# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-23-043977
**Filing Date:** 2023-2
**Character Count:** 261078
**Document Hash:** 17994a65388fac17c96fc0b12c7d8ed3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043977.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-043977

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 23678644

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### PIMCO Inflation Protected Bond Portfolio (Series ID: S000011099)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030630 | Class A      |  |
| C000030631 | Class B      |  |
| C000030633 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** PIMCO Inflation Protected Bond Portfolio

- **b. EDGAR series identifier (if any):** S000011099

- **c. LEI of Series:** FREHSUZCHJI3D2JRSZ18

**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:** $3183565213.73

**Total Liabilities:** $1369663743.37

**Net Assets:** $1813901470.36

**Delayed Delivery Securities:** $1116366449.00

**Cash Not Reported:** $22511210.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1151.84000000 | **1-Year:** -15584.91000000 | **5-Year:** -12808.76000000 | **10-Year:** -30077.18000000 | **30-Year:** -37758.43000000

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

- **3-Month:** -353.83000000 | **1-Year:** -5223.58000000 | **5-Year:** -9051.49000000 | **10-Year:** -5543.06000000 | **30-Year:** -771.75000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030630 | 1.64%                | 1.72%                | -0.64%               |
| Class ID C000030631 | 1.66%                | 1.74%                | -0.75%               |
| Class ID C000030633 | 1.65%                | 1.84%                | -0.75%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10250881.92            | $34961204.85                               |
| Month 2  | $-10450794.23            | $61431528.89                               |
| Month 3  | $3853165.75              | $-30280538.31                              |

**Designated Index Information**

- **Index Name:** Bloomberg US TIPS

- **Index Identifier:** LBUTTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| D.R. HORTON INC                                   | DR Horton Inc                                                                                                                      | CUSIP: 23331ABH1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     900000 | PA      | $902883.27     | 0.05%             | 2023-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EA042 IRS EUR R V 01MCPTFE SWU0EA042 CCPINFLATIONZERO / Short: BWU0EA042 IRS EUR P F  2.72000 SWUVEA044 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6500000 | OU      | $87638.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  191593607 | PA      | $20093637.43   | 1.11%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR6                                                                                                   | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50790 | PA      | $47467.60      | 0.00%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1840304 | PA      | $1892423.04    | 0.10%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2005-1                                                                                                      | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130122 | PA      | $120079.29     | 0.01%             | 2035-03-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2100000 | PA      | $207249.76     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4299311 | PA      | $468814.31     | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5834162 | PA      | $5827321.15    | 0.32%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9399416 | PA      | $9287798.33    | 0.51%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fidelity Grand Harbour CLO                        | Fidelity Grand Harbour CLO 2019-1 DAC                                                                                              | CUSIP: 000000000<br>LEI: 635400CBUJWOFHRXZT14 | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $937969.70     | 0.05%             | 2032-03-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                   | Madison Park Funding XLI Ltd                                                                                                       | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    2676762 | PA      | $2647815.75    | 0.15%             | 2027-04-22      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0Y9274 IRS USD R F  2.33500 INFLATIONZERO CCP LCH / Short: SWU0Y9274 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13090000 | OU      | $-1095285.07   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                    | REVERSE REPO DEUTSCHE                                                                                                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        | -117672600 | PA      | $-117672600.00 | -6.49%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01E2S3 IRS JPY R V 06MTONA SWUV1E2S5 CCPOIS / Short: BWU01E2S3 IRS JPY P F   .30000 SWU01E2S3 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  788000000 | OU      | $92416.47      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    4773912 | PA      | $5150244.79    | 0.28%             | 2024-07-25      | Fixed         | 0.25%                 | Yes           |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                                                                                | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1342854 | PA      | $887437.15     | 0.05%             | 2037-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291132 | PA      | $274993.91     | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7706880 | PA      | $4984856.30    | 0.27%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU07KU29 IRS EUR R V 01MCPTFE SWU07KU29 CCPINFLATIONZERO / Short: BWU07KU29 IRS EUR P F  2.60000 SWUV7KU21 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6600000 | OU      | $278981.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE2                                                                | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326163 | PA      | $1225250.78    | 0.07%             | 2034-04-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                              | Birch Grove CLO Ltd                                                                                                                | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $978207.00     | 0.05%             | 2031-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2021-3 Ltd                                                                                              | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2732462 | PA      | $2694145.17    | 0.15%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                                                                                             | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1357557.60    | 0.07%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                                                                     | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96535 | PA      | $82883.38      | 0.00%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Toyota Tsusho Corp                                | Toyota Tsusho Corp                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CEE2ENIUJNXB84 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $197628.00     | 0.01%             | 2023-09-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                                                                      | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168720 | PA      | $146393.92     | 0.01%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47665720 | PA      | $44697960.28   | 2.46%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01NDJ1 IRS EUR R V 06MEURIB SWUV1NDJ3 CCPVANILLA / Short: BWU01NDJ1 IRS EUR P F   .83000 SWU01NDJ1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9400000 | OU      | $292171.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | RXG3C 146                                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |        -18 | NC      | $14434.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital Clo 11 Ltd                                                                                                       | CUSIP: 03330NAJ3<br>LEI: 549300NPGT86ACOLIL14 | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1564516.80    | 0.09%             | 2032-07-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR7                                                                                                   | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141544 | PA      | $115876.85     | 0.01%             | 2035-11-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                                                                     | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6084 | PA      | $5493.81       | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16480980 | PA      | $11101192.58   | 0.61%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-3                                                                                                      | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    2501396 | PA      | $2400168.30    | 0.13%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $313.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -3500000 | NC      | $-7834.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                                                                                   | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12595 | PA      | $10869.25      | 0.00%             | 2035-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2004-12                                                                                                    | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166714 | PA      | $146718.16     | 0.01%             | 2034-12-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56321887 | PA      | $49763922.49   | 2.74%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                                                                                 | CUSIP: 000000000<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $205418.83     | 0.01%             | 2023-09-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EN655 IRS USD R V 01MUSCPI SWU0EN655 CCPINFLATIONZERO / Short: BWU0EN655 IRS USD P F  2.31375 SWUVEN657 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10200000 | OU      | $987739.13     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2012-4 Ltd                                                                                    | CUSIP: 14309YBQ6<br>LEI: 549300R4G5ROMXQ5CG20 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $391717.20     | 0.02%             | 2032-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                                                                                           | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13642 | PA      | $12953.00      | 0.00%             | 2026-10-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387463 | PA      | $340050.60     | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1                                                                        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54325 | PA      | $51487.89      | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF17                                                                                       | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8773668 | PA      | $7273305.09    | 0.40%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                                                                           | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |    1989793 | PA      | $1966221.73    | 0.11%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXIV CLO Ltd                                                                                                               | CUSIP: 92330WBJ5<br>LEI: 549300EDZDHKTKE7JV77 | Long             | ABS-CBDO         | CORP              | KY        |    1006545 | PA      | $992522.39     | 0.05%             | 2028-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $60981.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83823098 | PA      | $76735698.92   | 4.23%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QO1 Trust                                                                                                         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46957 | PA      | $35233.55      | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     561477 | PA      | $572697.14     | 0.03%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                        | Atlas Senior Loan Fund Ltd                                                                                                         | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2190367 | PA      | $2157712.68    | 0.12%             | 2030-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                                                                                           | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2468602.50    | 0.14%             | 2030-10-24      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                                                                                   | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43044 | PA      | $39731.45      | 0.00%             | 2035-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Trust Series 2007-A1                                                                                        | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17405 | PA      | $16237.91      | 0.00%             | 2037-02-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0K0L85 IRS GBP R F  3.75000 SWUVK0L87 CCPINFLATIONZERO / Short: SWU0K0L85 IRS GBP P V 01MUKRPI SWU0K0L85 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3570000 | OU      | $-715088.53    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4500000 | NC      | $-146604.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                                                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    4373645 | PA      | $482767.13     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                                                                               | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129840 | PA      | $120625.92     | 0.01%             | 2036-02-20      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6435471 | PA      | $6230217.82    | 0.34%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-32264.