.76154000                       | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470977 | PA      | $482389.84    | 0.34%             | 2073-05-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2023-H19 FA V/R 08/20/73        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2023-H19 CL FA V/R 4.56154000                       | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2492082 | PA      | $2528645.78   | 1.76%             | 2073-08-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNR 2025-H22 F V/R 10/20/75         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2025-H22 CL F V/R 4.44154000                        | CUSIP: 38384LA58<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1392843 | PA      | $1405986.45   | 0.98%             | 2075-10-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| HVMLT 2005-9 2A1 V/R 06/20/35       | HARBORVIEW MORTGAGE LOAN TRUST 2005-9 SER 2005-9 CL 2A1A V/R REGD 4.46172000                     | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2498 | PA      | $2378.91      | 0.00%             | 2035-06-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| INDX 2005-16IP A V/R 07/25/45       | INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR16IP SER 2005-16IP CL A1 V/R REGD 4.42821000             | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30362 | PA      | $23005.34     | 0.02%             | 2045-07-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| JPALT 2006-A1 1A V/R 03/25/36       | JP MORGAN ALTERNATIVE LOAN TRUST 2006-A1 SER 2006-A1 CL 1A1 V/R REGD 4.24821000                  | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81519 | PA      | $78438.63     | 0.05%             | 2036-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMCC 2019-FL12  V/R 04/15/21       | JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-FL12 CL A V/R REGD 144A P/P 5.15701000           | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55130 | PA      | $55042.55     | 0.04%             | 2031-12-15      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| LXS 2007-20N A1 V/R 12/25/37        | LEHMAN XS TRUST SERIES 2007-20N SER 2007-20N CL A1 V/R REGD 6.08821000                           | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151688 | PA      | $155779.79    | 0.11%             | 2037-12-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| LBMLT 2006-7 2A2 V/R 08/25/36       | LONG BEACH MORTGAGE LOAN TRUST 2006-7 SER 2006-7 CL 2A2 V/R REGD 4.02821000                      | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    141872 | PA      | $56923.20     | 0.04%             | 2036-08-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION A V/R 08/15/25        | LUX 2023-LION SER 2023-LION CL A V/R REGD 144A P/P 6.34978000                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $606267.24    | 0.42%             | 2040-08-15      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| MRFC 2000-TBC2 A V/R 06/15/30       | MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 4.25413000        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2129 | PA      | $2103.41      | 0.00%             | 2030-06-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NRZT 2018-3A A1 V/R 05/25/58        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000        | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23622 | PA      | $23471.59     | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| NRZT 2019-RPL3 A V/R 07/25/59       | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    103330 | PA      | $100806.72    | 0.07%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| WOODS 2021-25A A V/R 07/20/34       | NORTHWOODS CAPITAL 25 LTD SER 2021-25A CL AR V/R REGD 144A P/P 4.78763000                        | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699790.70    | 0.49%             | 2034-07-20      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| OOMLT 2007-1 1A1 V/R 01/25/37       | OPTION ONE MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A1 V/R REGD 4.06821000                      | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76039 | PA      | $50203.95     | 0.03%             | 2037-01-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| OOMLT 2007-2 1A1 V/R 03/25/37       | OPTION ONE MORTGAGE LOAN TRUST 2007-2 SER 2007-2 CL 1A1 V/R REGD 4.06821000                      | CUSIP: 68401TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68521 | PA      | $46379.15     | 0.03%             | 2037-03-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| RASC 2006-KS3 M1 V/R 04/25/36       | RASC SERIES 2006-KS3 TRUST SER 2006-KS3 CL M1 V/R REGD 4.28321000                                | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28435 | PA      | $28374.91     | 0.02%             | 2036-04-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| RAST 2006-A10 A 6.5% 09/25/36       | RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A10 SER 2006-A10 CL A5 REGD 6.50000000               | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    506641 | PA      | $147099.54    | 0.10%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCF 2025-4A A 5.423% 07/29/43       | ROMARK CREDIT FUNDING LTD SER 2025-4A CL A REGD 144A P/P 5.42300000                              | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $703827.60    | 0.49%             | 2043-07-29      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| SABR 2006-FR3 A3 V/R 05/25/36       | SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-FR3 CL A3 V/R REGD 4.28821000             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    397918 | PA      | $215668.70    | 0.15%             | 2036-05-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| SABR 2006-HE2 A2 V/R 07/25/36       | SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-HE2 CL A2C V/R REGD 3.93821000            | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85592 | PA      | $32818.24     | 0.02%             | 2036-07-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| SEMT 6 A V/R 04/19/27               | SEQUOIA MORTGAGE TRUST 6 SER 6 CL A V/R REGD 4.42051000                                          | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21604 | PA      | $21455.87     | 0.01%             | 2027-04-19      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| SVHE 2007-OPT1 1 V/R 06/25/37       | SOUNDVIEW HOME LOAN TRUST 2007-OPT1 SER 2007-OPT1 CL 1A1 V/R REGD 3.98821000                     | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175528 | PA      | $122961.85    | 0.09%             | 2037-06-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| SVHE 2007-OPT2 2 V/R 07/25/37       | SOUNDVIEW HOME LOAN TRUST 2007-OPT2 SER 2007-OPT2 CL 2A3 V/R REGD 3.96821000                     | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39190 | PA      | $36377.71     | 0.03%             | 2037-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| SYMP 2021-29A AR V/R 10/15/35       | SYMPHONY CLO XXIX LTD SER 2021-29A CL AR V/R REGD 144A P/P 4.82219000                            | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700760.20    | 0.49%             | 2035-10-15      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| US TIPS 3.625% 04/15/28             | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.62500000                                        | CUSIP: 912810FD5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2987293 | PA      | $3158182.49   | 2.20%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 3.875% 04/15/29             | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.87500000                                        | CUSIP: 912810FH6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2458099 | PA      | $2674585.80   | 1.86%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TIPS 3.375% 04/15/32             | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.37500000                                        | CUSIP: 912810FQ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     43816 | PA      | $49257.37     | 0.03%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/28              | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 912810PV4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2160908 | PA      | $2197226.63   | 1.53%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.5% 01/15/29               | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.50000000                                        | CUSIP: 912810PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1648199 | PA      | $1720937.59   | 1.20%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/40             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810QF8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    869582 | PA      | $885377.13    | 0.62%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/41             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810QP6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    961844 | PA      | $969954.28    | 0.67%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 02/15/42              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912810QV3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2007768 | PA      | $1620075.87   | 1.13%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 02/15/43             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 912810RA8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1818229 | PA      | $1405577.36   | 0.98%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.375% 02/15/44             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000                                        | CUSIP: 912810RF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2322035 | PA      | $2014001.49   | 1.40%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 02/15/45              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912810RL4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2642170 | PA      | $2002207.75   | 1.39%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B 1.000% 2/15/46      | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810RR1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1627492 | PA      | $1274192.42   | 0.89%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.875% 02/15/47             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000                                        | CUSIP: 912810RW0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1865992 | PA      | $1399104.75   | 0.97%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TIPS 1% 02/15/48                 | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810SB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1208981 | PA      | $918764.20    | 0.64%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 1% 02/15/49                 | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000                                        | CUSIP: 912810SG4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1545348 | PA      | $1158430.01   | 0.81%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.25% 02/15/50              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000                                        | CUSIP: 912810SM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1210022 | PA      | $729620.67    | 0.51%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 02/15/51             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912810SV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1493616 | PA      | $847538.05    | 0.59%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 02/15/52             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912810TE8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1047681 | PA      | $581445.27    | 0.40%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.5% 02/15/53               | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.50000000                                        | CUSIP: 912810TP3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2180320 | PA      | $1769718.67   | 1.23%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 02/15/54             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 912810TY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1794996 | PA      | $1675797.12   | 1.17%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.375% 02/15/55             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000                                        | CUSIP: 912810UH9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1437730 | PA      | $1417352.22   | 0.99%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.375% 07/15/27             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000                                        | CUSIP: 9128282L3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3987437 | PA      | $3982528.13   | 2.77%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.5% 01/15/28               | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000                                        | CUSIP: 9128283R9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5357432 | PA      | $5323189.53   | 3.70%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.875% 01/15/29             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000                                        | CUSIP: 9128285W6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3195591 | PA      | $3190757.81   | 2.22%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.25% 07/15/29              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000                                        | CUSIP: 9128287D6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2998658 | PA      | $2937561.44   | 2.04%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.375% 01/15/27             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000                                        | CUSIP: 912828V49<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5272134 | PA      | $5258656.09   | 3.66%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.75% 07/15/28              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000                                        | CUSIP: 912828Y38<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4660402 | PA      | $4663348.75   | 3.24%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/30             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912828Z37<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2443469 | PA      | $2360436.68   | 1.64%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/30             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 912828ZZ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2742663 | PA      | $2641627.68   | 1.84%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/31             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CBF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2502148 | PA      | $2384210.33   | 1.66%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/31             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CCM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5936485 | PA      | $5629601.53   | 3.92%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 10/15/26             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2016013 | PA      | $2020125.87   | 1.40%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/32             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4442238 | PA      | $4159194.05   | 2.89%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 04/15/27             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CEJ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2869300 | PA      | $2846709.86   | 1.98%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 07/15/32             | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9480220 | PA      | $9115775.22   | 6.34%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 10/15/27             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CFR7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6563580 | PA      | $6672767.91   | 4.64%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.125% 01/15/33             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000                                        | CUSIP: 91282CGK1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10987588 | PA      | $10808268.70  | 7.52%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.25% 04/15/28              | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.25000000                                        | CUSIP: 91282CGW5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1080360 | PA      | $1087520.30   | 0.76%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.375% 07/15/33             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000                                        | CUSIP: 91282CHP9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7148833 | PA      | $7144663.51   | 4.97%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.375% 10/15/28             