# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000160
**Filing Date:** 2023-3
**Character Count:** 153621
**Document Hash:** 6ba1b040f0cf9efcdfbd9f5b5d89085e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000160.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000160

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688705

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Dynamic Bond Portfolio (Series ID: S000031689)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000098623 | Administrative | PUNCBDA         |
| C000098624 | Institutional  | PVUCBPA         |
| C000098625 | Advisor        | PUNCBAD         |
| C000139587 | M              | PUNCBAM         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Dynamic Bond Portfolio

- **b. EDGAR series identifier (if any):** S000031689

- **c. LEI of Series:** 2Y1XML2ORN6K1XCACT73

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $104465245.11

**Total Liabilities:** $24002450.18

**Net Assets:** $80462794.93

**Cash Not Reported:** $1403014.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5714.423100 | **1-Year:** 1709.429000 | **5-Year:** 3190.590300 | **10-Year:** 3187.501100 | **30-Year:** -1322.306200

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

- **3-Month:** 1423.571300 | **1-Year:** 2049.077400 | **5-Year:** 4614.263500 | **10-Year:** 1133.843700 | **30-Year:** 103.779400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098624 | 0.00%                | 0.96%                | -0.07%               |
| Class ID C000098623 | -0.01%               | 0.95%                | -0.08%               |
| Class ID C000098625 | -0.02%               | 0.94%                | -0.09%               |
| Class ID C000139587 | -0.03%               | 0.92%                | -0.11%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-497774.94              | $-75015.46                                 |
| Month 2  | $189484.14               | $870997.80                                 |
| Month 3  | $255559.54               | $177980.64                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                         | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-9843.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U259Z3 PIMCO SWAPTION 0.01985 PUT USD 20230           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-121132.05   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U260Z0 PIMCO SWAPTION 0.02134 PUT USD 20230           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $72384.21     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U269Z1 PIMCO SWAPTION 0.0196 PUT USD 202309           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-81717.30    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U270Z8 PIMCO SWAPTION 0.02102 PUT USD 20230           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $49287.24     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U341Z3 PIMCO SWAPTION 0.0206 PUT USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $25206.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U342Z2 PIMCO SWAPTION 0.020 PUT USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-39403.50    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U365O9 PIMCO SWAPTION 2.1 PUT EUR 20230331            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3300000 | NC      | $-50817.25    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U366O8 PIMCO SWAPTION 0.55 CALL EUR 2023033           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3300000 | NC      | $-1.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U367O7 PIMCO SWAPTION 2.1 PUT EUR 20230331            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4619.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U368O6 PIMCO SWAPTION 0.55 CALL EUR 2023033           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U789Y5 PIMCO SWAPTION 0.0211 PUT USD 202306           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-117636.60   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U790Y2 PIMCO SWAPTION 0.0228 PUT USD 202306           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $65676.60     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U813I0 PIMCO SWAPTION 0.5 PUT EUR 20230207            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        | -11200000 | NC      | $-334828.55   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS CAD 2.00000 11/14/22-1Y (WHT) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-23081.16    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS CAD 2.06000 10/28/22-1Y (WHT) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-205887.79   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-G                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2006 G 1A1           | CUSIP: 05950MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530614 | PA      | $509394.21    | 0.63%             | 2036-07-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 0.55000 08/10/22-2Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4664.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 0.65000 04/12/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-21682.08    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 0.65000 05/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-22047.43    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 0.70000 04/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-10563.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 1.00000 05/13/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-18533.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 1.00000 05/18/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-9268.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS EUR 1.75000 03/15/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-120143.48   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS KRW 1.75000 12/15/21-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $207138.34    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS KRW 1.75000 12/15/21-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-209724.51   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS KRW 2.00000 12/15/21-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $59649.39     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS KRW 2.00000 12/15/21-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-59708.98    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS MXN 5.66000 03/25/22-1Y (WHT) CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-5985.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 1A1           | CUSIP: 05952DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334548 | PA      | $328397.78    | 0.41%             | 2047-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS NZD 3.00000 11/01/22-1Y (WHT) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-33472.89    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS NZD 3.00000 12/15/22-1Y (WHT) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-58282.76    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.16000 09/16/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $1984.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.24000 09/23/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $350.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.25000 09/23/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $268.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.27000 09/20/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-84.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.28000 09/26/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-333.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.31000 09/19/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-808.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 6.98500 10/11/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-19120.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS PLN 7.15600 10/13/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-12233.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB P 1.00000 12/15/21-5Y GLM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $30430.14     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB P 1.00000 12/15/21-5Y NGF                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $98830.65     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB P 1.00000 12/15/21-5Y NGF                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $23563.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB R 1.50000 12/15/21-10Y GLM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-30178.