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EQ781 IRS USD R V 01MUSCPI SWU0EQ781 CCPINFLATIONZERO / Short: BWU0EQ781 IRS USD P F  2.64500 SWUVEQ783 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $126557.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                        | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |       1000 | PA      | $999.80        | 0.00%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XIV, LTD                     | Crestline Denali CLO XIV Ltd                                                                                                       | CUSIP: 22615MAW2<br>LEI: 549300SBJ7CCHEFNE215 | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1078033.00    | 0.06%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | 317U970I9 PIMCO SWAPTION 1.72 CALL USD 2023022                                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   80800000 | NC      | $64.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-12R                                                                                                               | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2365534.63    | 0.13%             | 2037-11-30      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd. 2016-II                          | Barings CLO Ltd 2016-II                                                                                                            | CUSIP: 06761CAL3<br>LEI: 549300Z33CTC4YAKLT16 | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1860012.60    | 0.10%             | 2032-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    9199586 | PA      | $958773.76     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XV Ltd                                                                                                             | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    1493443 | PA      | $1474319.17    | 0.08%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        404 | NC      | $-447093.84    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                                                                       | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    7094876 | PA      | $7094875.84    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-57550.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4                                                             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     126566 | PA      | $120624.68     | 0.01%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                                                                                 | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $876003.30     | 0.05%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| RELX Capital Inc                                  | RELX Capital Inc                                                                                                                   | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298787.30     | 0.02%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0XL419 IRS EUR R F  2.59000 SWUVXL411 CCPINFLATIONZERO / Short: SWU0XL419 IRS EUR P V 01MCPTFE SWU0XL419 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $-25729.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                                                                     | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4400000 | PA      | $4170006.28    | 0.23%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-61                                                                                                     | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15880 | PA      | $13851.72      | 0.00%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-1T1                                                                                                    | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3059804 | PA      | $1205579.95    | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                                                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       8615 | PA      | $1101.91       | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01MMT1 IRS EUR R F   .00000 SWU01MMT1 CCPVANILLA / Short: SWU01MMT1 IRS EUR P V 06MEURIB SWUV1MMT3 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   36700000 | OU      | $-10495803.92  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                                                                     | CUSIP: 93363PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3687657 | PA      | $3100129.14    | 0.17%             | 2036-11-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XIII LP                                                                                                                        | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |    2039616 | PA      | $2016927.68    | 0.11%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EA018 IRS EUR R V 01MCPTFE SWU0EA018 CCPINFLATIONZERO / Short: BWU0EA018 IRS EUR P F  3.00000 SWUVEA010 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $68288.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                         | Dryden 35 Euro CLO 2014 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400BB1FXUIKRSHD56 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $828721.44     | 0.05%             | 2033-01-17      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0PS017 IRS USD R V 01MUSCPI SWU0PS017 CCPINFLATIONZERO / Short: BWU0PS017 IRS USD P F  2.31125 SWUVPS019 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21200000 | OU      | $2218576.40    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-2                                                                                              | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26689 | PA      | $23641.02      | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-96369.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0DA449 IRS USD R V 01MUSCPI SWU0DA449 CCPINFLATIONZERO / Short: BWU0DA449 IRS USD P F  1.89000 SWUVDA441 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12300000 | OU      | $1682929.54    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                                                                                  | CUSIP: 17312EAC0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     832257 | PA      | $683440.17     | 0.04%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7592843 | PA      | $9681281.22    | 0.53%             | 2027-11-22      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding               | Palmer Square European Loan Funding                                                                                                | CUSIP: 000000000<br>LEI: 549300EWDSB2XVX0CY09 | Long             | ABS-CBDO         | CORP              | IE        |    4800000 | PA      | $5097345.18    | 0.28%             | 2032-04-12      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                 | Toro European CLO 5 DAC                                                                                                            | CUSIP: 000000000<br>LEI: 635400CNR8OQZHQBZR28 | Long             | ABS-CBDO         | CORP              | IE        |    1099404 | PA      | $1146339.41    | 0.06%             | 2030-10-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2019 - Granite4 PLC                                                                                    | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    4027521 | PA      | $4853899.57    | 0.27%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                                                                                  | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $688269.40     | 0.04%             | 2031-04-18      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VIII Ltd                                                                                                                      | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2420718 | PA      | $2383404.66    | 0.13%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                     | Crestline Denali CLO XV Ltd                                                                                                        | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |    1083805 | PA      | $1068332.96    | 0.06%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Laurelin BV                                       | Laurelin 2016-1 DAC                                                                                                                | CUSIP: 000000000<br>LEI: 5493000IP0JWCUCF6H56 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $725126.02     | 0.04%             | 2031-10-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  375746400 | PA      | $2973275.19    | 0.16%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS                                                                      | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      67674 | PA      | $65727.82      | 0.00%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                                                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $292461.90     | 0.02%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                                                                      | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36422 | PA      | $32675.56      | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust 2004-4                                                                                          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337068 | PA      | $321082.57     | 0.02%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01JA46 IRS EUR R F  2.48750 SWUV1JA48 CCPINFLATIONZERO / Short: SWU01JA46 IRS EUR P V 01MCPTFE SWU01JA46 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4460000 | OU      | $-262638.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2006-NLC1                                                                                                | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40653 | PA      | $11455.66      | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MB30 TRS USD R F   .00000 BOND TRS / Short: SWU01MB30 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   23046960 | OU      | $294081.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0KT119 IRS EUR R F  2.58000 SWUVKT111 CCPINFLATIONZERO / Short: SWU0KT119 IRS EUR P V 01MCPTFE SWU0KT119 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-81004.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                           | CBAM 2017-1 Ltd                                                                                                                    | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |     697721 | PA      | $690358.86     | 0.04%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0Z7004 IRS USD R F  2.37000 SWUVZ7006 CCPINFLATIONZERO / Short: SWU0Z7004 IRS USD P V 12MUSCPI SWU0Z7004 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-545990.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EA125 IRS EUR R V 01MCPTFE SWU0EA125 CCPINFLATIONZERO / Short: BWU0EA125 IRS EUR P F  2.35900 SWUVEA127 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6200000 | OU      | $255672.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2014-1 Ltd                                                                                    | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     498484 | PA      | $490097.92     | 0.03%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                                                                            | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52234 | PA      | $45863.21      | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XXVI                                                                                                                    | CUSIP: 03766GAL6<br>LEI: 549300RV409NJP65MP20 | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1581350.40    | 0.09%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1065 | NC      | $-59051.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-8                                                                                                     | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1766204 | PA      | $1692546.74    | 0.09%             | 2036-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3253359 | PA      | $3723688.64    | 0.21%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                                                                      | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318757 | PA      | $257812.54     | 0.01%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                        | Atlas Senior Loan Fund X Ltd                                                                                                       | CUSIP: 04942JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     589321 | PA      | $577620.24     | 0.03%             | 2031-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MAW7 TRS USD R F   .00000 BOND TRS / Short: SWU01MAW7 TRS USD P V 00MCPU TRS R CPURNSA + 4.19 BPS                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   37493212 | OU      | $157320.