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000                                        | CUSIP: 91282CJH5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5924688 | PA      | $6169013.72   | 4.29%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/34              | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 91282CJY8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2319262 | PA      | $2362790.86   | 1.64%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 04/15/29             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 91282CKL4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1152437 | PA      | $1191944.72   | 0.83%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.875% 07/15/34             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.87500000                                        | CUSIP: 91282CLE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5989834 | PA      | $6162434.96   | 4.29%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 10/15/29             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CLV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4840389 | PA      | $4961183.04   | 3.45%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.125% 01/15/35             | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000                                        | CUSIP: 91282CML2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4620735 | PA      | $4816360.84   | 3.35%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.625% 04/15/30             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.62500000                                        | CUSIP: 91282CNB3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2443152 | PA      | $2495979.27   | 1.74%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.875% 07/15/35             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.87500000                                        | CUSIP: 91282CNS6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5651576 | PA      | $5773198.20   | 4.01%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.125% 10/15/30             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000                                        | CUSIP: 91282CPH8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5009050 | PA      | $5027815.30   | 3.50%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.875% 01/15/36             | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.87500000                                        | CUSIP: 91282CPU9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1495935 | PA      | $1519741.01   | 1.06%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| WAMU 2002-AR2 A V/R 02/27/34        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR2 SER 2002-AR2 CL A V/R REGD 4.07900000    | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2978 | PA      | $2922.50      | 0.00%             | 2034-02-27      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| WAMU 2002-AR17 1 V/R 11/25/42       | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR17 SER 2002-AR17 CL 1A V/R REGD 5.11509000 | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1633 | PA      | $1591.57      | 0.00%             | 2042-11-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLD 6% 03/29/40 /GBP/         | HSBC HOLD 6% 03/29/40 /GBP/ 6.00000000                                                           | CUSIP: G463DAAD8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $135997.03    | 0.09%             | 2040-03-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/28/JPY/      | JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000                                               | CUSIP: J2S39KJ56<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |  67191560 | PA      | $430509.84    | 0.30%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIE 0.4% 05/15/30/EUR/      | BUONI POLIENNALI DEL TES /EUR/ REGD SER CPI 0.40000000                                           | CUSIP: T6052BUG1<br>LEI: N/A                  | Long             | DBT              | UST               | IT        |    373503 | PA      | $436037.37    | 0.30%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/29/JPY/      | JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000                                               | CUSIP: J2S39K4F0<br>LEI: N/A                  | Long             | DBT              | UST               | JP        | 156073860 | PA      | $1003181.97   | 0.70%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/50/DKK/      | REALKREDIT DANMARK /DKK/ REGD REG S SER CCS 1.00000000                                           | CUSIP: K8094KWV1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.26         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/      | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724JZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/      | NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000                                                   | CUSIP: K7S724JW8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    100000 | PA      | $10873.42     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/53/DKK/      | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01EE 1.50000000                                     | CUSIP: K741813E4<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.18         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT  1.5% 10/01/53/DKK/      | REALKREDIT DANMARK /DKK/ REGD REG S SER 23S 1.50000000                                           | CUSIP: K8094KZL0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    167499 | PA      | $21653.67     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 03/01/26/EUR/      | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F43750LD2<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    735606 | PA      | $869192.04    | 0.60%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 07/25/31/EUR/      | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F43750LT7<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    245582 | PA      | $281256.38    | 0.20%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALK 1.5% 10/01/53/DKK/      | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000                                               | CUSIP: K5S69JBP7<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     98531 | PA      | $12193.00     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDO 4% 10/22/31/GBP/      | UNITED KINGDOM GILT /GBP/ REGD REG S 4.00000000                                                  | CUSIP: G4527HF89<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |   2100000 | PA      | $2851913.10   | 1.98%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOV 0.1% 07/25/38/EUR/      | FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000                                                  | CUSIP: F26348BE5<br>LEI: N/A                  | Long             | DBT              | UST               | FR        |    120563 | PA      | $120360.48    | 0.08%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOV 0.005% 03/10/34/JPY/      | JAPAN GOVT CPI LINKED /JPY/ REGD SER 29 0.00500000                                               | CUSIP: J2S39L2H6<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |  63270600 | PA      | $396148.79    | 0.28%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOV 0.005% 03/10/35/JPY/      | JAPAN GOVT CPI LINKED /JPY/ REGD SER 30 0.00500000                                               | CUSIP: J2S39L8N7<br>LEI: N/A                  | Long             | DBT              | UST               | JP        | 102372000 | PA      | $634459.08    | 0.44%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL ISDA JPM USD        | CASH COLLATERAL ISDA JPM USD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |    -20000 | PA      | $-20000.00    | -0.01%            | 2049-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL WFS USD             | CASH COLLATERAL WFS USD 3.54000000                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     86000 | PA      | $86000.00     | 0.06%             | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL LCH FOB WFS         | CASH COLLATERAL LCH FOB WFS 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    822000 | PA      | $822000.00    | 0.57%             | 2049-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL CME WFS             | CASH COLLATERAL CME WFS        /CCWFSXUS7 3.54000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    329000 | PA      | $329000.00    | 0.23%             | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| ARBR 6A AR V/R 11/15/37 /EUR/       | ARBOUR CLO VI DAC SER 6A CL AR V/R REGD 144A P/P /EUR/ 3.13400000                                | CUSIP: G04464BV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $355980.51    | 0.25%             | 2037-11-15      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| PSTET 2023- V/R 05/15/33 /EUR/      | PALMER SQUARE EUROPEAN LOAN FUNDING  SER 2023-3A CL AR V/R REGD 144A P/P /EUR/ 2.95400000        | CUSIP: G6878ZAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    185002 | PA      | $218816.51    | 0.15%             | 2033-05-15      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                 | IRS PMUTKR00.30 09/20/27 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $551.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RER6MP00.19 11/08/52 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $687856.64    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP02.86 02/13/54 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $251464.55    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RMUTKP00.55 09/14/28 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $10898.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RMUTKP00.50 12/15/31 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $29352.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS R02.34PSOFR 11/21/28 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-96362.72    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP02.23 11/21/53 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $265207.26    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.50 06/20/54 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $53160.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS PSOFRR03.25 03/19/55 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $384235.28    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.25 06/18/34 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $51811.15     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS R02.75PER6M 03/18/36 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $10702.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS R03.75PSO/N 09/17/30 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $61594.92     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 1.636 06/15/25-2Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9205.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.29 05/31/30 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-4630.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.64 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-2210.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP04.01 11/15/53 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-8394.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.70 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-4756.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.37 05/31/30 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-13032.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.71 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-7283.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP04.07 11/15/53 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-14131.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RER6MP03.05 01/13/56 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-10940.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.77 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-37460.35    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.76 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-34124.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RSOFRP03.80 08/15/35 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-45486.95    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS R02.75PER6M 09/16/36 WFSLUS33XXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $1318.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | IRS RER6MP03.00 09/16/56 WFSLUS33XXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-16.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.36 05/09/18-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-57017.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 3.43375  08/27/25-1Y LCH /FLOAT/                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8819.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.3525 05/09/18-10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-38321.85    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 1.38 03/15/21-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-159379.98   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 3.435 08/01/25-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $585.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP GB NI 3.466 09/15/24 -10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8813.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP GB NI 3.365 09/15/25-2Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-3611.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 1.7975 08/25/20-7Y LCH /FIXED/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $104231.15    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 1.89 08/27/20-7Y LCH /FIXED/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $116562.46    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 3.0 5/15/22-5Y LCH /FIXED/                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $4067.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.421 05/15/22-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $3.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.7675  05/13/21-5Y LCH /FIXED/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $47094.42     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.573 08/26/21-7Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $7663.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.645 09/10/21-7Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $6819.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 1.76 11/04/19-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-209305.96   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.763 09/15/23-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $17355.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 1.8825 11/20/19-10Y LCH /FLOAT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-242569.74   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.813 05/14/21-5Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $27474.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 3.323 04/23/25-1Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $3714.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.7 04/15/23-  30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $30111.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.0 02/15/25-2YLCH /FIXED/                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-321.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.034 09/15/24 -10Y LCH /FIXED/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-6406.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.736 10/15/23-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $16356.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.31125 02/24/21-10Y LCH /FIXED/                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $279126.55    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP GB NI 3.5 08/15/24-10Y LCH /FLOAT/                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $21385.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.59 12/15/22  30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $10424.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.335 02/05/18-10Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-107030.56   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.364 05/10/18-10Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-57862.98    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP EM NI 2.59  03/15/22-30Y LCH /FLOAT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8327.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 2.703 05/25/21-5Y LCH /FIXED/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $49314.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                 | INF SWAP US IT 1.28 05/19/20-10Y LCH /FLOAT/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-178990.58   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Morgan Stanley Pathway Funds

**Signature:** James F. Kirchner

**Name of Signer:** James F. Kirchner

**Title:** Chief Financial Officer