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB R 1.50000 12/15/21-10Y GLM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-20521.26    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS THB R 1.50000 12/15/21-10Y NGF                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-90052.20    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS USD 1.27000 11/04/22-1Y (WHT) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-266460.92   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                         | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR     | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    100000 | PA      | $86549.27     | 0.11%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS USD 1.80000 10/01/21-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-220072.28   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | IRS USD 2.25000 06/20/18-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $720931.78    | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | OIS THB P 1.00000/THORON 12/15/21-5Y BOA                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $31869.74     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | OIS THB R THORON/1.50000 12/15/21-10Y BO                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-27919.90    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR GBP SONIO/0.50000 02/07/22-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-19895.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-323655.84   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $136456.18    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR USD SOFR/1.75000 12/21/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $192940.31    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR USD SOFR/1.85250 05/18/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-69776.73    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR USD SOFR/1.85700 07/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-127906.72   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | RFR USD SOFR/3.35000 12/14/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12483.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 10.2055 12/13/21-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3923.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.0475 01/05/22-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-43821.78    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.086 02/16/22-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-25917.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.0975 02/17/22-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-24910.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.115 02/22/22-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-22238.31    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | BANCO SANTANDER SA SR UNSECURED 03/26 1.849              | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $176752.80    | 0.22%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.734 09/01/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-13106.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.8 09/01/22-01/02/25 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-12253.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.814 05/27/22-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-13047.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.835 09/01/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-14753.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ZCS BRL 11.8675 05/26/22-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11028.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD JPY BOUGHT USD 20230117                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-177568.65   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD JPY BOUGHT USD 20230123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-211276.68   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | TURKEY EM SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4216.31     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-23480.06    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG/STAMFORD CT BRANCH SUB SE BP BOA                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-331.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 31750KML3 OTC EPUT FN 4.5 MAR23 97.15625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4857.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317536AI1 OTC ECAL FN 5.5 JAN23 101.890625 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317541068 OTC EPUT FN 5.5 FEB23 100 PUT                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1398.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 3175472V8 OTC ECAL FN 4.5 MAR23 99.15625 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-668.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317557H41 OTC ECAL FN 5.5 FEB23 101.8125 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-214.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317581LR5 OTC ECAL FN 5.5 FEB23 102 CALL                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-354.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317594885 OPTION FEB23 99.8125 OTC EPUT FN 5.5           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-628.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                 | BANK OF AMERICA CORP SR UNSECURED 04/26 VAR              | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191176.98    | 0.24%             | 2026-04-02      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | US 10YR NOTE (CBT)MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        55 | NC      | $-23708.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | US 10YR ULTRA FUT MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -7 | NC      | $7099.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | US 2YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        42 | NC      | $-47613.72    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | US 5YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       106 | NC      | $-16288.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | US LONG BOND(CBT) MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -7 | NC      | $4146.31      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | US ULTRA BOND CBT MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -26 | NC      | $11946.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1          | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29769 | PA      | $24926.73     | 0.03%             | 2035-06-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                | BARCLAYS PLC SR UNSECURED 01/26 4.375                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $290644.88    | 0.36%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                     | BCAP LLC TRUST BCAP 2011 RR5 15A1 144A                   | CUSIP: 05534AAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323222 | PA      | $138506.37    | 0.17%             | 2036-06-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SERVICES HOLDING SA                                       | CONSTELLATION OIL B SHS EQUITY EQTYMR935                 | CUSIP: 944PZA905<br>LEI: 5493005YJTU769NW5I10 | Long             | EC               | CORP              | US        |    168354 | NS      | $18248.90     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 15A1        | CUSIP: 07384M4G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3844 | PA      | $3636.55      | 0.00%             | 2035-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267060 | PA      | $240644.09    | 0.30%             | 2034-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                             | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1SB 144A           | CUSIP: 078446AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    287369 | PA      | $89796.95     | 0.11%             | 2044-11-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                             | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1ST 144A           | CUSIP: 078446AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    187680 | PA      | $58128.19     | 0.07%             | 2044-11-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP PARIBAS SR UNSECURED 144A 09/28 VAR                  | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $166843.62    | 0.21%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                               | BOEING CO SR UNSECURED 02/24 1.95                        | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192754.75    | 0.24%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC) | CAESARS RESORT COLLECTION LLC TERM B LOANS               | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    217979 | PA      | $217769.46    | 0.27%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                        | CARNIVAL CORPORATION USD TERM LOAN B                     | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |    195000 | PA      | $187512.98    | 0.23%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE COMMERCIAL MORTGAGE 2006-1A                    | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 1A A 144A       | CUSIP: 149837AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525240 | PA      | $372683.56    | 0.46%             | 2038-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO)           | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 02/28 5         | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $637136.50    | 0.79%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                                        | CHARTER COMMUNICATIONS OPERATI 2019 TERM LOAN B2         | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    187262 | PA      | $183142.29    | 0.23%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                        | CHENIERE CORP CHRISTI HD SR SECURED 03/25 5.875          | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402704.74    | 0.50%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CITRIX (PICARD MIDCO INC)                                                   | PICARD MIDCO INC SR SECURED 144A 03/29 6.5               | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $84406.62     | 0.10%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAPITAL LLC                                                  | CNH INDUSTRIAL CAPITAL                                   | CUSIP: 18977HPM9<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248143.90    | 0.31%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SERVICES HOLDING SA                                       | CONSTELLATION OIL SA SR SECURED 12/26 3                  | CUSIP: 21038MAM5<br>LEI: 5493005YJTU769NW5I10 | Long             | DBT              | CORP              | LU        |    150505 | PA      | $89080.15     | 0.11%             | 2026-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                                    | COTY INC SR SECURED 144A 04/26 5                         | CUSIP: 222070AE4<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189932.40    | 0.24%             | 2026-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-4                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 4 1A2          | CUSIP: 12667F6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464559 | PA      | $328748.23    | 0.41%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A15      | CUSIP: 02149JCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276441 | PA      | $158034.82    | 0.20%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1        | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151686 | PA      | $115059.24    | 0.14%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-25                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 25 1A2         | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375297 | PA      | $189249.46    | 0.24%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A3          | CUSIP: 23246LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119876 | PA      | $131731.57    | 0.16%             | 2047-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A3           | CUSIP: 12667HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33148 | PA      | $33070.86     | 0.04%             | 2047-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 AF5B           | CUSIP: 126673D25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80263 | PA      | $78534.96     | 0.10%             | 2035-08-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A            | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231974 | PA      | $212732.19    | 0.26%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347234 | PA      | $307730.09    | 0.38%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3            | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1113118 | PA      | $985069.25    | 1.22%             | 2047-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF5            | CUSIP: 126670TG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257236 | PA      | $228030.16    | 0.28%             | 2036-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                              | COUNTRYWIDE HOME LOANS CWHL 2004 12 11A2                 | CUSIP: 12669FN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13967 | PA      | $13858.22     | 0.02%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                            | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 4A1                | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180364 | PA      | $144118.60    | 0.18%             | 2036-02-20      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                             | CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5             | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $388282.40    | 0.48%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | CREDIT SUISSE GROUP AG SR UNSECURED 03/25 3.75           | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    450000 | PA      | $405367.10    | 0.50%             | 2025-03-26      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-JR2 TRUST                                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 JR2 A1 144A       | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51803 | PA      | $49165.11     | 0.06%             | 2061-11-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | DELTA AIR LINES INC SR SECURED 144A 05/25 7              | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $409139.36    | 0.51%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 1A4B          | CUSIP: 25151YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294528 | PA      | $249462.18    | 0.31%             | 2037-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                            | DEUTSCHE BANK NY SR UNSECURED 07/26 VAR                  | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $397706.43    | 0.49%             | 2026-07-14      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                        | DISH DBS CORP SR SECURED 144A 12/28 5.75                 | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $80000.00     | 0.10%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                                           | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A              | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318521 | PA      | $255579.97    | 0.32%             | 2036-10-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                                    | ENEL FINANCE AMERICA                                     | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249575.33    | 0.31%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | ENERGY TRANSFER PARTNERS                                 | CUSIP: 29277FN56<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249797.67    | 0.31%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORPORATION                                                         | ENTERGY CORPORATION                                      | CUSIP: 29366GNC1<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249581.38    | 0.31%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                  | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5      | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    218000 | PA      | $38150.00     | 0.05%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                           | EXPEDIA GROUP INC COMPANY GUAR 144A 05/25 6.25           | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    176000 | PA      | $177634.68    | 0.22%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                          | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/30 4.625          | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $90952.79     | 0.11%             | 2030-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                 | NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR      | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |       550 | NS      | $83281.55     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60760 | PA      | $56583.58     | 0.07%             | 2034-06-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1         | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88253 | PA      | $70601.62     | 0.09%             | 2036-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1       | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107216 | PA      | $59885.95     | 0.07%             | 2036-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                           | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1        | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446254 | PA      | $240596.56    | 0.30%             | 2037-11-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                  | FISERV INC                                               | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249680.70    | 0.31%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                  | FISERV INC                                               | CUSIP: 33774LNP9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249223.50    | 0.31%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                 | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     11949 | PA      | $116092.04    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 4704                                                     | FREDDIE MAC FHR 4704 SK                                  | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    462457 | PA      | $50576.72     | 0.06%             | 2047-07-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                        | FRONTIER COMMUNICATIONS SR SECURED 144A 05/30 8.75       | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $101869.45    | 0.13%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                       | GEORGIA POWER CO SR UNSECURED 05/32 4.7                  | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96706.50     | 0.12%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                          | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR        | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |     15000 | NS      | $15441.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR           | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93294.84     | 0.12%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $372272.85    | 0.46%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                              | GSAA HOME EQUITY TRUST GSAA 2006 10 AF3                  | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908933 | PA      | $242662.73    | 0.30%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                        | GSAMP TRUST GSAMP 2006 FM3 A2C                           | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754867 | PA      | $366052.29    | 0.45%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP1                                          | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP1 1A3 144A        | CUSIP: 36242DXK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307789 | PA      | $303872.76    | 0.38%             | 2035-01-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 2 LTD                                                       | HALSEYPOINT CLO II, LTD. HLSY 2020 2A A1 144A            | CUSIP: 40638TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    398302 | PA      | $392167.62    | 0.49%             | 2031-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A3          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17903 | PA      | $15171.33     | 0.02%             | 2034-11-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                                       | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/29 3.75    | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86634.00     | 0.11%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                 | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR              | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    200000 | NS      | $177356.00    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR                 | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $478776.19    | 0.60%             | 2026-09-12      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                           | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2         | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794008 | PA      | $491144.86    | 0.61%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                           | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4         | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504439 | PA      | $137356.30    | 0.17%             | 2036-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BMD22<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |  44000000 | PA      | $117963.26    | 0.15%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BTZ49<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        | 140000000 | PA      | $375337.64    | 0.47%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR15                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR15 2A1        | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193865 | PA      | $146928.84    | 0.18%             | 2037-08-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1         | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14131 | PA      | $13385.49     | 0.02%             | 2034-10-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | INTESA SANPAOLO SPA SR UNSECURED 144A 09/24 3.25         | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $379647.40    | 0.47%             | 2024-09-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                 | STATE OF ISRAEL SR UNSECURED 07/50 3.875                 | CUSIP: 46513JB42<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $169027.80    | 0.21%             | 2050-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                  | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000             | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 273000000 | PA      | $2080287.46   | 2.59%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                  | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000             | CUSIP: ACI298TG8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 280000000 | PA      | $2133704.97   | 2.65%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                  | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000             | CUSIP: ACI2BP2X9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 290000000 | PA      | $2210507.54   | 2.75%             | 2023-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                        | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR               | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181207.40    | 0.23%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| LCM XXV LTD 25A                                                             | LCM LTD PARTNERSHIP LCM 25A AR 144A                      | CUSIP: 50189PAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    395716 | PA      | $391225.93    | 0.49%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                                                    | LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875   | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $469502.30    | 0.58%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                    | LEHMAN XS TRUST LXS 2006 GP4 3A5                         | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222693 | PA      | $208903.79    | 0.26%             | 2046-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                        | REGIONALCARE HOSPITAL PARTNERS 2018 TERM LOAN B          | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |    455538 | PA      | $430540.05    | 0.54%             | 2025-11-16      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                              | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/25 3.638   | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95178.40     | 0.12%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                       | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4              | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137119 | PA      | $131223.94    | 0.16%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                       | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C             | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353718 | PA      | $175061.37    | 0.22%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A1             | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256821 | PA      | $217301.09    | 0.27%             | 2036-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C            | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626451 | PA      | $255309.19    | 0.32%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                       | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C             | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146422 | PA      | $73125.98     | 0.09%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C             | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12018 | PA      | $9704.79      | 0.01%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                    | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A      | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375521 | PA      | $327780.03    | 0.41%             | 2042-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                               | MPT OPER PARTNERSP/FINL COMPANY GUAR 03/26 2.5           | CUSIP: ACI1WKQ21<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $192607.27    | 0.24%             | 2026-03-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                 | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/29 VAR      | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $451979.78    | 0.56%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $189598.59    | 0.24%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A       | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202859 | PA      | $190618.30    | 0.24%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                         | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $635821.66    | 0.79%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4             | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881831 | PA      | $597933.94    | 0.74%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)           | ONEMAIN FINANCE CORP COMPANY GUAR 03/24 6.125            | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193900.00    | 0.24%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                           | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8      | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252967 | PA      | $241216.52    | 0.30%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                            | ORGANON + CO/ORG SR SECURED 144A 04/28 4.125             | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $177430.00    | 0.22%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OZLM VIII LTD 2014-8A                                                       | OZLM LTD OZLM 2014 8A A1R3 144A                          | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    268969 | PA      | $265089.21    | 0.33%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                            | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186058.35    | 0.23%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                            | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2            | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178991.56    | 0.22%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                               | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/25 3.95    | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $289222.76    | 0.36%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                   | BONOS DE TESORERIA BONDS 02/29 5.94                      | CUSIP: ACI16QTC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    800000 | PA      | $193434.91    | 0.24%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                   | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35            | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    900000 | PA      | $225555.28    | 0.28%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                 | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    100000 | PA      | $75913.30     | 0.09%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                            | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR              | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     19681 | PA      | $8635.07      | 0.01%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA5                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1         | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587576 | PA      | $428895.98    | 0.53%             | 2037-09-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                        | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    288861 | PA      | $250918.47    | 0.31%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                         | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25         | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     90100 | PA      | $91457.23     | 0.11%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                | ROMANIA UNSECURED 144A 07/30 1.75                        | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $74797.52     | 0.09%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                    | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159090.25    | 0.20%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1                           | SECURITIZED ASSET BACKED RECEI SABR 2004 OP1 M1          | CUSIP: 81375WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139941 | PA      | $137925.23    | 0.17%             | 2034-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                     | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1          | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430413 | PA      | $326998.70    | 0.41%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                        | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 11A1           | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355307 | PA      | $324557.33    | 0.40%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                            | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A          | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270554 | PA      | $200690.21    | 0.25%             | 2039-09-07      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                            | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A         | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1456831 | PA      | $1080639.61   | 1.34%             | 2039-09-07      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                         | SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR             | CUSIP: 83367TBV0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $191865.23    | 0.24%             | 2023-10-04      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                           | REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    200000 | PA      | $179014.80    | 0.22%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                           | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5         | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  22000000 | PA      | $1368833.99   | 1.70%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                             | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92366.71     | 0.11%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-2A LTD                                                     | STRATUS CLO STRAS 2021 2A A 144A                         | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    266980 | PA      | $263905.20    | 0.33%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T MOBILE USA INC COMPANY GUAR 04/30 3.875                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    300000 | PA      | $272448.17    | 0.34%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                  | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1             | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15583 | PA      | $13484.64     | 0.02%             | 2037-06-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                  | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A            | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175987 | PA      | $157707.02    | 0.20%             | 2037-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                        | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0 | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $74460.70     | 0.09%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A            | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456955 | PA      | $426450.16    | 0.53%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                    | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                  | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     56092 | PA      | $1434.56      | 0.00%             | 2039-10-02      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                 | REPUBLIC OF TURKEY SR UNSECURED 08/24 