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10565188 | PA      | $10040500.58   | 0.55%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2003-6                                                                                       | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18034 | PA      | $16027.55      | 0.00%             | 2033-12-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0Y9266 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU0Y9266 IRS USD P F  2.21000 INFLATIONZERO CCP LCH     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25780000 | OU      | $2332570.53    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       5389 | PA      | $692.78        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI HC CAPITAL                             | Mitsubishi HC Capital Inc                                                                                                          | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $395276.00     | 0.02%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                                                                                     | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1274127.40    | 0.07%             | 2030-10-23      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    6873603 | PA      | $718346.82     | 0.04%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                                          | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12175 | PA      | $12222.83      | 0.00%             | 2034-01-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    3848493 | PA      | $3605241.95    | 0.20%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       3538 | PA      | $450.98        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-1                                                                                             | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798695 | PA      | $400440.27     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain EUR CLO 2016-1 DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400LB9H2C6ADADO52 | Long             | ABS-CBDO         | CORP              | IE        |    1098998 | PA      | $1145529.24    | 0.06%             | 2032-04-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XVII CLO Ltd                                                                                                               | CUSIP: 92329YAL0<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |     956799 | PA      | $947755.13     | 0.05%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                     | Ares European CLO VI DAC                                                                                                           | CUSIP: 000000000<br>LEI: 635400IKZCKH2JKELA27 | Long             | ABS-CBDO         | CORP              | IE        |     691852 | PA      | $718777.60     | 0.04%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU09CC17 IRS GBP R F  3.47500 SWUV9CC19 CCPINFLATIONZERO / Short: SWU09CC17 IRS GBP P V 01MUKRPI SWU09CC17 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6000000 | OU      | $-1364717.98   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust Series 2006-AR4                                                                                  | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299796 | PA      | $260664.26     | 0.01%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                               | New Zealand Government Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    1815150 | PA      | $1150557.98    | 0.06%             | 2035-09-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   20260088 | PA      | $2201278.30    | 0.12%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2013-1 Ltd                                                                                    | CUSIP: 14310BAU5<br>LEI: 549300CVBX8ZUYQV3Q10 | Long             | ABS-CBDO         | CORP              | KY        |    2273991 | PA      | $2244054.01    | 0.12%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 33 CLO Ltd                                                                                                                 | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $293661.60     | 0.02%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-3                                                                                             | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263311 | PA      | $226104.15     | 0.01%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2                                                             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2553352 | PA      | $2494459.90    | 0.14%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                  | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    1700000 | PA      | $1684198.48    | 0.09%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0ZD712 IRS EUR R F  2.59000 SWUVZD714 CCPINFLATIONZERO / Short: SWU0ZD712 IRS EUR P V 01MCPTFE SWU0ZD712 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-113313.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0MR616 IRS USD R F  4.95000 SWUVMR618 CCPINFLATIONZERO / Short: SWU0MR616 IRS USD P V 01MUSCPI SWU0MR616 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11100000 | OU      | $-160422.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01IVA1 IRS EUR R F  1.00000 SWU01IVA1 CCPVANILLA / Short: SWU01IVA1 IRS EUR P V 06MEURIB SWUV1IVA3 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-287308.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                                                                         | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82925 | PA      | $74590.59      | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-189912.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01MK06 IRS EUR R V 06MEURIB SWUV1MK08 CCPVANILLA / Short: BWU01MK06 IRS EUR P F   .19500 SWU01MK06 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $3485024.95    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QH8 Trust                                                                                                         | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     647193 | PA      | $560568.81     | 0.03%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust                                                                                                                         | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309888 | PA      | $184682.03     | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-OA7                                                                                                    | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |     118529 | PA      | $99211.75      | 0.01%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15500000 | PA      | $13608911.03   | 0.75%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU016N32 IRS EUR R F   .52600 20231121 IRS R F L / Short: SWU016N32 IRS EUR P V 03MEURIB 20231121 IRS R F S                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ER        |   72000000 | OU      | $-2423586.72   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                             | Black Diamond CLO 2015-1 Designated Activity Co                                                                                    | CUSIP: 000000000<br>LEI: 635400M6BTF6EBHINU93 | Long             | ABS-CBDO         | CORP              | IE        |      60607 | PA      | $64724.02      | 0.00%             | 2029-10-03      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19315740 | PA      | $18158984.85   | 1.00%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0NM772 IRS EUR R F  3.72000 SWUVNM774 CCPINFLATIONZERO / Short: SWU0NM772 IRS EUR P V 12MCPTFE SWU0NM772 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6300000 | OU      | $-83142.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JD561 IRS GBP R F  3.85000 SWUVJD563 CCPINFLATIONZERO / Short: SWU0JD561 IRS GBP P V 01MUKRPI SWU0JD561 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11200000 | OU      | $-1710151.14   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                                                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2693582 | PA      | $294685.71     | 0.02%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                          | Lloyds Banking Group PLC                                                                                                           | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $920209.34     | 0.05%             | 2025-06-27      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -3500000 | NC      | $-220216.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CQS US CLO 2022-2, Ltd.                           | CQS US CLO 2022-2 Ltd                                                                                                              | CUSIP: 12664BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2400000 | PA      | $2392291.20    | 0.13%             | 2031-07-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $2979.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -57 | NC      | $253580.73     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26142751 | PA      | $21124149.67   | 1.16%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-7N                                                                                                     | CUSIP: 525221EM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68007 | PA      | $58781.28      | 0.00%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association         | 317526H53 INF CAP USD MAY24 4.0 CALL                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1500000 | NC      | $-12.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                                                                                  | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1831183.90    | 0.10%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4500000 | NC      | $-11454.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD DKK                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1252745.07   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD           | Goldentree Loan Management US Clo 2 Ltd                                                                                            | CUSIP: 38136MAU2<br>LEI: 549300UYD6YMBA6XSE43 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $788844.80     | 0.04%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EQ690 IRS USD R V 01MUSCPI SWU0EQ690 CCPINFLATIONZERO / Short: BWU0EQ690 IRS USD P F  2.57300 SWUVEQ692 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $114479.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                               | New Zealand Government Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   11600000 | PA      | $9484663.04    | 0.52%             | 2030-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2021-4 Ltd                                                                                              | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2698014 | PA      | $2663355.78    | 0.15%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    7285535 | PA      | $787339.08     | 0.04%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-OPT2                                                                                                | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323928 | PA      | $290757.67     | 0.02%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20722852 | PA      | $21938000.87   | 1.21%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                                                                      | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161378 | PA      | $127133.28     | 0.01%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR4                                                                            | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15405 | PA      | $14672.76      | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | 317U940I6 PIMCO SWAPTION 1.71 CALL USD 2023012                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   86100000 | NC      | $8.61          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Segovia European CLO 6 - 2019 DAC                 | Segovia European CLO 6-2019 DAC                                                                                                    | CUSIP: 000000000<br>LEI: 6354006IDDCPIYNLI456 | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $309808.42     | 0.02%             | 2032-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65143457 | PA      | $65195745.60   | 3.59%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0MR889 IRS USD R F  5.18500 SWUVMR881 CCPINFLATIONZERO / Short: SWU0MR889 IRS USD P V 01MUSCPI SWU0MR889 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11800000 | OU      | $42271.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138622 | PA      | $141748.81     | 0.01%             | 2034-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0KT663 IRS EUR R F  3.85000 SWUVKT665 CCPINFLATIONZERO / Short: SWU0KT663 IRS EUR P V 01MCPTFE SWU0KT663 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6900000 | OU      | $-72153.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                                                                     | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     629542 | PA      | $625948.25     | 0.03%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U681I9 PIMCO SWAPTION 1.4275 CALL USD 20230                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   46200000 | NC      | $4.62          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2007-3                                                                                                      | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251969 | PA      | $214450.85     | 0.01%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                                                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    6005842 | PA      | $626360.97     | 0.03%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11883 | PA      | $11498.87      | 0.00%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13301 | PA      | $13056.47      | 0.00%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QO2 Trust                                                                                                         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51724 | PA      | $44945.95      | 0.00%             | 2045-09-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                                                                                   | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34879 | PA      | $31595.26      | 0.00%             | 2035-01-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32270599 | PA      | $33645003.65   | 1.85%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-HY11                                                                                                   | CUSIP: 021466AA5<br>LEI: 549300CA9X1CRUCWUL74 | Long             | ABS-MBS          | CORP              | US        |    1205463 | PA      | $1074564.09    | 0.06%             | 2036-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17522295 | PA      | $11271245.35   | 0.62%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01E1X3 IRS JPY R V 06MTONA SWUV1E1X5 CCPOIS / Short: BWU01E1X3 IRS JPY P F   .30000 SWU01E1X3 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  426780000 | OU      | $62642.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM IX Ltd                                                                                                                        | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $488045.50     | 0.03%             | 2031-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-7                                                                                              | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     881460 | PA      | $368945.33     | 0.02%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EN705 IRS USD R V 01MUSCPI SWU0EN705 CCPINFLATIONZERO / Short: BWU0EN705 IRS USD P F  2.41875 SWUVEN707 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13000000 | OU      | $1193218.65    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JI495 IRS USD R F  5.01000 SWUVJI497 CCPINFLATIONZERO / Short: SWU0JI495 IRS USD P V 01MUSCPI SWU0JI495 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   32100000 | OU      | $-460761.47    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                                                                      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9625 | PA      | $8154.84       | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-HE1                                                                                       | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4102 | PA      | $1637.97       | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-20N                                                                                                    | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2252958 | PA      | $2209292.85    | 0.12%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     191779 | PA      | $18634.65      | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                                                                                              | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3214 | PA      | $2967.59       | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU068R13 IRS GBP R F  3.43800 SWUV68R15 CCPINFLATIONZERO / Short: SWU068R13 IRS GBP P V 01MUKRPI SWU068R13 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     320000 | OU      | $-66978.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52877125 | PA      | $50367622.84   | 2.78%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | ARES L CLO Ltd                                                                                                                     | CUSIP: 04018LAJ4<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $685970.60     | 0.04%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |   -8700000 | NC      | $-183606.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU088762 IRS GBP R F  4.06600 SWUV88764 CCPINFLATIONZERO / Short: SWU088762 IRS GBP P V 01MUKRPI SWU088762 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $-67359.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0JL852 IRS USD R V 01MUSCPI SWU0JL852 CCPINFLATIONZERO / Short: BWU0JL852 IRS USD P F  2.81300 SWUVJL854 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4600000 | OU      | $318546.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01HX03 IRS EUR R F   .70000 SWU01HX03 CCPVANILLA / Short: SWU01HX03 IRS EUR P V 06MEURIB SWUV1HX05 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $-328862.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -410 | NC      | $3541025.73    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   17800355 | PA      | $18881062.32   | 1.04%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        213 | NC      | $-128424.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OCP Euro CLO                                      | OCP Euro CLO 2017-2 DAC                                                                                                            | CUSIP: 000000000<br>LEI: 635400KNK84TMOLEE581 | Long             | ABS-CBDO         | CORP              | IE        |     889199 | PA      | $930854.57     | 0.05%             | 2032-01-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-13                                                                                             | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75389 | PA      | $39535.04      | 0.00%             | 2036-02-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-I Ltd                                                                                                            | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |     562438 | PA      | $556844.62     | 0.03%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0ZD514 IRS GBP R V 01MUKRPI SWU0ZD514 CCPINFLATIONZERO / Short: BWU0ZD514 IRS GBP P F  4.62600 SWUVZD516 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9500000 | OU      | $847397.02     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                  | Man GLG Euro CLO II DAC                                                                                                            | CUSIP: 000000000<br>LEI: 635400X2U1WG8KFSIE39 | Long             | ABS-CBDO         | CORP              | IE        |     571637 | PA      | $599883.95     | 0.03%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU04AM49 IRS EUR R V 01MCPTFE SWU04AM49 CCPINFLATIONZERO / Short: BWU04AM49 IRS EUR P F  3.13000 SWUV4AM41 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-18674.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 31418EBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685952 | PA      | $643451.57     | 0.04%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JE262 IRS EUR R F  1.41000 SWUVJE264 CCPINFLATIONZERO / Short: SWU0JE262 IRS EUR P V 01MFRCPX SWU0JE262 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $-198343.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC             | OAK Hill European Credit Partners VII DAC                                                                                          | CUSIP: 000000000<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |    2100000 | PA      | $2182517.53    | 0.12%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33291445 | PA      | $36281424.13   | 2.00%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0FK528 IRS GBP R V 01MUKRPI SWU0FK528 CCPINFLATIONZERO / Short: BWU0FK528 IRS GBP P F  4.12500 SWUVFK520 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2370000 | OU      | $26094.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0DZ774 IRS EUR R F  3.52000 SWUVDZ776 CCPINFLATIONZERO / Short: SWU0DZ774 IRS EUR P V 01MCPTFE SWU0DZ774 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3300000 | OU      | $-57441.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                                                                                  | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3323334.45    | 0.18%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9920874 | PA      | $9454533.20    | 0.52%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                           | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1821170 | PA      | $1802258.63    | 0.10%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SWPC0HJ26 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HJ26 CDS USD P V 03MEVENT 2 CCPCORPORATE                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1000000 | OU      | $5321.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -2809 | NC      | $3913722.91    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | Long: SWU09RF45 IRS EUR R F  1.91000 INFLATIONZERO CCP / Short: SWU09RF45 IRS EUR P V 12MCPI FRCPXTOB INFLATIONZERO LCH            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | DE        |     350000 | OU      | $-72242.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $282.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                                                                              | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31614 | PA      | $29752.35      | 0.00%             | 2035-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                                                                                   | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24369 | PA      | $22951.99      | 0.00%             | 2035-07-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32934919 | PA      | $32893401.12   | 1.81%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01IOA9 IRS EUR R F   .65000 SWU01IOA9 CCPVANILLA / Short: SWU01IOA9 IRS EUR P V 06MEURIB SWUV1IOA1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $-376400.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                                                                                            | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286995 | PA      | $278751.67     | 0.02%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | 317U971I8 PIMCO SWAPTION 1.736 CALL USD 202302                                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -17900000 | NC      | $-193.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MB22 TRS USD R F   .00000 BOND TRS / Short: SWU01MB22 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   22736128 | OU      | $316022.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWU00MYL6 IRS NZD R V 03MNZDBB SWUV0MYL8 CCPVANILLA / Short: BWU00MYL6 IRS NZD P F  3.25000 SWU00MYL6 CCPVANILLA             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8400000 | OU      | $387122.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU086584 IRS EUR R V 01MFRCPX SWU086584 CCPINFLATIONZERO / Short: BWU086584 IRS EUR P F  1.03000 SWUV86586 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9200000 | OU      | $900452.34     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    7512956 | PA      | $828746.95     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                                                                     | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1060456 | PA      | $1008077.83    | 0.06%             | 2031-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14126836 | PA      | $11388838.90   | 0.63%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU086FC4 IRS EUR R F  1.38000 SWUV86FC6 CCPINFLATIONZERO / Short: SWU086FC4 IRS EUR P V 01MCPTFE SWU086FC4 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23400000 | OU      | $-4977618.47   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-3R                                                                                                                | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     776779 | PA      | $745431.60     | 0.04%             | 2036-09-29      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0JI578 IRS USD R V 01MUSCPI SWU0JI578 CCPINFLATIONZERO / Short: BWU0JI578 IRS USD P F  2.56000 SWUVJI570 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12300000 | OU      | $31837.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $17038.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                       | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1                                                                 | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1577969 | PA      | $1536453.18    | 0.08%             | 2036-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2738229 | PA      | $300190.28     | 0.02%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Trust 2006-W4                                                                                                    | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230200 | PA      | $56641.90      | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED DKK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DK        |          1 | NC      | $50780.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47981061 | PA      | $40714027.68   | 2.24%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0ZN009 IRS USD R V 01MUSCPI SWU0ZN009 CCPINFLATIONZERO / Short: BWU0ZN009 IRS USD P F  2.70300 SWUVZN001 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7090000 | OU      | $523034.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     699656 | PA      | $79506.06      | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                                                                                  | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7734 | PA      | $7204.49       | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                                                                     | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47773 | PA      | $39427.28      | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0FC880 IRS USD R F  1.76000 SWUVFC882 CCPINFLATIONZERO / Short: SWU0FC880 IRS USD P V 12MUSCPI SWU0FC880 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24500000 | OU      | $-3633779.24   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD TWD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $674.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   58617600 | PA      | $61998104.33   | 3.42%             | 2025-05-26      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | 3MO EURO EURIBOR  MAR23                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        841 | NC      | $-7388255.15   | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                                                                                    | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687818 | PA      | $659140.05     | 0.04%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $13801.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55047020 | PA      | $49444438.89   | 2.73%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XXV Ltd                                                                                                                        | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |     890361 | PA      | $872489.59     | 0.05%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                                                                      | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1641707 | PA      | $1496304.93    | 0.08%             | 2046-08-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD PEN                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-60828.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -13 | NC      | $102615.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $16514.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL7 Ltd                                                                                                                   | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $669277.70     | 0.04%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MB06 TRS USD R F   .00000 BOND TRS / Short: SWU01MB06 TRS USD P V 00MCPU TRS R CPURNSA + 4.19 BPS                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   10142305 | OU      | $101355.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24646129 | PA      | $23240558.48   | 1.28%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-14790.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO                         | CIFC European Funding CLO III DAC                                                                                                  | CUSIP: 000000000<br>LEI: 5493000EF0244RPYUG32 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $827488.29     | 0.05%             | 2034-01-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AMC1                                                                                            | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     977459 | PA      | $925869.45     | 0.05%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd               | Octagon Investment Partners XXI Ltd                                                                                                | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1080192.30    | 0.06%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-5                                                                                              | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17206 | PA      | $14696.06      | 0.00%             | 2037-09-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2345 | PA      | $2293.25       | 0.00%             | 2037-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01DST5 IRS USD R V 03MLIBOR SWUV1DST7 CCPVANILLA / Short: BWU01DST5 IRS USD P F  1.84000 SWU01DST5 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24600000 | OU      | $2023094.16    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint MTA Trust 2005-AR1                                                                                                      | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117882 | PA      | $107105.19     | 0.01%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4144295.58   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3419 | PA      | $3248.21       | 0.00%             | 2044-07-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |          1 | NC      | $12299.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46208650 | PA      | $38649219.96   | 2.13%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A1                                                                                                   | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46904 | PA      | $42799.48      | 0.00%             | 2035-02-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| MP Clo VII, LTD                                   | ACAS CLO 2015-1 Ltd                                                                                                                | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |    1662975 | PA      | $1631186.80    | 0.09%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | RXG3P 138.5                                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |        -18 | NC      | $-92310.73     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | Long: BWU0ZD613 IRS GBP R V 01MUKRPI SWU0ZD613 CCPINFLATIONZERO / Short: BWU0ZD613 IRS GBP P F  4.30000 SWUVZD615 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $435484.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0KT325 IRS EUR R V 01MCPTFE SWU0KT325 CCPINFLATIONZERO / Short: BWU0KT325 IRS EUR P F  2.57000 SWUVKT327 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $49107.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | THL Credit Wind River 2019-3 Clo Ltd                                                                                               | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1946446.00    | 0.11%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -102 | NC      | $959446.32     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        296 | NC      | $-482339.10    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLFLEET CLO LTD                                 | Wellfleet CLO 2015-1 Ltd                                                                                                           | CUSIP: 949496BJ1<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |     436877 | PA      | $431300.69     | 0.02%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | ARES LII CLO Ltd                                                                                                                   | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1668067.20    | 0.09%             | 2031-04-22      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27395294 | PA      | $25818040.81   | 1.42%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1037565.28    | 0.06%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU02AM25 IRS GBP R V 01MUKRPI SWU02AM25 CCPINFLATIONZERO / Short: BWU02AM25 IRS GBP P F  6.60000 SWUV2AM27 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $21672.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                                                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   63231265 | PA      | $6669464.81    | 0.37%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2007-4R                                                                                                                | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41693 | PA      | $35484.74      | 0.00%             | 2036-10-26      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                                                                                              | CUSIP: 41161PSV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160980 | PA      | $140764.01     | 0.01%             | 2035-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | VOYA CLO 2017-2                                                                                                                    | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     288273 | PA      | $283945.01     | 0.02%             | 2030-06-07      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE5                                                                                    | CUSIP: 61744CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1211832.31    | 0.07%             | 2035-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-38103.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                         | Anchorage Capital CLO 9 Ltd                                                                                                        | CUSIP: 03328WAS7<br>LEI: 5493009A4SIPWYPZDB35 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $293280.60     | 0.02%             | 2032-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0LK299 IRS GBP R F  3.56600 SWUVLK291 CCPINFLATIONZERO / Short: SWU0LK299 IRS GBP P V 01MUKRPI SWU0LK299 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $-344576.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $31602.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     114000 | PA      | $91119.59      | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MAZ0 TRS USD R F   .00000 BOND TRS / Short: SWU01MAZ0 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   27388445 | OU      | $129312.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXVI Ltd                                                                                                      | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $396195.20     | 0.02%             | 2030-07-29      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                                                                      | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168720 | PA      | $146395.94     | 0.01%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $20156.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5                                                                                   | CUSIP: 61744CRW8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-O            | CORP              | US        |    1232000 | PA      | $1095096.09    | 0.06%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                         | NovaStar Mortgage Funding Trust Series 2005-3                                                                                      | CUSIP: 66987XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694802 | PA      | $679496.99     | 0.04%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                                                                                        | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1468338.00    | 0.08%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                             | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2516877.48    | 0.14%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0EA026 IRS EUR R F  2.42100 SWUVEA028 CCPINFLATIONZERO / Short: SWU0EA026 IRS EUR P V 01MCPTFE SWU0EA026 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     650000 | OU      | $-75825.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2005-H Trust                                                                                              | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25285 | PA      | $21445.64      | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Through Certificates     | TBW Mortgage-Backed Trust 2007-2                                                                                                   | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146638 | PA      | $57357.75      | 0.00%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -180 | NC      | $712927.07     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | 317U877Z5 PIMCO SWAPTION 2.2365 PUT USD 202311                                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   18300000 | NC      | $4069244.73    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   75039237 | PA      | $7925089.87    | 0.44%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   97900000 | PA      | $4648950.04    | 0.26%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU02Y100 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU02Y100 IRS USD P F  2.26325 INFLATIONZERO CCP LCH     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13492000 | OU      | $1121663.63    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2018-I Ltd                                                                                                            | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1871862.90    | 0.10%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $-3764.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF10                                                                                       | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1736300 | PA      | $1623142.64    | 0.09%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R2                                                                                            | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265267 | PA      | $238584.08     | 0.01%             | 2037-07-27      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                               | OSD CLO 2021-23 Ltd                                                                                                                | CUSIP: 671026AA0<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |    2291390 | PA      | $2245396.80    | 0.12%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $14813.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01JRT3 TRS USD R F   .00000 BOND TRS / Short: SWU01JRT3 TRS USD P V 00MSOFR TRS R SOFRRATE+7/912828YL8 MYC                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   57059290 | OU      | $-1059459.40   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AR4                                                                                             | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1252869 | PA      | $1087985.91    | 0.06%             | 2037-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                   | First NLC Trust 2007-1                                                                                                             | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810808 | PA      | $377297.95     | 0.02%             | 2037-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01M214 TRS USD R F   .00000 BOND TRS / Short: SWU01M214 TRS USD P V 00MSOFR TRS R SOFRRATE +12 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   29999566 | OU      | $230150.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JB268 IRS USD R F  1.95400 SWUVJB260 CCPINFLATIONZERO / Short: SWU0JB268 IRS USD P V 12MUSCPI SWU0JB268 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8650000 | OU      | $-1123751.52   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                   | Oaktree CLO 2019-1 Ltd                                                                                                             | CUSIP: 67401XAS0<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $589902.00     | 0.03%             | 2030-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE1                                                                            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3161475 | PA      | $1103120.97    | 0.06%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82882647 | PA      | $82036014.44   | 4.52%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                                                                               | CUSIP: 17307GTA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2968 | PA      | $2695.00       | 0.00%             | 2035-08-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                        | CSAB Mortgage-Backed Trust 2006-2                                                                                                  | CUSIP: 12627HAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400279 | PA      | $132638.46     | 0.01%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | SHORT EURO-BTP FU MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -290 | NC      | $456781.46     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                                                                     | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47083 | PA      | $42411.73      | 0.00%             | 2035-12-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2019-GS2                                                                                             | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565397 | PA      | $528631.49     | 0.03%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-9                                                                                                      | CUSIP: 78445JAA5<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-O            | CORP              | US        |    2168562 | PA      | $2147544.69    | 0.12%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-CH2                                                                                      | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      55912 | PA      | $54862.43      | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317U876Z6 PIMCO SWAPTION 2.34 PUT USD 20231117                                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -90200000 | NC      | $-5847251.08   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2006-A10                                                                                    | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268555 | PA      | $102345.61     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U0BFA0 PIMCO SWAPTION 2.2 CALL USD 20230531                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   59300000 | NC      | $70922.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eversource Energy                                 | Eversource Energy                                                                                                                  | CUSIP: 30040WAD0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96391.11      | 0.01%             | 2024-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47992967 | PA      | $39307537.60   | 2.17%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 3140X6P47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469543 | PA      | $447425.78     | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                        | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     296141 | PA      | $293376.74     | 0.02%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                                  | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2600654.34    | 0.14%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 3140JRZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291333 | PA      | $277314.10     | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    5719050 | PA      | $6477548.52    | 0.36%             | 2041-08-10      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01M255 TRS USD R F   .00000 BOND TRS / Short: SWU01M255 TRS USD P V 00MSOFR TRS R SOFRRATE +12 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   62989410 | OU      | $411876.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                                                                      | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54660 | PA      | $47845.73      | 0.00%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                  | IndyMac INDA Mortgage Loan Trust 2005-AR1                                                                                          | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25963 | PA      | $24506.98      | 0.00%             | 2035-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                           | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2301477 | PA      | $2235898.96    | 0.12%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4553.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMware Inc                                        | VMware Inc                                                                                                                         | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     300000 | PA      | $279984.05     | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -34 | NC      | $14248.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74187 | PA      | $73652.57      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                                   | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        900 | NS      | $1066500.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                   | Venture Xxv Clo Ltd                                                                                                                | CUSIP: 92329VAS1<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | KY        |     231000 | PA      | $228444.38     | 0.01%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 60 CLO Ltd                                                                                                                  | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $689175.90     | 0.04%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2017-2A Ltd                                                                                                          | CUSIP: 94951MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     585196 | PA      | $576713.09     | 0.03%             | 2029-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                               | Syngenta Finance NV                                                                                                                | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $398207.69     | 0.02%             | 2023-04-24      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                 | Toro European CLO 5 DAC                                                                                                            | CUSIP: 000000000<br>LEI: 635400CNR8OQZHQBZR28 | Long             | ABS-CBDO         | CORP              | IE        |     899512 | PA      | $937914.06     | 0.05%             | 2030-10-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae Trust 2003-W8                                                                                                           | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22003 | PA      | $21634.84      | 0.00%             | 2042-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01MJV0 IRS EUR R F   .00000 SWU01MJV0 CCPVANILLA / Short: SWU01MJV0 IRS EUR P V 06MEURIB SWUV1MJV2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41200000 | OU      | $-11762922.46  | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU056GB8 IRS GBP R V 01MUKRPI SWU056GB8 CCPINFLATIONZERO / Short: BWU056GB8 IRS GBP P F  4.73500 SWUV56GB0 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10900000 | OU      | $1058089.09    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 6 Ltd                                                                                                        | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    1299921 | PA      | $1283347.31    | 0.07%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                    | LoanCore 2022-CRE7 Issuer Ltd                                                                                                      | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2031256.50    | 0.11%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-HY3                                                                                                 | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     916228 | PA      | $906240.05     | 0.05%             | 2059-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49057131 | PA      | $43565688.33   | 2.40%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-11CB                                                                                                   | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402236 | PA      | $325454.12     | 0.02%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JJ444 IRS USD R F  5.50000 SWUVJJ446 CCPINFLATIONZERO / Short: SWU0JJ444 IRS USD P V 01MUSCPI SWU0JJ444 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   26900000 | OU      | $-195875.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1331698 | PA      | $1307722.58    | 0.07%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1632597040 | PA      | $12906274.22   | 0.71%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        919 | PA      | $117.14        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD DKK                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-21109.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01HY44 IRS EUR R F   .65000 SWU01HY44 CCPVANILLA / Short: SWU01HY44 IRS EUR P V 06MEURIB SWUV1HY46 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7500000 | OU      | $-812728.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Euro CLO 2017-2 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400AWOJYIRR64GJ58 | Long             | ABS-CBDO         | CORP              | IE        |    1096058 | PA      | $1142032.37    | 0.06%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR3                                                                                                   | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128546 | PA      | $106807.95     | 0.01%             | 2035-05-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Inc Asset-backed Certificates Series 2007-12                                                                                 | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |      23132 | PA      | $22212.45      | 0.00%             | 2047-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-OPT1                                                                                                | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1966014 | PA      | $1406844.76    | 0.08%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR5                                                                            | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22459 | PA      | $20899.99      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1261388 | PA      | $1242847.13    | 0.07%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    8349361 | PA      | $870847.40     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A3                                                                                                   | CUSIP: 466247PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23499 | PA      | $23366.38      | 0.00%             | 2035-06-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                     | UniCredit SpA                                                                                                                      | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   10700000 | PA      | $10750161.60   | 0.59%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                                                                               | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |    1600000 | PA      | $1651730.97    | 0.09%             | 2031-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     499121 | PA      | $49241.04      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2015-1 Ltd                                                                                                                | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    1519574 | PA      | $1504030.47    | 0.08%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                 | Wachovia Mortgage Loan Trust Series 2006-ALT1                                                                                      | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1575470 | PA      | $621161.45     | 0.03%             | 2037-01-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2153104850 | PA      | $17037483.90   | 0.94%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-86238.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tralee CDO Ltd                                    | Tralee CLO VII Ltd                                                                                                                 | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1361994.20    | 0.08%             | 2034-04-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $12886.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211976 | PA      | $200929.37     | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                                                                                               | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1181527.20    | 0.07%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0ZD548 IRS GBP R V 01MUKRPI SWU0ZD548 CCPINFLATIONZERO / Short: BWU0ZD548 IRS GBP P F  4.61500 SWUVZD540 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8100000 | OU      | $727964.73     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73330979 | PA      | $73280216.03   | 4.04%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation             | AMMC CLO XII Ltd                                                                                                                   | CUSIP: 00176CAW1<br>LEI: 549300YZO1X7UK2OVY35 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $985690.00     | 0.05%             | 2030-11-10      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83542952 | PA      | $77523925.61   | 4.27%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01IQW9 IRS EUR R F  1.00000 SWU01IQW9 CCPVANILLA / Short: SWU01IQW9 IRS EUR P V 06MEURIB SWUV1IQW1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6900000 | OU      | $-659707.38    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corporation            | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-2                                                      | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1957937.00    | 0.11%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0SG481 IRS USD R F  1.99750 SWUVSG483 CCPINFLATIONZERO / Short: SWU0SG481 IRS USD P V 12MUSCPI SWU0SG481 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21500000 | OU      | $-2660397.74   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                                                                   | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850374 | PA      | $846250.45     | 0.05%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| LSI OPEN POSITION NET ASSET                       | LSI OPEN POSITION NET ASSET                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     202291 | PA      | $0.00          | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                           | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154344 | PA      | $152649.35     | 0.01%             | 2066-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | J P MORGAN TERM REPO                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   38400000 | PA      | $38400000.00   | 2.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                                                                                | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      67379 | PA      | $44526.50      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U714I0 PIMCO SWAPTION 1.41 CALL USD 2023020                                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   46200000 | NC      | $4.62          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MAY3 TRS USD R F   .00000 BOND TRS / Short: SWU01MAY3 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   36159213 | OU      | $136415.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust     | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                                                                               | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        526 | PA      | $179.59        | 0.00%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                                                                       | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66044 | PA      | $61200.71      | 0.00%             | 2034-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| M360 2018-CRE1, Ltd.                              | M360 2021-CRE3 Ltd                                                                                                                 | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $588000.00     | 0.03%             | 2038-11-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU09TJ13 IRS GBP R F  3.32500 INFLATIONZERO CCP LCH / Short: SWU09TJ13 IRS GBP P V 12MUKPRI INFLATIONZERO UKRPI CCP LCH     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12100000 | OU      | $-2645132.11   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  151079963 | PA      | $142065378.29  | 7.83%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BlackRock European CLO DAC                        | Blackrock European CLO IV DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400RUFMRMBL1HMT43 | Long             | ABS-CBDO         | CORP              | IE        |    1198071 | PA      | $1253489.54    | 0.07%             | 2030-07-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | CARLYLE US CLO 2017-4 Ltd                                                                                                          | CUSIP: 14315BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $491832.00     | 0.03%             | 2030-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19371013 | PA      | $18453873.98   | 1.02%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0DYA5 PIMCO SWAPTION 2.35 CALL USD 2023042                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -11600000 | NC      | $-19624.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   13213890 | PA      | $16219350.12   | 0.89%             | 2024-03-22      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners Clo XII Ltd                                                                                                | CUSIP: 08179HAE0<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $983789.00     | 0.05%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-29CB                                                                                                   | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137444 | PA      | $83036.16      | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MB48 TRS USD R F   .00000 BOND TRS / Short: SWU01MB48 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   12637494 | OU      | $42763.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | CARLYLE US CLO 2017-1 Ltd                                                                                                          | CUSIP: 14314BAL1<br>LEI: 549300VZ0HS3D307K776 | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1569577.60    | 0.09%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369839 | PA      | $1318854.16    | 0.07%             | 2047-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                   | VMC Finance 2022-FL5 LLC                                                                                                           | CUSIP: 91835BAA3<br>LEI: 549300QK6J0UZ3WZJ014 | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $389359.20     | 0.02%             | 2039-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16699491 | PA      | $15652624.96   | 0.86%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association         | 317515FG4 INF CAP US APR24 4.0 CALL                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -35000000 | NC      | $-105.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01KR29 IRS EUR R F   .55000 SWU01KR29 CCPVANILLA / Short: SWU01KR29 IRS EUR P V 06MEURIB SWUV1KR21 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $-4569.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2007-WF1                                                                                       | CUSIP: 40431RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     103957 | PA      | $103244.44     | 0.01%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |      27811 | PA      | $33194.40      | 0.00%             | 2038-06-18      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01KS77 IRS EUR R V 06MEURIB SWUV1KS79 CCPVANILLA / Short: BWU01KS77 IRS EUR P F  1.75000 SWU01KS77 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11300000 | OU      | $1505931.62    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                                                                             | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5400000 | PA      | $1302604.41    | 0.07%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     955130 | PA      | $1141548.40    | 0.06%             | 2045-06-13      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0DA365 IRS USD R V 01MUSCPI SWU0DA365 CCPINFLATIONZERO / Short: BWU0DA365 IRS USD P F  1.79750 SWUVDA367 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9300000 | OU      | $1331476.63    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                                                                   | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15907 | PA      | $15784.89      | 0.00%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12835529 | PA      | $12562837.31   | 0.69%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                               | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1382636.20    | 0.08%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                                                                     | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32227 | PA      | $30160.37      | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U0BHA8 PIMCO SWAPTION 2.35 CALL USD 2023053                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -32700000 | NC      | $-96608.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | Wind River 2014-1 CLO Ltd                                                                                                          | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | KY        |     597541 | PA      | $583664.86     | 0.03%             | 2031-07-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                    | Jubilee CLO 2015-XV DAC                                                                                                            | CUSIP: 000000000<br>LEI: 6354007QM7UFQFJIFZ64 | Long             | ABS-CBDO         | CORP              | IE        |      53433 | PA      | $57062.38      | 0.00%             | 2028-07-12      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1613178.34   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                             | Australia Government Bond                                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   11150000 | PA      | $11033455.61   | 0.61%             | 2025-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| State of Qatar                                    | Qatar Government International Bond                                                                                                | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     700000 | PA      | $696150.00     | 0.04%             | 2023-04-23      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU078656 IRS GBP R V 01MUKRPI SWU078656 CCPINFLATIONZERO / Short: BWU078656 IRS GBP P F  4.48000 SWUV78658 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $443474.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                   | Contego CLO IV DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 635400H7QVHLSOZWVU92 | Long             | ABS-CBDO         | CORP              | IE        |     798548 | PA      | $829100.47     | 0.05%             | 2030-01-23      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -117 | NC      | $112634.52     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                                                                     | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30222 | PA      | $26284.24      | 0.00%             | 2046-12-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                                                                           | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $770841.60     | 0.04%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                               | Capital Four US CLO II Ltd                                                                                                         | CUSIP: 14016CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     900000 | PA      | $896994.00     | 0.05%             | 2030-10-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2005-WMC1                                                                                                              | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100771 | PA      | $98084.88      | 0.01%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation          | RASC Series 2006-EMX4 Trust                                                                                                        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3415814 | PA      | $3241625.37    | 0.18%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                                                                     | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9835 | PA      | $8573.44       | 0.00%             | 2035-08-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01MJY4 IRS EUR R V 06MEURIB SWUV1MJY6 CCPVANILLA / Short: BWU01MJY4 IRS EUR P F   .19000 SWU01MJY4 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6700000 | OU      | $3342817.95    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0TH017 IRS GBP R V 01MUKRPI SWU0TH017 CCPINFLATIONZERO / Short: BWU0TH017 IRS GBP P F  4.13000 SWUVTH019 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10630000 | OU      | $110551.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 44 Euro CLO 2015 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400YO6CJ2YJRXF230 | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1324464.05    | 0.07%             | 2034-04-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| TCW CLO                                           | TCW CLO 2018-1 Ltd                                                                                                                 | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $887125.50     | 0.05%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                 | Cedar Funding V CLO Ltd                                                                                                            | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $784315.20     | 0.04%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01MAV9 TRS USD R F   .00000 BOND TRS / Short: SWU01MAV9 TRS USD P V 00MCPU TRS R CPURNSA +4.19 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   57388222 | OU      | $184072.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0G7690 IRS GBP R F  3.58000 SWUVG7692 CCPINFLATIONZERO / Short: SWU0G7690 IRS GBP P V 01MUKRPI SWU0G7690 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $-1120594.63   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36777168 | PA      | $41321717.87   | 2.28%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   11719746 | PA      | $1143958.58    | 0.06%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                         | Madison Park Euro Funding IX DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $713131.74     | 0.04%             | 2035-07-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0KT127 IRS EUR R F  2.55000 SWUVKT129 CCPINFLATIONZERO / Short: SWU0KT127 IRS EUR P V 01MCPTFE SWU0KT127 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-31829.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2003-OP1                                                                         | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1089072 | PA      | $1040954.76    | 0.06%             | 2033-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-12                                                                                            | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6529 | PA      | $6468.92       | 0.00%             | 2034-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0JR610 IRS USD R F  5.32000 SWUVJR612 CCPINFLATIONZERO / Short: SWU0JR610 IRS USD P V 01MUSCPI SWU0JR610 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15400000 | OU      | $-40560.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01MMU8 IRS EUR R V 06MEURIB SWUV1MMU0 CCPVANILLA / Short: BWU01MMU8 IRS EUR P F   .19700 SWU01MMU8 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12200000 | OU      | $6071752.34    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                            | Reliance Standard Life Global Funding II                                                                                           | CUSIP: 75951AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98698.17      | 0.01%             | 2023-09-19      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0DXA6 PIMCO SWAPTION 2.2 CALL USD 20230426                                                                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   21000000 | NC      | $12818.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33330375 | PA      | $30527846.75   | 1.68%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-8                                                                                       | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5134731 | PA      | $4666062.90    | 0.26%             | 2037-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0IU010 IRS GBP R V 01MUKRPI SWU0IU010 CCPINFLATIONZERO / Short: BWU0IU010 IRS GBP P F  4.14250 SWUVIU012 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5500000 | OU      | $49047.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0C8247 IRS GBP R F  3.40000 INFLATIONZERO CCP LCH / Short: SWU0C8247 IRS GBP P V 12MRPI UKRPI/INFLATIONZERO CCP LCH       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15300000 | OU      | $-3044398.95   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-8                                                                                                    | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65148 | PA      | $57358.49      | 0.00%             | 2034-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                           | HalseyPoint CLO 3 Ltd                                                                                                              | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $490601.00     | 0.03%             | 2032-11-30      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXII Ltd                                                                                                          | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $491378.00     | 0.03%             | 2031-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-7                                                                                                    | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455366 | PA      | $280415.01     | 0.02%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                                                                                   | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73919 | PA      | $60683.85      | 0.00%             | 2035-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                                                                                    | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      45851 | PA      | $43296.41      | 0.00%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                                                                       | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195640.63     | 0.01%             | 2023-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                                                                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   62970799 | PA      | $6677979.41    | 0.37%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2405543.08    | 0.13%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01M206 TRS USD R F   .00000 BOND TRS / Short: SWU01M206 TRS USD P V 00MSOFR TRS R SOFRRATE +12 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   10970885 | OU      | $36218.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                                                                              | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36057 | PA      | $33500.29      | 0.00%             | 2036-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                 | Mountain View CLO 2017-1 LLC                                                                                                       | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1868364 | PA      | $1839004.14    | 0.10%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                                                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    6701974 | PA      | $734257.82     | 0.04%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                                                                                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    8403792 | PA      | $6845428.56    | 0.38%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-3                                                                                                | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     548507 | PA      | $513382.76     | 0.03%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL3                                                                                      | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4615234 | PA      | $4288121.13    | 0.24%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01DSU2 IRS USD R F  1.88750 SWU01DSU2 CCPVANILLA / Short: SWU01DSU2 IRS USD P V 03MLIBOR SWUV1DSU4 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $-1369849.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     285874 | PA      | $29958.54      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Marathon Static CLO Ltd                           | Marathon Static CLO 2022-18 Ltd                                                                                                    | CUSIP: 56586PAA6<br>LEI: 549300PRAU42OGUUTY83 | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $896475.60     | 0.05%             | 2030-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: SWU01M1Z0 TRS USD R F   .00000 BOND TRS / Short: SWU01M1Z0 TRS USD P V 00MSOFR TRS R SOFRRATE +12 BPS                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   12488752 | OU      | $61425.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U719I5 PIMCO SWAPTION 1.5575 CALL USD 20230                                                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  -10100000 | NC      | $-2.02         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -91 | NC      | $1946587.72    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-OA19                                                                                                   | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424720 | PA      | $319929.79     | 0.02%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                           | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2401851 | PA      | $2361399.89    | 0.13%             | 2072-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XIV Ltd                                                                                                               | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |      60480 | PA      | $60452.89      | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EQ088 IRS USD R V 01MUSCPI SWU0EQ088 CCPINFLATIONZERO / Short: BWU0EQ088 IRS USD P F  2.76750 SWUVEQ080 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11300000 | OU      | $808609.69     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                                                                       | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465620 | PA      | $183912.13     | 0.01%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SHIRE ACQ INV IRELAND DA                          | Shire Acquisitions Investments Ireland DAC                                                                                         | CUSIP: 82481LAC3<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |      40000 | PA      | $39309.53      | 0.00%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |      53966 | PA      | $64145.90      | 0.00%             | 2039-03-18      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| American Money Management Corporation             | AMMC CLO 16 Ltd                                                                                                                    | CUSIP: 00176JAT3<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |    2439069 | PA      | $2424203.03    | 0.13%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2005-FRE1                                                                                      | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100089 | PA      | $91970.82      | 0.01%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                             | Black Diamond CLO 2015-1 Designated Activity Co                                                                                    | CUSIP: 000000000<br>LEI: 635400M6BTF6EBHINU93 | Long             | ABS-CBDO         | CORP              | IE        |      39482 | PA      | $39432.32      | 0.00%             | 2029-10-03      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52564077 | PA      | $46039430.06   | 2.54%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU01E9U1 IRS GBP R V 12MSONIA SWUV1E9U3 CCPOIS / Short: BWU01E9U1 IRS GBP P F   .50000 SWU01E9U1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9700000 | OU      | $4931958.71    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                    | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8611 | PA      | $8181.23       | 0.00%             | 2044-09-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34410858 | PA      | $33030333.22   | 1.82%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $4119.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U682I8 PIMCO SWAPTION 1.579 CALL USD 202301                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -10100000 | NC      | $-1.01         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                                                                                       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $391890.00     | 0.02%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22512865 | PA      | $23815725.50   | 1.31%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35729756 | PA      | $34272619.37   | 1.89%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                                                                                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |    1800000 | PA      | $1760733.00    | 0.10%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Trust                  | Ellington Loan Acquisition Trust 2007-1                                                                                            | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1194004 | PA      | $1142596.27    | 0.06%             | 2037-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |          1 | NC      | $3277.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XXVII                                                                                                                   | CUSIP: 03767JAF2<br>LEI: 549300EW146C7Q4UV387 | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1677441.00    | 0.09%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL9 LLC                                                                                                                   | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1773628.20    | 0.10%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44366626 | PA      | $42725019.58   | 2.36%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD TWD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $98.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -80 | NC      | $1629078.79    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                                                                   | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255582 | PA      | $256442.75     | 0.01%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103136 | PA      | $100992.01     | 0.01%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BWU0EA166 IRS EUR R V 01MCPTFE SWU0EA166 CCPINFLATIONZERO / Short: BWU0EA166 IRS EUR P F  2.47000 SWUVEA168 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $130850.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $32780.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                                                                            | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13014 | PA      | $9772.19       | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61893693 | PA      | $55415773.54   | 3.06%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Venture XXI CLO                                   | Venture XXI CLO Ltd                                                                                                                | CUSIP: 92330MAL3<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |     142944 | PA      | $142700.49     | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securities                   | Residential Mortgage Securities 32 PLC                                                                                             | CUSIP: 000000000<br>LEI: 54930041T52UP3IPLN03 | Long             | ABS-MBS          | CORP              | GB        |    2170317 | PA      | $2606755.81    | 0.14%             | 2070-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-4CB                                                                                                    | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     548064 | PA      | $462881.07     | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                                                                                   | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56862 | PA      | $52182.28      | 0.00%             | 2035-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | 317U941I5 PIMCO SWAPTION 1.785 CALL USD 202301                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -19100000 | NC      | $-1.91         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU01KS93 IRS EUR R F  1.50000 SWU01KS93 CCPVANILLA / Short: SWU01KS93 IRS EUR P V 06MEURIB SWUV1KS95 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-417110.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0MR624 IRS USD R F  5.03250 SWUVMR626 CCPINFLATIONZERO / Short: SWU0MR624 IRS USD P V 01MUSCPI SWU0MR624 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-94573.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -9 | NC      | $84199.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                  | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25230 | PA      | $24707.59      | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11872763 | PA      | $11402346.67   | 0.63%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: SWU0MR863 IRS USD R F  5.15000 SWUVMR865 CCPINFLATIONZERO / Short: SWU0MR863 IRS USD P V 01MUSCPI SWU0MR863 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   36500000 | OU      | $106980.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12344787 | PA      | $11504117.87   | 0.63%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 11 Ltd                                                                                                                     | CUSIP: 48250MAK3<br>LEI: 549300PJRIGYUE3V5M12 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492769.00     | 0.03%             | 2031-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE2                                                                            | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     289494 | PA      | $118981.53     | 0.01%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64836202 | PA      | $61093444.25   | 3.37%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -74 | NC      | $259933.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2005-E Trust                                                                                              | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29769 | PA      | $24779.15      | 0.00%             | 2035-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                                                                             | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   28333260 | PA      | $3134869.16    | 0.17%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |          1 | NC      | $7425.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer