# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-26-013117
**Filing Date:** 2026-2
**Character Count:** 493878
**Document Hash:** bd4b873acbd0e25fe2b5262c073152e2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-013117.hdr.sgml**: 20260218

**ACCESSION NUMBER**: 0001410368-26-013117

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260218

**DATE AS OF CHANGE**: 20260218

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 26646032

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3527085122.81

**Total Liabilities:** $1752381927.70

**Net Assets:** $1774703195.11

**Delayed Delivery Securities:** $1332109825.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4665.03000000 | **1-Year:** -70875.71000000 | **5-Year:** -83350.26000000 | **10-Year:** -48426.59000000 | **30-Year:** -23462.31000000

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

- **3-Month:** -1220.42000000 | **1-Year:** -17963.21000000 | **5-Year:** -5902.52000000 | **10-Year:** -30824.84000000 | **30-Year:** -26158.01000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078080 | 1.01%                | 0.67%                | -0.08%               |
| Class ID C000098952 | 1.03%                | 0.69%                | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4741300.41              | $2915657.65                                |
| Month 2  | $-2211471.70             | $6245268.91                                |
| Month 3  | $1092290.92              | $-10284156.19                              |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES CORP/THE                                      | AES Corp/The                                                                     | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4094124.80   | 0.23%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1412794.63   | 0.08%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3681589.84   | 0.21%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3306710 | PA      | $3314262.39   | 0.19%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                              | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    2100000 | PA      | $2114869.03   | 0.12%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2800000 | PA      | $2853966.30   | 0.16%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-2AA PTT                           | Air Canada 2015-2 Class AA Pass Through Trust                                    | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1192174 | PA      | $1176577.18   | 0.07%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                           | Alaska Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3952381 | PA      | $3978139.39   | 0.22%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   97120000 | PA      | $85848769.48  | 4.84%             | 2056-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39000000 | PA      | $38078685.45  | 2.15%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1825000 | PA      | $1780176.27   | 0.10%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  139760000 | PA      | $139252277.08 | 7.85%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  225200000 | PA      | $228155349.14 | 12.86%            | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5248000 | PA      | $5386010.75   | 0.30%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49312000 | PA      | $50612648.38  | 2.85%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10800000 | PA      | $11226751.31  | 0.63%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $4033408.43   | 0.23%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| AMDOCS LTD                                        | Amdocs Ltd                                                                       | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    4700000 | PA      | $4320037.62   | 0.24%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                          | American Airlines 2016-3 Class AA Pass Through Trust                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2638924 | PA      | $2553754.55   | 0.14%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 A PTT                           | American Airlines 2016-3 Class A Pass Through Trust                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1719480 | PA      | $1651453.60   | 0.09%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                           | American Airlines 2021-1 Class A Pass Through Trust                              | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3990065 | PA      | $3654788.84   | 0.21%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4351194.17   | 0.25%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4622485.90   | 0.26%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                            | American Honda Finance Corp                                                      | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3006933.69   | 0.17%             | 2027-08-13      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8000000 | PA      | $7265654.88   | 0.41%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust       | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4608932.16   | 0.26%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1345943 | PA      | $1110544.41   | 0.06%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886042 | PA      | $867739.25    | 0.05%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2855273 | PA      | $2749666.00   | 0.15%             | 2035-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4064139.64   | 0.23%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1663217.44   | 0.09%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6756597.40   | 0.38%             | 2038-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4938575.57   | 0.28%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928423 | PA      | $350471.18    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51461 | PA      | $51350.31     | 0.00%             | 2037-03-26      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3551491.58   | 0.20%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    4300000 | PA      | $4382428.76   | 0.25%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2682081.01   | 0.15%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1439011 | PA      | $1438930.23   | 0.08%             | 2038-10-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2022-3 Ltd                                               | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5100000 | PA      | $5101982.17   | 0.29%             | 2035-07-17      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-6 Ltd                                               | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2000186.50   | 0.11%             | 2034-10-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    5900000 | PA      | $5905395.61   | 0.33%             | 2034-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     158000 | PA      | $151086.46    | 0.01%             | 2036-02-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1402305 | PA      | $1118216.39   | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-R1 Trust                                            | CUSIP: 05953BAB7<br>LEI: 549300478KN17QUC9E29 | Long             | ABS-MBS          | CORP              | US        |    2693030 | PA      | $2192250.18   | 0.12%             | 2047-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2042048.10   | 0.12%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4679429.53   | 0.26%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                  | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5624370.73   | 0.32%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4218497.05   | 0.24%             | 2026-08-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4228997.24   | 0.24%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3600000 | PA      | $3632127.73   | 0.20%             | 2027-09-13      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2638085.37   | 0.15%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $8235437.67   | 0.46%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344418 | PA      | $322899.25    | 0.02%             | 2033-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     496593 | PA      | $473021.19    | 0.03%             | 2036-01-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274671 | PA      | $199910.39    | 0.01%             | 2036-01-26      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287904 | PA      | $227207.57    | 0.01%             | 2046-12-26      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19500000 | PA      | $20619468.48  | 1.16%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6061238.95   | 0.34%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners Clo XXII Ltd                                             | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5100932.99   | 0.29%             | 2035-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                     | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2565859.39   | 0.14%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |     218546 | PA      | $218659.23    | 0.01%             | 2030-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3600000 | PA      | $3466670.08   | 0.20%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102646.06    | 0.01%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106179.41    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds             | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    4400000 | PA      | $4454546.32   | 0.25%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3810436.16   | 0.21%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties Inc                   | CBL & Associates Properties Inc                                                  | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               |  | US        |       9021 | NS      | $333777.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98421.62     | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     900000 | PA      | $880229.73    | 0.05%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5875389.70   | 0.33%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730683 | PA      | $295604.08    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2554090.70   | 0.14%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                 | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |     800000 | PA      | $608741.39    | 0.03%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                            | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      94314 | PA      | $97889.90     | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     532451 | PA      | $30429.12     | 0.00%             | 2035-05-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                        | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226823 | PA      | $217932.66    | 0.01%             | 2034-05-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432514 | PA      | $420880.45    | 0.02%             | 2035-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300439 | PA      | $292063.04    | 0.02%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1082025 | PA      | $822941.79    | 0.05%             | 2047-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-7                                     | CUSIP: 12669VAD0<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      32186 | PA      | $32110.15     | 0.00%             | 2047-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3700000 | PA      | $3765156.93   | 0.21%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                          | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    4900000 | PA      | $3489494.01   | 0.20%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                           | Canada Government Bonds                                                          | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2431000 | PA      | $1757996.19   | 0.10%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                      | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    9800000 | PA      | $9758175.85   | 0.55%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2016-3 Ltd                                  | CUSIP: 14311UBA5<br>LEI: 5493000C19IMTVUCMB96 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6003300.00   | 0.34%             | 2034-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                    | CarVal CLO I Ltd                                                                 | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2935622 | PA      | $2937126.57   | 0.17%             | 2031-07-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1701294.12   | 0.10%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     125000 | PA      | $117140.53    | 0.01%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     800000 | PA      | $688683.42    | 0.04%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7500000 | PA      | $4475867.63   | 0.25%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3537432 | PA      | $3197020.31   | 0.18%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                             | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    7000000 | PA      | $6453650.00   | 0.36%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3559950.79   | 0.20%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37333 | PA      | $33477.72     | 0.00%             | 2035-08-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR6                                           | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279184 | PA      | $252129.63    | 0.01%             | 2036-08-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7991999 | PA      | $3012255.60   | 0.17%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1621128 | PA      | $918378.79    | 0.05%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2016-C3                                      | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186357 | PA      | $186022.69    | 0.01%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                   | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2069491 | PA      | $2081935.12   | 0.12%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                | CNO Global Funding                                                               | CUSIP: 18977W2H2<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2706124.33   | 0.15%             | 2028-09-08      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4344647.29   | 0.24%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199222.72    | 0.01%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197728.67    | 0.01%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                | Conagra Brands Inc                                                               | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2327222.80   | 0.13%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4390337.60   | 0.25%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4900000 | PA      | $4058367.23   | 0.23%             | 2056-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60000 | PA      | $54604.65     | 0.00%             | 2056-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18400000 | PA      | $17377937.59  | 0.98%             | 2056-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300000 | PA      | $292265.63    | 0.02%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15000000 | PA      | $14602148.40  | 0.82%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23800000 | PA      | $23749325.04  | 1.34%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17400000 | PA      | $17721492.14  | 1.00%             | 2056-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    5100000 | PA      | $5140825.19   | 0.29%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3500000 | PA      | $3467855.30   | 0.20%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56226 | PA      | $54594.39     | 0.00%             | 2032-03-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                     | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2131238 | PA      | $2157107.21   | 0.12%             | 2069-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    2277000 | PA      | $2272263.86   | 0.13%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-23                                    | CUSIP: 23243HAA9<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    3686435 | PA      | $3384081.01   | 0.19%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAA6<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |     896661 | PA      | $886151.74    | 0.05%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $8255992.89   | 0.47%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190870 | PA      | $181655.58    | 0.01%             | 2044-07-19      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6252832.39   | 0.35%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                   | DTE Electric Co                                                                  | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $81489.06     | 0.00%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6297614.40   | 0.35%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                  | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4570762.50   | 0.26%             | 2028-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: —       |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                | CUSIP: 24703DBR1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1898498.62   | 0.11%             | 2029-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1524036.74   | 0.09%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4187.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-214131.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2880.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4131.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-15435.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-17080.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-78339.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-8051.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1268.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3476.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $7448.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-115541.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $573.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $14878.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $159330.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $15489.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-53539.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $400.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $31592.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $14235.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $7489.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $29073.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $17627.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $44027.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $8708.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $25922.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $26650.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $15732.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $23854.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $11259.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $43552.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $15721.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $29824.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PL        |          1 | NC      | $8352.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $8475.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $3747.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $5010.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $37293.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $4125.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2043.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $41062.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $7035.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3887.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $4172.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3473.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | MX        |          1 | NC      | $334401.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $93604.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1627.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-7731.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-4752.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $-12219.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-15984.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $70171.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $194157.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-17972.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $10955.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-16052.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-18216.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-12155.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-6959.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-19825.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-22634.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1792.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IL        |          1 | NC      | $582.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-34587.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-923.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $5781.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-964.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $7.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5502.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TR        |          1 | NC      | $36482.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $25155.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-73.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $25065.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-11054.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-11785.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | MX        |          1 | NC      | $8144.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $8309.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $19585.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-15730.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-23066.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | MX        |          1 | NC      | $9.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-12388.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-139002.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $8179.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-619812.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-131154.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $15656.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-19127.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-68932.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-720735.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $17068.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-186214.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-264.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-560160.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $8711.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $8511.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $14742.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2596.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $7989.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-22887.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-228204.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-9685.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-15436.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-56589.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $6625.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-3911.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | NZ        |          1 | NC      | $7908.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $2555.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-8772.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-14525.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3585.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $-5253.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-248269.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $3277.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $26966.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4860.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-85461.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $14718.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $0.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $2312.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | NZ        |          1 | NC      | $411.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-39267.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-364.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $292.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-3469.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $5373.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $9578.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2669.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $4053.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $22704.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-12513.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TR        |          1 | NC      | $8169.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $369.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $2954.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $3366.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $6333.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CN        |          1 | NC      | $12097.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $503.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2359.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-556.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $-19769.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-21000.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $6532.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $366.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-865.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $2033.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-4193.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $4789.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $16363.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $5876.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-546.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $8795.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-10805.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $6606.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $5587.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $8525.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-569.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $4781.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $632.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4416.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $2236.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $27368.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-4975.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2808.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-523.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $5319.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-4563.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | IN        |          1 | NC      | $844.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $1897.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $-5775.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-238.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $1412.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-286.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $824.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-454.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $4809.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $3804.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $584.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5514.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $5896.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-400.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-975.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $2003.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $2014.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TW        |          1 | NC      | $882.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $682.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $903.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-9459.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |          1 | NC      | $512.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5004.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2712.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ZA        |          1 | NC      | $5604.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-139.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3922.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1244.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-410.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1048.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $4737.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1729.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3657.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |          1 | NC      | $3644.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-491905.80   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $516828.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IL        |          1 | NC      | $1722.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1566.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TR        |          1 | NC      | $15.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $-9415.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $12271.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TR        |          1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $318.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $655.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $-152.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-234.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $280.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $-153.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $-11.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $-54.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $717.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PL        |          1 | NC      | $131.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |          1 | NC      | $2220.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1233.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $746.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $3889.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1400.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $851.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $-133.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-1707.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $-1.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-185.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $116.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holding SA                                                               | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       3476 | NS      | $78427.25     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holdings SA                                                              | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |      31292 | NS      | $706025.75    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |     793237 | PA      | $793984.57    | 0.04%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2528605.53   | 0.14%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1420779.11   | 0.08%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2134367.07   | 0.12%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                          | Equinix Europe 2 Financing Corp LLC                                              | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    2200000 | PA      | $2207142.10   | 0.12%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                | Essex Portfolio LP                                                               | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |     500000 | PA      | $498870.74    | 0.03%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                                | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3482200.44   | 0.20%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                            | Extra Space Storage LP                                                           | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    2600000 | PA      | $2593821.20   | 0.15%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17693746 | PA      | $17467308.91  | 0.98%             | 2035-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                               | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3832375.96   | 0.22%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                               | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3122991.40   | 0.18%             | 2028-09-08      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128L15L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68282 | PA      | $71185.22     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48318 | PA      | $50172.81     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $474.02       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7247 | PA      | $7623.20      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $634.15       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        927 | PA      | $970.79       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4054 | PA      | $4242.01      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44269 | PA      | $46241.41     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $160.71       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1432 | PA      | $1499.80      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5562 | PA      | $5824.54      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38869 | PA      | $39463.98     | 0.00%             | 2031-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     532221 | PA      | $557390.36    | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14732 | PA      | $15236.81     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11896 | PA      | $12418.67     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308974 | PA      | $323118.06    | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67951 | PA      | $70958.18     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25243 | PA      | $26414.35     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20864 | PA      | $21793.39     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14288 | PA      | $14918.03     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1898 | PA      | $1980.77      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13918 | PA      | $14525.65     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76185 | PA      | $79555.89     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13088 | PA      | $13671.62     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73337 | PA      | $76604.44     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169907 | PA      | $164499.43    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     586006 | PA      | $567263.42    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9786 | PA      | $10212.70     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43252 | PA      | $44568.93     | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9929 | PA      | $10256.11     | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32745 | PA      | $34174.33     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6702 | PA      | $6843.39      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5164 | PA      | $5274.97      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1523 | PA      | $1556.36      | 0.00%             | 2032-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23213 | PA      | $22970.54     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4698581 | PA      | $4408575.97   | 0.25%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A74F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $114.73       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5769 | PA      | $5708.76      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22284 | PA      | $22022.51     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2906 | PA      | $2858.40      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4752 | PA      | $4745.89      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50520 | PA      | $49801.12     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DNU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     932082 | PA      | $913783.95    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPFL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5698127 | PA      | $5706338.45   | 0.32%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3370752 | PA      | $3205840.37   | 0.18%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3636139 | PA      | $3684022.91   | 0.21%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22130080 | PA      | $21132022.44  | 1.19%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4405541 | PA      | $4477607.53   | 0.25%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4736704 | PA      | $4866371.07   | 0.27%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1930 | PA      | $1925.92      | 0.00%             | 2029-12-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2289631 | PA      | $2030695.48   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133BLAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     832996 | PA      | $817484.55    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428032 | PA      | $431507.20    | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CHTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294586 | PA      | $306376.74    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9118621 | PA      | $9124423.63   | 0.51%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                       | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1329 | PA      | $1331.51      | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        552 | PA      | $554.56       | 0.00%             | 2028-01-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31358SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $88.21        | 0.00%             | 2030-10-18      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        560 | PA      | $559.49       | 0.00%             | 2028-04-18      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684092 | PA      | $679917.83    | 0.04%             | 2042-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44218 | PA      | $43833.96     | 0.00%             | 2033-03-01      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103537 | PA      | $109557.78    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3610 | PA      | $3819.66      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1111.55      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        465 | PA      | $465.60       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NG58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10646 | PA      | $10665.22     | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2651 | PA      | $2671.35      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $552.54       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1067.27      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3171 | PA      | $3114.20      | 0.00%             | 2036-05-01      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4241.61      | 0.00%             | 2036-05-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        660 | PA      | $677.30       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377CRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158822 | PA      | $156591.77    | 0.01%             | 2036-05-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1890170 | PA      | $1852607.29   | 0.10%             | 2043-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1460757 | PA      | $1437277.89   | 0.08%             | 2040-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1332989 | PA      | $1310867.19   | 0.07%             | 2040-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2271171 | PA      | $2278860.61   | 0.13%             | 2054-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31380AMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $828.01       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31384VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $80.30        | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11244 | PA      | $11178.81     | 0.00%             | 2034-09-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385PH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $203.10       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A5ZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $105.55       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $331.85       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $483.71       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A95X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4475 | PA      | $4463.44      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AA6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $322.69       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AATL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $150.14       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AAYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $61.74        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EG2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297353 | PA      | $309972.39    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5819 | PA      | $5777.31      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $395.15       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $44.84        | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2085 | PA      | $2115.83      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40015 | PA      | $40409.20     | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MDJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120658 | PA      | $120691.51    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80996 | PA      | $82789.51     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WB2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33467 | PA      | $32765.01     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XFF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10546 | PA      | $10763.84     | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XLXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48164 | PA      | $48982.73     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XS4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114600 | PA      | $112194.37    | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391KGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3311 | PA      | $3358.61      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391LJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71351 | PA      | $72188.34     | 0.00%             | 2033-02-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP68<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     225719 | PA      | $229329.94    | 0.01%             | 2042-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        863 | PA      | $73.41        | 0.00%             | 2035-10-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1656886 | PA      | $1613500.84   | 0.09%             | 2044-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341304 | PA      | $315089.28    | 0.02%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30292 | PA      | $29747.17     | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400HFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $528.00       | 0.00%             | 2033-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400RV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6549 | PA      | $6799.89      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1414.89      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401YS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5332 | PA      | $5405.27      | 0.00%             | 2033-07-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24763 | PA      | $25822.23     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        596 | PA      | $605.84       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402EMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1471 | PA      | $1495.38      | 0.00%             | 2033-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18504 | PA      | $19337.12     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26464 | PA      | $27597.30     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10992 | PA      | $11470.29     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31371 | PA      | $31413.76     | 0.00%             | 2044-10-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78024 | PA      | $78483.30     | 0.00%             | 2044-10-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65310 | PA      | $65385.96     | 0.00%             | 2042-08-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64135 | PA      | $64513.45     | 0.00%             | 2042-08-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5058 | PA      | $5116.41      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41235 | PA      | $41919.19     | 0.00%             | 2035-08-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403BF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25614 | PA      | $25988.68     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3001 | PA      | $3087.18      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403CX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5863 | PA      | $6114.78      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6284 | PA      | $6418.81      | 0.00%             | 2033-09-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2539 | PA      | $2632.34      | 0.00%             | 2034-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1632 | PA      | $1669.29      | 0.00%             | 2034-03-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83968 | PA      | $85192.89     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404KQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34012 | PA      | $34811.43     | 0.00%             | 2034-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29603 | PA      | $30034.80     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $944.87       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404U6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $544.23       | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405BFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5193 | PA      | $5354.14      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405EFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3283 | PA      | $3404.55      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405G5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4466 | PA      | $4530.15      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405JRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9190 | PA      | $9324.28      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130368 | PA      | $132689.01    | 0.01%             | 2034-12-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1229 | PA      | $1254.01      | 0.00%             | 2034-12-01      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405VH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7257 | PA      | $7362.33      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406ABS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8573 | PA      | $8698.42      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406EW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15301 | PA      | $15991.67     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11404 | PA      | $11570.04     | 0.00%             | 2035-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406VWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9205 | PA      | $9672.86      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406YFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        972 | PA      | $1009.11      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407BY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68388 | PA      | $69422.04     | 0.00%             | 2035-07-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EAE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1170 | PA      | $1200.48      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53639 | PA      | $54604.24     | 0.00%             | 2035-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407JDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $900.93       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407ME76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12150 | PA      | $12545.11     | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407TSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18708 | PA      | $19601.87     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        676 | PA      | $700.34       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396926 | PA      | $416567.06    | 0.02%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408AFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3090 | PA      | $3252.84      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4481 | PA      | $4566.80      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408FAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8199 | PA      | $8417.54      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408GY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5602 | PA      | $5892.98      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15406 | PA      | $16244.43     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409G4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7859 | PA      | $8148.09      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409T6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4770 | PA      | $4951.31      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3404 | PA      | $3533.90      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140A32V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75931 | PA      | $78320.13     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182968 | PA      | $177000.84    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JPJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13724 | PA      | $13500.29     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034277 | PA      | $917645.91    | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MUMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764388 | PA      | $749759.79    | 0.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N0XN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903425 | PA      | $886043.27    | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96882 | PA      | $97073.81     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NFCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     624895 | PA      | $627165.77    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NGF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347223 | PA      | $1346699.00   | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NJXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470829 | PA      | $470894.05    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NQEE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390339 | PA      | $398102.12    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140Q1EY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13200000 | PA      | $13165473.55  | 0.74%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QNGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14690981 | PA      | $13032973.96  | 0.73%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3089510 | PA      | $3037701.36   | 0.17%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QQKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     852465 | PA      | $835975.51    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     801776 | PA      | $788859.64    | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82689 | PA      | $81379.17     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2212374 | PA      | $2223475.71   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2850586 | PA      | $2868472.94   | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1357260 | PA      | $1312805.24   | 0.07%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18311 | PA      | $17935.79     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3058298 | PA      | $3015651.58   | 0.17%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033663 | PA      | $993878.00    | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1845474 | PA      | $1778407.60   | 0.10%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XKZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2986301 | PA      | $2930683.81   | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2362224 | PA      | $2295371.03   | 0.13%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9386 | PA      | $9931.89      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32440 | PA      | $34325.61     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377009 | PA      | $393363.55    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3568 | PA      | $3775.57      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        958 | PA      | $1014.23      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351313 | PA      | $366980.83    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410MJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        290 | PA      | $302.46       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410PUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2821 | PA      | $2976.41      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12143 | PA      | $12774.58     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QN80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29329 | PA      | $30945.22     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410RJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        960 | PA      | $997.70       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410TZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $311.17       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14771 | PA      | $15090.55     | 0.00%             | 2036-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410W5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9218 | PA      | $9565.55      | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410XYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1673 | PA      | $1749.30      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411CYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $211.23       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411VQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16404 | PA      | $16852.21     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411WTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3347 | PA      | $3478.17      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411YXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3126 | PA      | $3207.82      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412ER24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30797 | PA      | $32005.70     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412N6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2179 | PA      | $2242.05      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412NBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $413.06       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5291 | PA      | $5282.15      | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412STL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3681 | PA      | $3843.67      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412SYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2065 | PA      | $2178.74      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412T6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5361 | PA      | $5572.89      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412XES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        611 | PA      | $644.68       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7742 | PA      | $8192.26      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9255 | PA      | $9577.65      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413FLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122396 | PA      | $128469.86    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413RJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58591 | PA      | $62578.89     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414FKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12104 | PA      | $12653.98     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $740.11       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2678 | PA      | $2745.75      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7052 | PA      | $7463.16      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415XER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1421 | PA      | $1485.31      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6731 | PA      | $6951.86      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416B6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122913 | PA      | $128736.45    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73278 | PA      | $77545.50     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49871 | PA      | $52773.56     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416HWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36340 | PA      | $37389.64     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167584 | PA      | $172424.82    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $235.89       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133584 | PA      | $139787.56    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416YDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $361.36       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417VX57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39311 | PA      | $40175.46     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4668 | PA      | $4723.62      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8595 | PA      | $8721.29      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1541 | PA      | $1564.77      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418A2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2826 | PA      | $2819.75      | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116175 | PA      | $114882.76    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16272 | PA      | $16300.88     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22563 | PA      | $22330.44     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65415 | PA      | $64349.44     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5208 | PA      | $5135.28      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3681 | PA      | $3628.72      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418E3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1675045 | PA      | $1721359.16   | 0.10%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394835 | PA      | $350455.73    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268494 | PA      | $279401.80    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563950 | PA      | $586860.06    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27149 | PA      | $28729.38     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3953 | PA      | $4092.73      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26654 | PA      | $27881.02     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10428 | PA      | $10809.93     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6503 | PA      | $6675.54      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                          | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1584694 | PA      | $1594871.01   | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13792487 | PA      | $11629726.96  | 0.66%             | 2036-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                     | CUSIP: 32051D3G5<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     718420 | PA      | $717635.37    | 0.04%             | 2034-06-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2005-AA1                     | CUSIP: 32051GGD1<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     284777 | PA      | $159204.64    | 0.01%             | 2035-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4366195.02   | 0.25%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                         | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2228689.39   | 0.13%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                    | CUSIP: 35563PWX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2946043 | PA      | $2190466.74   | 0.12%             | 2060-09-25      | Variable      | 13.18%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36176ARS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23058 | PA      | $23461.35     | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1126361 | PA      | $1147531.87   | 0.06%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17652851 | PA      | $16237329.73  | 0.91%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JHDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648951 | PA      | $674440.80    | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1146674 | PA      | $1171696.01   | 0.07%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     535576 | PA      | $511024.77    | 0.03%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5228 | PA      | $5042.90      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    1800000 | PA      | $1755245.70   | 0.10%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201SJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2007 | PA      | $2041.56      | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201U2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6237 | PA      | $6250.21      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202DFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $636.06       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $101.54       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1172 | PA      | $1175.58      | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $184.22       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        226 | PA      | $226.12       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36205MNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3515 | PA      | $3580.03      | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36206MNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1303 | PA      | $1322.99      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207K6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8926 | PA      | $9151.95      | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $179.58       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KYQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        482 | PA      | $487.38       | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36208YY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4333 | PA      | $4438.36      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2912 | PA      | $2946.62      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        537 | PA      | $547.04       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        791 | PA      | $800.41       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        353 | PA      | $357.12       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209Y6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2023 | PA      | $2047.71      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3620C0WS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15940 | PA      | $16323.74     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210B3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15475 | PA      | $15780.99     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210TVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7737 | PA      | $7829.52      | 0.00%             | 2029-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211C5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        252 | PA      | $252.94       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211J5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2846 | PA      | $2881.36      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211KPY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10314 | PA      | $10492.24     | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2395 | PA      | $2437.53      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2888 | PA      | $2923.53      | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1271 | PA      | $1285.93      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        570 | PA      | $581.82       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $77.33        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6420 | PA      | $6498.71      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212CYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1362 | PA      | $1379.53      | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1373 | PA      | $1408.07      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1060 | PA      | $1092.31      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212HD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4864 | PA      | $4924.66      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212MJU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        211 | PA      | $211.15       | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212SLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5317 | PA      | $5424.31      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1956 | PA      | $1980.04      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6860 | PA      | $6942.83      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        412 | PA      | $415.83       | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212VCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1558 | PA      | $1577.78      | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212WMD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        855 | PA      | $865.35       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213DCU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        283 | PA      | $285.76       | 0.00%             | 2031-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213UDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14119 | PA      | $14358.58     | 0.00%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $88.06        | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1124 | PA      | $1161.34      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $180.01       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6310 | PA      | $6596.85      | 0.00%             | 2030-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6078 | PA      | $6402.44      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8582 | PA      | $9097.63      | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        197 | PA      | $197.00       | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2205 | PA      | $2205.77      | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        857 | PA      | $856.22       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        107 | PA      | $106.58       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        505 | PA      | $507.81       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        266 | PA      | $267.82       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $366.35       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        635 | PA      | $635.79       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CGN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1350 | PA      | $1353.51      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10505 | PA      | $10631.23     | 0.00%             | 2029-03-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        598 | PA      | $601.12       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1472 | PA      | $1472.37      | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1627 | PA      | $1626.63      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11844 | PA      | $11840.03     | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        747 | PA      | $751.01       | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2645 | PA      | $2664.20      | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24683 | PA      | $24762.13     | 0.00%             | 2031-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10936 | PA      | $10976.67     | 0.00%             | 2031-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5214 | PA      | $5260.86      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7327 | PA      | $7436.17      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6774 | PA      | $6853.59      | 0.00%             | 2032-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7459 | PA      | $7582.78      | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18346 | PA      | $18534.30     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10874 | PA      | $10950.02     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15056 | PA      | $15300.25     | 0.00%             | 2033-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15159 | PA      | $15242.20     | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5520 | PA      | $5564.08      | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37690 | PA      | $38432.06     | 0.00%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241K4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210191 | PA      | $216334.23    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15122 | PA      | $15561.02     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9380 | PA      | $9654.58      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6324099.60   | 0.36%             | 2049-10-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    5261128 | PA      | $4406687.01   | 0.25%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292FC39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        990 | PA      | $1010.77      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82595 | PA      | $84834.88     | 0.00%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295NNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $574.65       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295YXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22854 | PA      | $23296.74     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296B6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24008 | PA      | $24652.74     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296GQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31744 | PA      | $32358.79     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296QRY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3012 | PA      | $3099.71      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296RZS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        942 | PA      | $952.69       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296XE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26362 | PA      | $26899.23     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7986181 | PA      | $1747457.91   | 0.10%             | 2036-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                      | CUSIP: 366651AJ6<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3624279.91   | 0.20%             | 2031-03-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2905944.74   | 0.16%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                              | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     600000 | PA      | $600711.95    | 0.03%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3482416.95   | 0.20%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4505401.76   | 0.25%             | 2027-03-18      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3305270.79   | 0.19%             | 2027-05-21      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157339 | PA      | $157433.23    | 0.01%             | 2064-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1956739 | PA      | $1980589.05   | 0.11%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219401 | PA      | $219519.62    | 0.01%             | 2065-05-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     739949 | PA      | $740803.15    | 0.04%             | 2065-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     865246 | PA      | $866113.25    | 0.05%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1291771 | PA      | $1296001.19   | 0.07%             | 2066-01-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4733369 | PA      | $4760244.52   | 0.27%             | 2073-03-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1552921 | PA      | $1556892.74   | 0.09%             | 2072-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3111708 | PA      | $3155636.15   | 0.18%             | 2072-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7368860 | PA      | $7412216.76   | 0.42%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2455047 | PA      | $2434754.73   | 0.14%             | 2072-01-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4390788 | PA      | $4410792.62   | 0.25%             | 2073-01-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YY64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4838930 | PA      | $4876025.90   | 0.27%             | 2073-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38383KLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8937089 | PA      | $9042104.66   | 0.51%             | 2073-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16602 | PA      | $16006.97     | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                          | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    3500000 | PA      | $3665490.50   | 0.21%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1428674 | PA      | $1435399.09   | 0.08%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                          | CUSIP: 404119DD8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3487771.21   | 0.20%             | 2030-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8988430.40   | 0.51%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-OPT3                                    | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     278987 | PA      | $272714.78    | 0.02%             | 2036-02-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     503001 | PA      | $408445.95    | 0.02%             | 2038-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-4                                                   | CUSIP: 437084CZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440558 | PA      | $440354.13    | 0.02%             | 2034-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust            | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2678339 | PA      | $2402394.69   | 0.14%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HYDRO-QUEBEC                                      | Hydro-Quebec                                                                     | CUSIP: 448814DB6<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $1149314.12   | 0.06%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7084237.18   | 0.40%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3425291.92   | 0.19%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     800000 | PA      | $847775.59    | 0.05%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2630554.03   | 0.15%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IMC Home Equity Loan Trust                        | Imc Home Equity Loan Trust 1998-3                                                | CUSIP: 449670EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        193 | PA      | $192.06       | 0.00%             | 2029-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-4                                                    | CUSIP: 45254NPA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14648 | PA      | $14296.66     | 0.00%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1587562 | PA      | $127510.16    | 0.01%             | 2035-11-25      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        612 | PA      | $593.16       | 0.00%             | 2032-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                     | CUSIP: 456837BJ1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4700000 | PA      | $4732954.14   | 0.27%             | 2027-09-11      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                    | CUSIP: 45865VAA8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1303910.40   | 0.07%             | 2028-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                    | CUSIP: 45865VAC4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     900000 | PA      | $900910.35    | 0.05%             | 2031-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Invesco CLO 2022-2, Ltd.                          | Invesco CLO 2022-2 Ltd                                                           | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |    4700000 | PA      | $4700474.65   | 0.26%             | 2035-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                        | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3058683.07   | 0.17%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                   | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081454 | PA      | $1051150.90   | 0.06%             | 2029-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2006-HE3                                          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10122814 | PA      | $3332077.21   | 0.19%             | 2037-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     780622 | PA      | $536983.25    | 0.03%             | 2035-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1294097 | PA      | $1091902.65   | 0.06%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-ACC1                                   | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7099160 | PA      | $6894435.12   | 0.39%             | 2036-05-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust Series 2008-R4                                  | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     829454 | PA      | $394027.10    | 0.02%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2371871 | PA      | $2010926.73   | 0.11%             | 2037-12-26      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4862984.11   | 0.27%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4368771.41   | 0.25%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4127622.27   | 0.23%             | 2028-07-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839190 | PA      | $2832435.42   | 0.16%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                              | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5920773 | PA      | $5649669.64   | 0.32%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    2600000 | PA      | $2685821.50   | 0.15%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| KOREA DEVELOPMENT BANK                            | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |     900000 | PA      | $905221.80    | 0.05%             | 2026-10-23      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1000000 | PA      | $1002589.34   | 0.06%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1000000 | PA      | $1001980.63   | 0.06%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                  | Kuwait International Government Bond                                             | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     700000 | PA      | $700808.98    | 0.04%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                 | CUSIP: 50222CAA8<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3640815.61   | 0.21%             | 2027-03-28      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                  | Lazard Group LLC                                                                 | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2756848.56   | 0.16%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4687875 | PA      | $3049827.12   | 0.17%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     697659 | PA      | $467576.26    | 0.03%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2325971.62   | 0.13%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3390453.24   | 0.19%             | 2031-11-04      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XXV Ltd                                                                | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    1313648 | PA      | $1315032.90   | 0.07%             | 2032-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8277736.50   | 0.47%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                           | Manulife Financial Corp                                                          | CUSIP: 56501RAC0<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $500093.87    | 0.03%             | 2026-03-04      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                  | Marble Point CLO XXII Ltd                                                        | CUSIP: 56606GAJ3<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5505867.02   | 0.31%             | 2034-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                         | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3548741.46   | 0.20%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BZ4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1911592.47   | 0.11%             | 2027-11-08      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3012293.79   | 0.17%             | 2026-07-10      | Floating      | 4.96%                 | No            |                  2 | On Loan: —       |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3022427.04   | 0.17%             | 2027-10-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4087003.12   | 0.23%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4612 | PA      | $4588.59      | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     683910 | PA      | $58256.94     | 0.00%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6798476 | PA      | $1386275.84   | 0.08%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1                          | CUSIP: 59020UQV0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     716601 | PA      | $707686.59    | 0.04%             | 2035-09-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYU3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       7468 | PA      | $7260.66      | 0.00%             | 2035-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3249427 | PA      | $3185025.30   | 0.18%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3300000 | PA      | $3380469.21   | 0.19%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4430798.15   | 0.25%             | 2028-01-14      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4694477.70   | 0.26%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-HE2                                      | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230994 | PA      | $1045105.02   | 0.06%             | 2036-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Pacific Life U.S. Government Fund Direct          | Pacific Life U.S. Government Fund Direct                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    7112144 | NS      | $7112144.32   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4399158.24   | 0.25%             | 2029-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |    4817985 | PA      | $2317216.91   | 0.13%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAC0<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |    2117433 | PA      | $905679.73    | 0.05%             | 2037-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAD8<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |    3545469 | PA      | $1516984.42   | 0.09%             | 2037-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |     115492 | PA      | $106007.31    | 0.01%             | 2037-05-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |    5050822 | PA      | $4634158.57   | 0.26%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4350610.04   | 0.25%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                           | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3611763.32   | 0.20%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                               | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1929425.32   | 0.11%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAZ1<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    4000000 | PA      | $3996498.24   | 0.23%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11191629.12  | 0.63%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                 | National Grid PLC                                                                | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3513491.66   | 0.20%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                      | NNN REIT Inc                                                                     | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    5600000 | PA      | $5555428.20   | 0.31%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2650006.19   | 0.15%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    4300000 | PA      | $4381963.85   | 0.25%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: —       |
| NATWEST MARKETS PLC                               | NatWest Markets PLC                                                              | CUSIP: 63906YAT5<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4012691.00   | 0.23%             | 2028-11-06      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1066893 | PA      | $1090398.28   | 0.06%             | 2041-02-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1066893 | PA      | $1111483.61   | 0.06%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAA6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    2198002 | PA      | $2192282.07   | 0.12%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1815741 | PA      | $1831050.33   | 0.10%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAA4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    2419889 | PA      | $2366867.38   | 0.13%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-INV1                                    | CUSIP: 64831DAB8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    5455875 | PA      | $4770868.46   | 0.27%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    2565074 | PA      | $2595618.37   | 0.15%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $2572310.66   | 0.14%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5610320.62   | 0.32%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4788646.66   | 0.27%             | 2029-09-13      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $476377.57    | 0.03%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1755836.26   | 0.10%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                  | Norinchukin Bank/The                                                             | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    2100000 | PA      | $2115237.64   | 0.12%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                          | Northwestern Mutual Global Funding                                               | CUSIP: 66815L2M0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3786296.51   | 0.21%             | 2028-06-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM1 Trust                                                              | CUSIP: 670855AA3<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    3101457 | PA      | $3094107.63   | 0.17%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    2097153 | PA      | $2058213.66   | 0.12%             | 2057-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                          | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     590000 | PA      | $595023.22    | 0.03%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3780000 | PA      | $3708294.91   | 0.21%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                       | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     444000 | PA      | $324876.47    | 0.02%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3611762 | PA      | $2392862.97   | 0.13%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10486398 | PA      | $5194738.17   | 0.29%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2606974.72   | 0.15%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2819870.93   | 0.16%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4644420 | PA      | $3425568.26   | 0.19%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2790012 | PA      | $2789611.65   | 0.16%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                    | PEAC Solutions Receivables 2025-1 LLC                                            | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2415761.28   | 0.14%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2094934.15   | 0.12%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3563257.25   | 0.20%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4363848.46   | 0.25%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAA0<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |    1164194 | PA      | $1168072.05   | 0.07%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6246581 | PA      | $6085152.76   | 0.34%             | 2035-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                             | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4213557.27   | 0.24%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     881000 | PA      | $291536.83    | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5684000 | PA      | $1880925.48   | 0.11%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   31350000 | PA      | $10067683.37  | 0.57%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1900000 | PA      | $2202907.50   | 0.12%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                        | CUSIP: 71710TAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2777239 | PA      | $2826991.45   | 0.16%             | 2033-06-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2300000 | PA      | $2361099.96   | 0.13%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                                 | CUSIP: 74256LEW5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6505606.55   | 0.37%             | 2028-06-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                                   | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3210360.19   | 0.18%             | 2026-04-14      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                              | CUSIP: 744573AY2<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3701493.72   | 0.21%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    8800000 | PA      | $6739111.87   | 0.38%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2007-SP2 Trust                                                       | CUSIP: 74919XAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1134241 | PA      | $1111794.36   | 0.06%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626908 | PA      | $194917.22    | 0.01%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    6700000 | PA      | $6772230.89   | 0.38%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                         | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3143143.69   | 0.18%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                               | CUSIP: 756109BZ6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    8100000 | PA      | $8038356.89   | 0.45%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                | Regency Centers LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |    3500000 | PA      | $3509501.87   | 0.20%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104633 | PA      | $96463.10     | 0.01%             | 2033-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335202 | PA      | $209025.96    | 0.01%             | 2035-09-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4870064.66   | 0.27%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST                             | Rio Oil Finance Trust Series 2014-3                                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1073329 | PA      | $1107235.92   | 0.06%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                   | Rolls-Royce PLC                                                                  | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $974565.77    | 0.05%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    6500000 | PA      | $6403457.78   | 0.36%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3537510.10   | 0.20%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-LIH Mortgage Trust                                                     | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $7088556.93   | 0.40%             | 2036-11-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | CITIGROUP REPO                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |    2000000 | PA      | $2000000.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $5923798.08   | 0.33%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: —       |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    5000000 | PA      | $5084892.85   | 0.29%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4400000 | PA      | $4495670.74   | 0.25%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-2                                              | CUSIP: 805564SD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1156977 | PA      | $1145068.84   | 0.06%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TRUST 1/2                           | Scentre Group Trust 1 / Scentre Group Trust 2                                    | CUSIP: 80622GAD6<br>LEI: 549300SQ859FBKRKSI77 | Long             | DBT              |  | AU        |    7300000 | PA      | $7296911.95   | 0.41%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2005-FR5                          | CUSIP: 81375WFU5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    2386816 | PA      | $1861926.16   | 0.10%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110416 | PA      | $110958.94    | 0.01%             | 2033-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2471348 | PA      | $2538870.34   | 0.14%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYENSQO FINANCE AMERICA                           | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4768514.47   | 0.27%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300628 | PA      | $345429.67    | 0.02%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4600079.19   | 0.26%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5681484.69   | 0.32%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3996771.00   | 0.23%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                        | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1937707.17   | 0.11%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                | CUSIP: 862121AA8<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    7600000 | PA      | $7625860.44   | 0.43%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2099807 | PA      | $944025.56    | 0.05%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19842 | PA      | $19696.82     | 0.00%             | 2035-01-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust            | Structured Asset Investment Loan Trust 2006-1                                    | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3424648 | PA      | $3263591.53   | 0.18%             | 2036-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR3                             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4358 | PA      | $4148.82      | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25059 | PA      | $24397.70     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10758 | PA      | $10749.09     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266223 | PA      | $228165.54    | 0.01%             | 2036-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462336 | PA      | $385051.60    | 0.02%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      91410 | PA      | $89507.16     | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1                    | CUSIP: 86359YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1016859 | PA      | $974495.08    | 0.05%             | 2036-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349532 | PA      | $248183.88    | 0.01%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6000000 | PA      | $5668602.24   | 0.32%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1600000 | PA      | $1600702.85   | 0.09%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4045789.00   | 0.23%             | 2029-07-09      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                   | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372382 | PA      | $64532.84     | 0.00%             | 2035-12-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                   | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5715150.28   | 0.32%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XXXII Ltd                                                           | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6100000 | PA      | $6099840.18   | 0.34%             | 2035-10-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7019216.78   | 0.40%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3908897 | PA      | $3902125.18   | 0.22%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-3                                                     | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66668 | PA      | $65832.97     | 0.00%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3400000 | PA      | $3412148.57   | 0.19%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    3073757 | PA      | $2957766.54   | 0.17%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2457455.28   | 0.14%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9600000 | PA      | $9296399.04   | 0.52%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2800000 | PA      | $2801095.58   | 0.16%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3600000 | PA      | $3604493.48   | 0.20%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5297603 | PA      | $4437503.10   | 0.25%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2905658 | PA      | $2612189.81   | 0.15%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3569781 | PA      | $3284313.62   | 0.19%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                           | United Airlines 2023-1 Class A Pass Through Trust                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4384964 | PA      | $4596201.96   | 0.26%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     900000 | PA      | $914175.00    | 0.05%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     365000 | PA      | $361875.41    | 0.02%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     304000 | PA      | $301185.25    | 0.02%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4802191.39   | 0.27%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7716843.75   | 0.43%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $20430738.33  | 1.15%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $5562304.66   | 0.31%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1967000 | PA      | $1917210.31   | 0.11%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $20232335.87  | 1.14%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $4271308.58   | 0.24%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20900000 | PA      | $18322605.52  | 1.03%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13500000 | PA      | $11593652.31  | 0.65%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33300000 | PA      | $26366836.10  | 1.49%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $921070.31    | 0.05%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7742616 | PA      | $5651954.83   | 0.32%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6903593.70   | 0.39%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3160361 | PA      | $2385521.36   | 0.13%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4585750 | PA      | $3310346.76   | 0.19%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8300000 | PA      | $6178960.90   | 0.35%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13334929 | PA      | $9751992.00   | 0.55%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1481406.24   | 0.08%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1424671.88   | 0.08%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2137050.77   | 0.12%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1811390 | PA      | $1304555.34   | 0.07%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13100000 | PA      | $9402832.06   | 0.53%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20798000 | PA      | $13049120.26  | 0.74%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14255000 | PA      | $9159951.10   | 0.52%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $3929445.35   | 0.22%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3419199 | PA      | $1970862.99   | 0.11%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $2206148.45   | 0.12%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20550000 | PA      | $13347064.50  | 0.75%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11375000 | PA      | $6360002.40   | 0.36%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3501484 | PA      | $1893742.19   | 0.11%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11000000 | PA      | $6936015.68   | 0.39%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $8654777.31   | 0.49%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4450000 | PA      | $2461232.43   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2222183 | PA      | $1177129.53   | 0.07%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45700000 | PA      | $38127367.42  | 2.15%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3734000 | PA      | $3423684.18   | 0.19%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13691125 | PA      | $10687048.34  | 0.60%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7300000 | PA      | $6569572.29   | 0.37%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5900000 | PA      | $5294558.58   | 0.30%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3635000 | PA      | $3473270.89   | 0.20%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8168545 | PA      | $7347441.30   | 0.41%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $491074.22    | 0.03%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9000000 | PA      | $8491640.58   | 0.48%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1238136 | PA      | $1175793.95   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19209000 | PA      | $19401090.00  | 1.09%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      20000 | PA      | $19614.06     | 0.00%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |          0 | PA      | $0.01         | 0.00%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8140800 | PA      | $8109430.65   | 0.46%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     401000 | PA      | $403944.84    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78700000 | PA      | $78434079.78  | 4.42%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8630000 | PA      | $8595614.80   | 0.48%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $1234736.18   | 0.07%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $1824238.57   | 0.10%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $276091.92    | 0.02%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $5530479.72   | 0.31%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                      | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5325750 | PA      | $4457756.36   | 0.25%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $844372.08    | 0.05%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $182133.58    | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXIX CLO Ltd                                                             | CUSIP: 92331EAF3<br>LEI: 549300ITFR7G25007V93 | Long             | ABS-CBDO         | CORP              | KY        |       7322 | PA      | $7325.68      | 0.00%             | 2030-09-07      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1520165.39   | 0.09%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAA3<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    2946354 | PA      | $2839902.72   | 0.16%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-1                                                | CUSIP: 92539BAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    3073854 | PA      | $3066529.54   | 0.17%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $730345.00    | 0.04%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6398819.80   | 0.36%             | 2028-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1706015.04   | 0.10%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    2005955 | PA      | $2007271.57   | 0.11%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11022 | PA      | $10729.07     | 0.00%             | 2045-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200508 | PA      | $194032.32    | 0.01%             | 2036-01-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11060 | PA      | $11146.96     | 0.00%             | 2045-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR1 Trust   | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1321 | PA      | $1331.09      | 0.00%             | 2033-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725423 | PA      | $653650.22    | 0.04%             | 2046-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1613454 | PA      | $90140.58     | 0.01%             | 2035-11-25      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5291536 | PA      | $252534.84    | 0.01%             | 2035-11-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986264 | PA      | $791750.45    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2722836.14   | 0.15%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4430937.02   | 0.25%             | 2026-12-11      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2150259.41   | 0.12%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $606783.70    | 0.03%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4870811.40   | 0.27%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2021-2 Ltd                                                         | CUSIP: 95023AAL4<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |    4050000 | PA      | $4051772.20   | 0.23%             | 2034-07-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Cashmere Valley Bank                              | Cashmere Valley Bank                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   30400000 | PA      | $20287441.01  | 1.14%             | 2057-12-30      | Variable      | 4.54%                 | No            |                  3 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                          | Western Midstream Operating LP                                                   | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     400000 | PA      | $421087.08    | 0.02%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4600000 | PA      | $267157.90    | 0.02%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    5600000 | PA      | $1546563.19   | 0.09%             | 2018-01-15      | None          | 4.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   55000000 | PA      | $3294239.41   | 0.19%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1000000 | PA      | $276172.00    | 0.02%             | 2017-05-08      | None          | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    6900000 | PA      | $3916310.30   | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   10160000 | PA      | $615187.36    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6174768 | PA      | $7324436.38   | 0.41%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain Fuji Eur CLO V DAC                                                  | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |    3457496 | PA      | $4067310.38   | 0.23%             | 2033-01-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    9000000 | PA      | $6096472.56   | 0.34%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    2800000 | PA      | $1509551.11   | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                      | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    2974118 | PA      | $3499133.24   | 0.20%             | 2034-05-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    2800000 | PA      | $1449046.49   | 0.08%             | 2034-03-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $2531884.44   | 0.14%             | 2030-01-17      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                           | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    2100000 | PA      | $2468100.48   | 0.14%             | 2026-01-20      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                          | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     700000 | PA      | $437831.67    | 0.02%             | 2035-08-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                   | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    3300000 | PA      | $4189309.59   | 0.24%             | 2028-11-13      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   22200000 | PA      | $3918902.93   | 0.22%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    9347000 | PA      | $11048509.38  | 0.62%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVE                           | IRB INFRASTRUCTURE DEVELOPERS                                                    | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |    2500000 | PA      | $2583463.45   | 0.15%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                          | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $314028.23    | 0.02%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $1066898.91   | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Trinity Square                                    | Trinity Square 2021-1 PLC                                                        | CUSIP: 000000000<br>LEI: 6354001L6FRKQUMWRQ12 | Long             | ABS-MBS          | CORP              | GB        |    2549263 | PA      | $3442452.18   | 0.19%             | 2059-07-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    2957344 | PA      | $3992643.25   | 0.22%             | 2053-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  332000000 | PA      | $1542890.31   | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    8000000 | PA      | $9533187.06   | 0.54%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $2461915.22   | 0.14%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  790000000 | PA      | $4390188.97   | 0.25%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  649900000 | PA      | $3409506.34   | 0.19%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  431900000 | PA      | $2553432.28   | 0.14%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $674626.19    | 0.04%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $2744417.77   | 0.15%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1525555.08   | 0.09%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1528310.27   | 0.09%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     500000 | PA      | $585782.54    | 0.03%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  210000000 | PA      | $1300997.19   | 0.07%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 000000000<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1302893.68   | 0.07%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-3906.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -211 | NC      | $422193.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -18 | NC      | $10662.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1919 | NC      | $-409192.62   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -80 | NC      | $172895.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2084 | NC      | $-244565.41   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         55 | NC      | $10245.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1072 | NC      | $700510.24    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR26                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         89 | NC      | $78211.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        176 | NC      | $23917.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT MAR26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        160 | NC      | $-159230.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  FEB26P 127.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -11 | NC      | $-7756.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  FEB26C 130.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -11 | NC      | $-517.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 31750RTQ0 OTC ECAL FN 4.0 JAN26 97.375 CALL                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -700000 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | 31750RTH0 OTC ECAL FN 4.0 JAN26 97.375 CALL                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    -700000 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                               | RMAC Securities No 1 PLC                                                         | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    2402785 | PA      | $3192462.09   | 0.18%             | 2044-06-12      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8200000 | PA      | $421087.64    | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                             | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    1146922 | PA      | $1333024.38   | 0.08%             | 2043-12-15      | Floating      | 2.26%                 | Yes           |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                          | Tesco Property Finance 4 PLC                                                     | CUSIP: 000000000<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     174177 | PA      | $237563.74    | 0.01%             | 2040-10-13      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Stepstone Group MidCo 2 GmbH/The                  | Stepstone Group MidCo 2 GmbH/TheUSD Term Loan B                                  | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     471859 | PA      | $443547.46    | 0.02%             | 2031-12-19      | Floating      | 8.25%                 | No            |                  3 | On Loan: No      |
| TREASURY CORP VICTORIA                            | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1300000 | PA      | $710284.66    | 0.04%             | 2033-09-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1750000 | PA      | $101175.39    | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  205900000 | PA      | $12955351.34  | 0.73%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S0H9 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -5776000 | OU      | $-10523.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S0G1 PIMCO FXVAN PUT USD KRW 1413.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    5776000 | OU      | $35274.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S113 PIMCO FXVAN PUT USD KRW 1410.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   11793000 | OU      | $65757.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S121 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |  -11793000 | OU      | $-21486.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S170 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -3006000 | OU      | $-4334.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 31750S162 PIMCO FXVAN PUT USD KRW 1415.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    3006000 | OU      | $17016.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 31750S1B1 PIMCO FXVAN PUT USD KRW 1372.0000000                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -189000 | OU      | $-281.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 31750S1A3 PIMCO FXVAN PUT USD KRW 1412.0000000                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     189000 | OU      | $1054.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 31750S188 PIMCO FXVAN PUT USD KRW 1412.0000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    1980000 | OU      | $11050.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 31750S196 PIMCO FXVAN PUT USD KRW 1372.0000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -1980000 | OU      | $-2944.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UB7YA6 PIMCO SWAPTION 3.8475 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-52.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UB7ZA5 PIMCO SWAPTION 3.5475 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UB9JA9 PIMCO SWAPTION 3.551 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |    -600000 | NC      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UB9IA0 PIMCO SWAPTION 3.831 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |    -600000 | NC      | $-330.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-119.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-54.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UBA5A1 PIMCO SWAPTION 3.925 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | LU        |    -600000 | NC      | $-119.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UBA6A0 PIMCO SWAPTION 3.625 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | LU        |    -600000 | NC      | $-54.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UBBLA1 PIMCO SWAPTION 3.5775 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -500000 | NC      | $-54.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UBBKA2 PIMCO SWAPTION 3.8775 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -500000 | NC      | $-496.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-294.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-188.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UBCLA9 PIMCO SWAPTION 3.6475 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-414.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UBCKA0 PIMCO SWAPTION 3.9275 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-480.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1478.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |    -500000 | NC      | $-682.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6800000 | PA      | $2016839.29   | 0.11%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| CLEAR STREET                                      | CLEAR STREET                                                                     | CUSIP: 000000000<br>LEI: 549300KNQS43Y7TO3X67 | Long             | RA               | CORP              | US        |   14737450 | PA      | $14737450.08  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| SWIB                                              | SWIB                                                                             | CUSIP: 000000000<br>LEI: VY0GIYI3352UC4XOP168 | Long             | RA               | CORP              | US        |   12125993 | PA      | $12125993.21  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3500000 | PA      | $203272.32    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7300000 | OU      | $49983.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4800000 | OU      | $33850.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1600000 | OU      | $-1728.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    4600000 | OU      | $-4968.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    2100000 | OU      | $-6518.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1900000 | OU      | $-5898.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6000000 | OU      | $83530.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2400000 | OU      | $271460.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     300000 | OU      | $5196.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1000000 | OU      | $-3288.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG44 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   17800000 | OU      | $399207.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | ORACLE CORPORATION SNR S* ICE                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1000000 | OU      | $-14757.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   11300000 | OU      | $178813.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG45 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   80900000 | OU      | $1831878.07   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX ITRAXX MAIN44 5Y ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3700000 | OU      | $100432.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    2416013 | OU      | $483944.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                             | CDX ITRAXX XOV44 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    2800000 | OU      | $654888.67    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3300000 | OU      | $771833.08    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | CDX ITRAXX XOV44 5Y 35-100% SP BOA                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    2100000 | OU      | $491166.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     640000 | OU      | $149688.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV44 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    2160000 | OU      | $505199.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |     247080 | OU      | $1293.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  310000000 | OU      | $-873268.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  189800000 | OU      | $184375.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   50000000 | OU      | $46945.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33230000 | OU      | $3486787.35   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   29000000 | OU      | $-554876.32   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11600000 | OU      | $4609957.16   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   12700000 | OU      | $-77852.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.15600 03/10/28-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27580000 | OU      | $703648.54    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    7300000 | OU      | $-57081.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    1500000 | OU      | $-55967.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   28300000 | OU      | $-710705.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $-60703.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25000000 | OU      | $2820912.50   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37900000 | OU      | $-226967.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-46919.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11490000 | OU      | $-56675.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4100000 | OU      | $-50334.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2100000 | OU      | $-25320.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-56422.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $-119525.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-37486.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75375 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-47444.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11000000 | OU      | $-105713.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     280000 | OU      | $-7711.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4800000 | OU      | $543031.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   90700000 | OU      | $-603352.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   32900000 | OU      | $-222108.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14425000 | OU      | $-142465.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-253558.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.76473 12/17/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $157191.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89548 12/23/24-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8469000 | OU      | $392092.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $5202.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $3576.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-1142.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/17/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37600000 | OU      | $-500034.88   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 09/17/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $1217442.79   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-16900.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/2.74040 03/10/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $22518.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21300000 | OU      | $156642.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $1859805.78   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $-36064.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3590000000 | OU      | $511632.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2700000 | OU      | $-38699.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.88400 03/25/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-15021.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-18196.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3400000 | OU      | $-2568.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6000000 | OU      | $-5067.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   31600000 | OU      | $-29821.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   58300000 | OU      | $-48965.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3900000 | OU      | $-1862.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4600000 | OU      | $-1501.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34666000 | OU      | $-385766.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $-13367.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.4 07/10/25-01/02/29 CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   45800000 | OU      | $5560.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.50000 03/18/26-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8660000 | OU      | $-53611.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 03/18/26-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   60800000 | OU      | $-1285224.28  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 03/18/26-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   22070000 | OU      | $1316013.35   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1090000 | OU      | $-10161.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.0166 08/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   63300000 | OU      | $76947.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13 08/13/25-01/02/29 CME                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15400000 | OU      | $19589.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.55100 09/17/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $22205.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $20460.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $11018.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3423000 | OU      | $14818.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                          | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    5900000 | PA      | $5668611.26   | 0.32%             | 2028-07-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President