6.35               | CUSIP: 900123CV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    300000 | PA      | $297193.50    | 0.37%             | 2024-08-10      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                       | UBER TECHNOLOGIES INC 2021 1ST LIEN TERM LOAN B          | CUSIP: 90351JAG9<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |     99223 | PA      | $99275.87     | 0.12%             | 2025-04-04      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | UBS AG SUBORDINATED REGS 05/24 5.125                     | CUSIP: BMJ6SQII2<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $395657.20    | 0.49%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                        | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2200000 | PA      | $-1790643.82  | -2.23%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                        | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1142205.04   | 1.42%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                        | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $4636925.92   | 5.76%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                        | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $937972.44    | 1.17%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                        | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $385074.39    | 0.48%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                               | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83               | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $404233.51    | 0.50%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                           | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875         | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79038 | PA      | $78036.85     | 0.10%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | UNITED AIRLINES INC SR SECURED 144A 04/29 4.625          | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $261735.21    | 0.33%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | TSY INFL IX N/B 01/27 2.375                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14777 | PA      | $15078.19     | 0.02%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 01/24 2.25                               | CUSIP: 912828V80<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1270000 | PA      | $1237009.77   | 1.54%             | 2024-01-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 02/26 0.5                                | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $891210.94    | 1.11%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 04/24 2                                  | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $675609.38    | 0.84%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 05/23 2.75                               | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $79407.84     | 0.10%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 05/24 2.5                                | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1067945.32   | 1.33%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 07/23 2.75                               | CUSIP: 912828Y61<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2824000 | PA      | $2793411.73   | 3.47%             | 2023-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 09/23 2.875                              | CUSIP: 9128285D8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $286407.98    | 0.36%             | 2023-09-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                          | US TREASURY N/B 11/23 2.875                              | CUSIP: 9128285P1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70000 | PA      | $68860.06     | 0.09%             | 2023-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                              | URSA RE II LTD UNSECURED 144A 12/27 VAR                  | CUSIP: 91734PAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $491312.50    | 0.61%             | 2027-12-07      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                          | VICI PROPERTIES LP SR UNSECURED 02/30 4.95               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190653.47    | 0.24%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER COMPANY                                         | VIRGINIA ELECT.+ PWR                                     | CUSIP: 92780KP69<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248816.99    | 0.31%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                                | WALGREENS BOOTS                                          | CUSIP: 93142XNJ6<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249378.81    | 0.31%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                  | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A        | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22319 | PA      | $21224.85     | 0.03%             | 2045-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186007.48    | 0.23%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | WELLS FARGO + COMPANY SR UNSECURED REGS 02/27 1          | CUSIP: U94974HN2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94081.16     | 0.12%             | 2027-02-02      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 1A5          | CUSIP: 93934FBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181132 | PA      | $164516.08    | 0.20%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                              | BONCER BONDS 03/23 1.4                                   | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   2907989 | PA      | $8867.85      | 0.01%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | FIXED INC CLEARING CORP.REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    497000 | PA      | $497000.00    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | PARIBAS REPO                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  32500000 | PA      | $32500000.00  | 40.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ABX.HE.AAA.06-2 SP BRC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4392.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | ABX.HE.AAA.06-2 SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-5216.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | AT&T INC SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $179.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | AT&T INC SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $89.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT CNY SOLD USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $32.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT EUR SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $650.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $173.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PEN BOUGHT USD 20230206                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3769.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1650.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $449.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-83.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-3098.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-2404.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-4601.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PEN SOLD USD 20230306                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $667.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD CLP BOUGHT USD 20230323                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-56218.42    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-316.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-511.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-2837.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1042.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD MXN BOUGHT USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-1811.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-23331.02    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CALIFORNIA STATE MU MUNI SP MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1424.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDX HY36 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-70787.88    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDX HY39 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $15545.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDX IG39 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $73577.43     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT BRL SOLD USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2398.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT CLP SOLD USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $54952.83     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT CLP SOLD USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $23537.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT EUR SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $766.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PEN SOLD USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $72330.73     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PEN SOLD USD 20230410                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1975.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $4035.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3297.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1982.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT ZAR SOLD USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $983.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD CLP BOUGHT USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-23050.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2798.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-565.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-378.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PEN BOUGHT USD 20230302                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-27930.02    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PEN BOUGHT USD 20230410                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-44004.41    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PEN BOUGHT USD 20230427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5486.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3067.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-2401.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-2046.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1644.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $732.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2701.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | EURO-BUND FUTURE  MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         6 | NC      | $-55080.79    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | RXG3C 146 FEB23 146 CALL FSO                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $801.92       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | RXG3P 138.5 FEB23 138.5 PUT FSO                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-5128.37     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | BOUGHT BRL SOLD USD 20230404                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $3839.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT COP SOLD USD 20230222                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-5723.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $6857.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1380.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $610.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $266.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-3760.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-63.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1160.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD MXN BOUGHT USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-1537.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PEN BOUGHT USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-16085.74    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-134818.51   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-16064.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-2290.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1635.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-557.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1683.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD ZAR BOUGHT USD 20230512                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1689.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $83.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT CNH SOLD USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-411.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT JPY SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $14824.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD CAD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $406.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-27357.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-375.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD EUR BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-394.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | EURO-BTP FUTURE   MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        19 | NC      | $-164354.93   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | CDX ITRAXX XOV38 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $2550.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315              | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -400000 | NC      | $-76.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT CNY SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $32.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-2925.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2354.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT JPY SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $16909.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $4040.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3060.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT PLN SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $2823.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT ZAR SOLD USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $437.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3835.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-2503.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-544.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $30.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1106.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 3 MONTH SOFR FUT  DEC23 XCME 20240319                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -50 | NC      | $237962.98    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                 | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     40000 | PA      | $32030.73     | 0.04%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-258.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-9099.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOUTH AFRICA EM SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-543.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $122.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD NZD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-1607.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | SOLD JPY BOUGHT USD 20230320                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-69985.47    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U02JA6 PIMCO SWAPTION 2.92 PUT USD 20231013           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2745.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U02KA4 PIMCO SWAPTION 2.92 CALL USD 2023101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-202.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1372.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-101.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1277.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-122.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1115.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-157.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1141.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-151.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1180.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-143.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-121.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1309.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2841.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1403.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2845.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-7957.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-0.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1255.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-13647.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-2324.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-188.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-4540.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-427.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-769.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer