# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0001752724-23-039196
**Filing Date:** 2023-2
**Character Count:** 134953
**Document Hash:** e696cbb341fb7f48b18504f73ad4ded8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039196.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039196

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 23665159

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Inflation Protected Bond Portfolio (Series ID: S000062365)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202308 | Investor A Shares    |  |
| C000202309 | Investor C Shares    |  |
| C000202310 | Institutional Shares |  |
| C000202311 | Class K Shares       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds V

- **b. Investment Company Act file number:** 811-23339

- **c. CIK number of Registrant:** 0001738078

- **d. LEI of Registrant:** 54930077DSFQPJDWM487

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

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

- **b. EDGAR series identifier (if any):** S000062365

- **c. LEI of Series:** 7C48ZH5S2PWOI6S4EV85

**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:** $3220952000.00

**Total Liabilities:** $544079953.77

**Net Assets:** $2676872046.23

**Amount of Assets Invested in Other Investment Companies:** $5988047.62

**Cash Not Reported:** $23597016.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7236.34000000 | **1-Year:** 0.00000000 | **5-Year:** 11619.93000000 | **10-Year:** 0.00000000 | **30-Year:** 20617.68000000

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

- **3-Month:** 126428.36000000 | **1-Year:** 42564.47000000 | **5-Year:** 23961.43000000 | **10-Year:** -63740.90000000 | **30-Year:** -4241.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202311 | 1.06%                | 2.20%                | -1.14%               |
| Class ID C000202310 | 1.15%                | 2.17%                | -1.12%               |
| Class ID C000202309 | 1.01%                | 2.11%                | -1.21%               |
| Class ID C000202308 | 1.07%                | 2.23%                | -1.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-47805815.22            | $74750551.04                               |
| Month 2  | $-29054649.53            | $83840436.68                               |
| Month 3  | $-22525731.45            | $-18002143.07                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Sunac China Holdings Ltd.                                                 | Sunac China Holdings Ltd.                                                         | CUSIP: N/A<br>LEI: 549300OLARYHDXP3WK18       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $111725.00     | 0.00%             | 2025-07-09      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35636566 | PA      | $38837165.61   | 1.45%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37023799 | PA      | $37763682.27   | 1.41%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2020-SFR5, Class E2                                            | CUSIP: 03217JAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2646140.70    | 0.10%             | 2037-11-17      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   91523000 | PA      | $1341651.42    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                      | U.K. Treasury Bonds                                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    3880000 | PA      | $2533461.11    | 0.09%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11156000 | PA      | $747172.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Central China Real Estate Ltd.                                            | Central China Real Estate Ltd.                                                    | CUSIP: N/A<br>LEI: 549300JDML9PYG0CIJ22       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $155325.00     | 0.01%             | 2024-07-16      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Redsun Properties Group Ltd.                                              | Redsun Properties Group Ltd.                                                      | CUSIP: N/A<br>LEI: 549300TYWIIKAOK07L47       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $51706.88      | 0.00%             | 2025-01-13      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Logan Group Co. Ltd.                                                      | Logan Group Co. Ltd.                                                              | CUSIP: N/A<br>LEI: 549300NJ0E6Q0S1VOG90       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $109000.00     | 0.00%             | 2028-01-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   18654000 | PA      | $1053466.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KWG Group Holdings Ltd.                                                   | KWG Group Holdings Ltd.                                                           | CUSIP: N/A<br>LEI: 549300LK82ZOM9ZE7H90       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $222768.75     | 0.01%             | 2025-08-10      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33733385 | PA      | $31302992.50   | 1.17%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -575 | NC      | $49360.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class E2                           | CUSIP: 74333XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3098762.40    | 0.12%             | 2039-01-17      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -33253000 | PA      | $-961391.84    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  105097326 | PA      | $96260394.82   | 3.60%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11206000 | PA      | $1062200.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48890500 | PA      | $48959252.27   | 1.83%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11765000 | PA      | $-85343.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRTKL                                                                     | FRTKL, Series 2021-SFR1, Class E2                                                 | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3317452.40    | 0.12%             | 2038-09-17      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98018433 | PA      | $86605437.82   | 3.24%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   81661951 | PA      | $76789374.84   | 2.87%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -43843966 | PA      | $-28358540.52  | -1.06%            | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9273000 | PA      | $215597.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -203 | NC      | $291157.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61847529 | PA      | $58143687.40   | 2.17%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K83, Class B    | CUSIP: 302958AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1830322.00    | 0.07%             | 2051-11-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2021-SFR1, Class E2                                            | CUSIP: 00179DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3700000 | PA      | $2861022.41    | 0.11%             | 2038-06-17      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73110195 | PA      | $69640448.58   | 2.60%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   84912790 | PA      | $81770937.46   | 3.05%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Sino-Ocean Land Treasure III Ltd.                                         | Sino-Ocean Land Treasure III Ltd.                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |     545000 | PA      | $167689.69     | 0.01%             | 2027-09-21      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17496528 | PA      | $929403.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   75874765 | PA      | $1932208.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     821605 | PA      | $6522.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58871355 | PA      | $57248462.52   | 2.14%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Champion Path Holdings Ltd.                                               | Champion Path Holdings Ltd.                                                       | CUSIP: N/A<br>LEI: 549300QWJFPV5413KI88       | Long             | DBT              | CORP              | VG        |     545000 | PA      | $454495.94     | 0.02%             | 2028-01-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13287000 | PA      | $993945.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Powerlong Real Estate Holdings Ltd.                                       | Powerlong Real Estate Holdings Ltd.                                               | CUSIP: N/A<br>LEI: 549300R3K12EPXCGDP22       | Long             | DBT              | CORP              | KY        |     345000 | PA      | $104319.38     | 0.00%             | 2024-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27875070 | PA      | $23653215.31   | 0.88%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Times China Holdings Ltd.                                                 | Times China Holdings Ltd.                                                         | CUSIP: N/A<br>LEI: 2549000KTINB9ZPZP710       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $87642.81      | 0.00%             | 2027-01-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   91523000 | PA      | $5744685.30    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41391662 | PA      | $46506424.74   | 1.74%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                   | JPMorgan Securities LLC                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | Long             | RA               | CORP              | US        |   11532447 | PA      | $11532446.75   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17851500 | PA      | $-1129394.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3839.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class E2                            | CUSIP: 74333YAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3097262.80    | 0.12%             | 2041-02-17      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| State of Israel                                                           | State of Israel Government Bond                                                   | CUSIP: 46513JB42<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1234000 | PA      | $1029078.88    | 0.04%             | 2050-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2019-K94, Class B    | CUSIP: 30310XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1772167.40    | 0.07%             | 2052-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR4, Class E2                            | CUSIP: 74333EAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3455000 | PA      | $2881998.62    | 0.11%             | 2038-05-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7435.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16838443 | PA      | $-71518.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -24193000 | PA      | $-131065.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   92404108 | PA      | $86111469.15   | 3.22%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28093181 | PA      | $29740512.28   | 1.11%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-16666.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16797940 | PA      | $135446.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3277220.55    | 0.12%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Canada 10 Year Bonds                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -59 | NC      | $124957.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2020-SFR4, Class E2                                            | CUSIP: 66981FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2613579.00    | 0.10%             | 2037-11-17      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Yuzhou Group Holdings Co. Ltd.                                            | Yuzhou Group Holdings Co. Ltd.                                                    | CUSIP: N/A<br>LEI: 213800MP59KHGJSPHE82       | Long             | DBT              | CORP              | KY        |     345000 | PA      | $30187.50      | 0.00%             | 2027-01-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15938.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Jingrui Holdings Ltd.                                                     | Jingrui Holdings Ltd.                                                             | CUSIP: N/A<br>LEI: 549300RXCFKI6KHCMP52       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $21800.00      | 0.00%             | 2023-07-25      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     225000 | PA      | $6563.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17864000 | PA      | $853834.35     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP Pte. Ltd.                                                             | GLP Pte. Ltd.                                                                     | CUSIP: N/A<br>LEI: 254900PC2NNG9BLIJO15       | Long             | DBT              | CORP              | SG        |     345000 | PA      | $172241.25     | 0.01%             | 2026-05-17      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wynn Macau Ltd.                                                           | Wynn Macau Ltd.                                                                   | CUSIP: N/A<br>LEI: 254900NMDQ8ENTHU1I31       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $496222.50     | 0.02%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -9231210 | PA      | $-8455019.31   | -0.32%            | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K73, Class B    | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1224591.89    | 0.05%             | 2051-02-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12413.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4434010 | PA      | $3937.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ronshine China Holdings Ltd.                                              | Ronshine China Holdings Ltd.                                                      | CUSIP: N/A<br>LEI: 549300GNBBT32SFSEC47       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $27250.00      | 0.00%             | 2025-01-25      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -43457800 | PA      | $-1460404.68   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1070000 | PA      | $12421.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fortune Star BVI Ltd.                                                     | Fortune Star BVI Ltd.                                                             | CUSIP: N/A<br>LEI: 2549008CU8NYQQRSNU62       | Long             | DBT              | CORP              | VG        |     545000 | PA      | $343350.00     | 0.01%             | 2027-01-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -43457800 | PA      | $-1830052.62   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Ltd.                                                | Melco Resorts Finance Ltd.                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | KY        |     545000 | PA      | $462670.94     | 0.02%             | 2027-07-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   13160000 | PA      | $23478.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13079000 | PA      | $946766.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $104621.70     | 0.00%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2230000 | PA      | $-15135.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   19518000 | PA      | $2926319.98    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                            | BNP Paribas SA                                                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Short            | RA               | CORP              | FR        | -193782108 | PA      | $-193782107.50 | -7.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   42156544 | PA      | $1390776.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2369.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| China Aoyuan Group Ltd.                                                   | China Aoyuan Group Ltd.                                                           | CUSIP: N/A<br>LEI: 549300YSOKQO5QD6MP25       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $42237.50      | 0.00%             | 2026-03-24      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    4993000 | PA      | $773858.71     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2022-NQM9, Class A1A                                            | CUSIP: 67118LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3896365 | PA      | $3877322.65    | 0.14%             | 2062-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| LMIRT Capital Pte. Ltd.                                                   | LMIRT Capital Pte. Ltd.                                                           | CUSIP: N/A<br>LEI: 5493009IDXHZSVD2BI70       | Long             | DBT              | CORP              | SG        |     545000 | PA      | $325739.69     | 0.01%             | 2026-02-09      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR7, Class D                             | CUSIP: 74333CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3165000 | PA      | $2925464.57    | 0.11%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   56746000 | PA      | $-4825028.83   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24837092 | PA      | $20884216.40   | 0.78%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17673000 | PA      | $1187833.34    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV2, Class C                           | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $742494.92     | 0.03%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     221500 | PA      | $7057.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    7275000 | PA      | $21168.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     696000 | PA      | $572959.80     | 0.02%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16678177 | PA      | $916051.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34164937 | PA      | $27982006.64   | 1.05%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-38125.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   42156544 | PA      | $1690099.76    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14887161 | PA      | $17039357.20   | 0.64%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   15324000 | PA      | $256463.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -30591000 | PA      | $-198312.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9430000 | PA      | $591342.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14876250 | PA      | $-881278.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -59000000 | PA      | $-393478.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                               | Tricon American Homes Trust, Series 2020-SFR2, Class E2                           | CUSIP: 89613JAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3270889.60    | 0.12%             | 2039-11-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4661.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32141454 | PA      | $33510359.10   | 1.25%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  710169000 | PA      | $847429.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -59000000 | PA      | $-5266268.86   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  197408132 | PA      | $193214182.44  | 7.22%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class E2                           | CUSIP: 43730XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3738556 | PA      | $3050632.81    | 0.11%             | 2041-01-17      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class B                             | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2928577 | PA      | $2814701.28    | 0.11%             | 2038-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-NQM5, Class A1                                            | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6047528 | PA      | $5897137.20    | 0.22%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -33253000 | PA      | $-1646652.28   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38294001 | PA      | $38245727.54   | 1.43%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Blackstone Mortgage Trust, Inc.                                           | Blackstone Mortgage Trust, Inc., Class A                                          | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |      20000 | NS      | $423400.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1735000 | PA      | $-89704.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -6066 | NC      | $-75825.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19485060 | PA      | $20612696.57   | 0.77%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   37058000 | PA      | $1342649.16    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Redco Properties Group Ltd.                                               | Redco Properties Group Ltd.                                                       | CUSIP: N/A<br>LEI: 54930027GMI4T9YDMM54       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $57054.69      | 0.00%             | 2024-02-17      | Fixed         | 9.90%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                                     | Tricon American Homes, Series 2020-SFR1, Class E                                  | CUSIP: 89613GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1773341.80    | 0.07%             | 2038-07-17      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   75874765 | PA      | $4116393.06    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14976000 | PA      | $914563.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Solar Loan Ltd.                                                 | Mill City Solar Loan Ltd., Series 2019-1A, Class A                                | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1052866 | PA      | $985546.83     | 0.04%             | 2043-03-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9751502 | PA      | $-8555668.09   | -0.32%            | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   22494000 | PA      | $-1802333.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6670000 | PA      | $-85680.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69557831 | PA      | $66288194.07   | 2.48%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2020-SFR1, Class F1                                  | CUSIP: 33767MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1621560.78    | 0.06%             | 2037-08-17      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4434010 | PA      | $4440.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2020-SFR1, Class E                             | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2726357.10    | 0.10%             | 2037-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2020-K737, Class B   | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     932000 | PA      | $845978.54     | 0.03%             | 2053-01-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   88132759 | PA      | $82607848.61   | 3.09%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48667224 | PA      | $48610158.77   | 1.82%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR2, Class E2                            | CUSIP: 74332VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2558751.00    | 0.10%             | 2027-04-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23430000 | PA      | $-550868.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41414582 | PA      | $26639998.39   | 1.00%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -30591000 | PA      | $-2781352.62   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Easy Tactic Ltd.                                                          | Easy Tactic Ltd.                                                                  | CUSIP: N/A<br>LEI: 549300WYFMC41MKE6E16       | Long             | DBT              | CORP              | VG        |     567526 | PA      | $108113.70     | 0.00%             | 2028-07-11      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   18430000 | PA      | $-816205.74    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FCPIX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   13160000 | PA      | $-11849.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -86802000 | PA      | $-754125.13    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -33986000 | PA      | $-2536371.37   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1131 | NC      | $-355771.53    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Invitation Homes, Inc.                                                    | Invitation Homes, Inc.                                                            | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      15000 | NS      | $444600.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-102963.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2022-1, Class A1                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2423224 | PA      | $2116809.14    | 0.08%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -11700000 | PA      | $-816266.24    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34809064 | PA      | $34784967.83   | 1.30%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | FCPIX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   13160000 | PA      | $-2297.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35166293 | PA      | $23687170.77   | 0.88%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2022-2, Class A1                            | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1512476 | PA      | $1485905.92    | 0.06%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17864000 | PA      | $936724.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-OAT                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -47 | NC      | $435129.68     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6193000 | PA      | $-124678.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13287000 | PA      | $812101.88     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -33986000 | PA      | $-351148.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74595670 | PA      | $70341473.44   | 2.63%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -86802000 | PA      | $-5502503.73   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      22000 | PA      | $987.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35761138 | PA      | $28830081.70   | 1.08%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     221500 | PA      | $24.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9895000 | PA      | $-80630.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -22764534 | PA      | $-644966.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   84625576 | PA      | $80422908.01   | 3.00%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2019-SFR3, Class G                             | CUSIP: 74332WAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3005981.76    | 0.11%             | 2036-09-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11227000 | PA      | $972470.43     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -40406000 | PA      | $-2273678.35   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   12940000 | PA      | $-337898.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   19000000 | PA      | $2112447.79    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Agile Group Holdings Ltd.                                                 | Agile Group Holdings Ltd.                                                         | CUSIP: N/A<br>LEI: 549300ZRISRT38EEYY07       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $242797.50     | 0.01%             | 2025-10-13      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR4, Class F                             | CUSIP: 74333EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $849739.30     | 0.03%             | 2038-05-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83689492 | PA      | $75171734.15   | 2.81%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-BTP                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -4 | NC      | $9045.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RKPF Overseas 2020 A Ltd.                                                 | RKPF Overseas 2020 A Ltd.                                                         | CUSIP: N/A<br>LEI: 254900LKOLISWWIE7W36       | Long             | DBT              | CORP              | VG        |     545000 | PA      | $384225.00     | 0.01%             | 2026-01-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -22764534 | PA      | $-990641.63    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5378383 | PA      | $4459.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   25196800 | PA      | $13177.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-59950.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11107000 | PA      | $1384014.12    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16545000 | PA      | $-1341759.68   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    8917250 | PA      | $-640112.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class D                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820001 | PA      | $785032.82     | 0.03%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2020-SFR2, Class E                                   | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2643840.60    | 0.10%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11053000 | PA      | $324456.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        136 | NC      | $-1293879.01   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  124418926 | PA      | $108975117.16  | 4.07%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2022-SFR1, Class E2                                            | CUSIP: 00179WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4912000 | PA      | $4302901.19    | 0.16%             | 2039-03-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9751502 | PA      | $8555668.09    | 0.32%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   20955000 | PA      | $-790871.85    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1366 | NC      | $-630561.31    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17673000 | PA      | $-1411876.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    5915000 | PA      | $-29904.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -40406000 | PA      | $-1000397.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Buxl                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -48 | NC      | $1296925.65    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2021-SFR1, Class D                                             | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $1942406.50    | 0.07%             | 2038-06-17      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| European Union                                                            | European Union, Series NGEU                                                       | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    6750000 | PA      | $3929102.78    | 0.15%             | 2051-07-06      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        130 | NC      | $-1115668.33   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2022-AFC2, Class A1                                           | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     946276 | PA      | $927914.69     | 0.03%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1680000 | PA      | $-143283.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54138536 | PA      | $43745608.07   | 1.63%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| China SCE Group Holdings Ltd.                                             | China SCE Group Holdings Ltd.                                                     | CUSIP: N/A<br>LEI: 549300Q8UEI2ERAP6P49       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $225493.75     | 0.01%             | 2025-05-02      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -24193000 | PA      | $-1801187.79   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     830000 | PA      | $26463.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13029000 | PA      | $616549.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | T-Fund, Institutional Class                                                       | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |    8792373 | NS      | $8792372.93    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9291000 | PA      | $649248.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7700000 | PA      | $-236774.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Japan 10 Year Bond                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -75 | NC      | $1343632.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1318526 | PA      | $-19618.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-INV2, Class A1                            | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1320608 | PA      | $1329830.88    | 0.05%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14618925 | PA      | $-1016884.06   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59334555 | PA      | $59382180.77   | 2.22%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   13160000 | PA      | $-28437.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16123500 | PA      | $-443262.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                                  | Tricon Residential Trust, Series 2021-SFR1, Class E2                              | CUSIP: 89614YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $2918148.80    | 0.11%             | 2038-07-17      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2019-K91, Class B    | CUSIP: 30309JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1817993.20    | 0.07%             | 2051-04-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   10577701 | PA      | $565987.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Modern Land China Co. Ltd.                                                | Modern Land China Co. Ltd.                                                        | CUSIP: N/A<br>LEI: 549300PDOU6AR9Z9IN08       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $30315.63      | 0.00%             | 2024-03-04      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -139 | NC      | $523266.19     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    5915000 | PA      | $-2478.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13125000 | PA      | $1598129.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $32169.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21195000 | PA      | $18081984.38   | 0.68%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1680000 | PA      | $-158987.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Greenland Global Investment Ltd.                                          | Greenland Global Investment Ltd.                                                  | CUSIP: N/A<br>LEI: 549300RR3CIGB2A33O28       | Long             | DBT              | CORP              | VG        |     345000 | PA      | $134550.00     | 0.01%             | 2025-04-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23264389 | PA      | $19425588.17   | 0.73%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fantasia Holdings Group Co. Ltd.                                          | Fantasia Holdings Group Co. Ltd.                                                  | CUSIP: N/A<br>LEI: 5493005JQNLB3I01JW62       | Long             | DBT              | CORP              | KY        |     345000 | PA      | $26737.50      | 0.00%             | 2023-01-09      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    7275000 | PA      | $-45788.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -18000000 | PA      | $-17733985.38  | -0.66%            | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13169000 | PA      | $-169147.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K82, Class B    | CUSIP: 30297LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2043000 | PA      | $1870938.74    | 0.07%             | 2028-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80104485 | PA      | $75480344.72   | 2.82%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2017-K65, Class B    | CUSIP: 30302XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1861680.80    | 0.07%             | 2050-07-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16123500 | PA      | $-511033.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9651000 | PA      | $-286088.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   10569000 | PA      | $428004.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2017-K62, Class B    | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2335303.00    | 0.09%             | 2050-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   68063000 | PA      | $-4214328.69   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                      | FirstKey Homes Trust, Series 2020-SFR1, Class F2                                  | CUSIP: 33767MAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2143000 | PA      | $1953109.63    | 0.07%             | 2037-08-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  116552000 | PA      | $-6142062.43   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       6050 | NC      | $718437.50     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -60224600 | PA      | $-60309290.84  | -2.25%            | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Long Gilt                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -47 | NC      | $344665.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Securities International, Inc.                                     | Nomura Securities International, Inc.                                             | CUSIP: N/A<br>LEI: OXTKY6Q8X53C9ILVV871       | Short            | RA               | CORP              | US        |  -30590000 | PA      | $-30590000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80949168 | PA      | $76288611.52   | 2.85%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2021-SFR2, Class E2                                            | CUSIP: 00179VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1672086.40    | 0.06%             | 2038-08-17      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95192039 | PA      | $92120622.38   | 3.44%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80369136 | PA      | $77144817.88   | 2.88%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E2                   | CUSIP: 64831KAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3422718.00    | 0.13%             | 2039-02-17      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Zhenro Properties Group Ltd.                                              | Zhenro Properties Group Ltd.                                                      | CUSIP: N/A<br>LEI: 549300I66TVJEL841P38       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $13625.00      | 0.00%             | 2026-01-07      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-2, Class E2                           | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3888918 | PA      | $3173175.57    | 0.12%             | 2026-12-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1643209 | PA      | $13168.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   91442826 | PA      | $81872233.99   | 3.06%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |   12940000 | PA      | $284316.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $387.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HICPXT                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     865000 | PA      | $-2944.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.                                     | Nomura Securities International, Inc.                                             | CUSIP: N/A<br>LEI: OXTKY6Q8X53C9ILVV871       | Short            | RA               | CORP              | US        |  -48799290 | PA      | $-48799290.00  | -1.82%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares Trust                                                             | iShares Residential Real Estate ETF                                               | CUSIP: 464288562<br>LEI: 5493004WBOUA72JP1U19 | Long             |  | RF                | US        |      32341 | NS      | $2210183.94    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | S&P 500 E-Mini Index                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        100 | NC      | $129297.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                                                 | Kaisa Group Holdings Ltd.                                                         | CUSIP: N/A<br>LEI: 254900N8L3L7NRJT0120       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $70850.00      | 0.00%             | 2025-11-11      | Fixed         | 11.70%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14305600 | PA      | $-995235.88    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $17733985.38   | 0.66%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74101840 | PA      | $67836391.78   | 2.53%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11297297 | PA      | $1236228.26    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                                  | Studio City Finance Ltd.                                                          | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |     545000 | PA      | $402618.75     | 0.02%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12245938 | PA      | $11783730.87   | 0.44%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   15127000 | PA      | $1482417.34    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   18715500 | PA      | $981938.73     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-1, Class A1                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4546690 | PA      | $3951583.71    | 0.15%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     225000 | PA      | $6760.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14963000 | PA      | $1295471.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR8, Class E2                            | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3274816.40    | 0.12%             | 2038-10-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                         | Homeward Opportunities Fund Trust, Series 2022-1, Class A1                        | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2919953 | PA      | $2834466.37    | 0.11%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-102296.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4516.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -12245938 | PA      | $-11783730.87  | -0.44%            | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-7, Class A1                               | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4426325 | PA      | $4304369.11    | 0.16%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6699000 | PA      | $-44579.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -11700000 | PA      | $-113898.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16036612 | PA      | $346236.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class C                             | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410001 | PA      | $393544.29     | 0.01%             | 2038-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   13029000 | PA      | $610465.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45540581 | PA      | $38090443.06   | 1.42%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -710169000 | PA      | $-346172.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1020000 | PA      | $-8069.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-48080.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                       | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2161426 | PA      | $1969109.80    | 0.07%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR9, Class E2                            | CUSIP: 74333QAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $2729490.40    | 0.10%             | 2040-11-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Yango Justice International Ltd.                                          | Yango Justice International Ltd.                                                  | CUSIP: N/A<br>LEI: 3003007ELD2HAYCXPT77       | Long             | DBT              | CORP              | HK        |     545000 | PA      | $8175.00       | 0.00%             | 2023-11-25      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16632000 | PA      | $-350293.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2020-SFR3, Class E                             | CUSIP: 74333AAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2617355.10    | 0.10%             | 2027-10-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9289000 | PA      | $-9262.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class E2                           | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $633165.44     | 0.02%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12299487 | PA      | $-948456.58    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -24343000 | PA      | $-363663.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Bonds                                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55169208 | PA      | $35683775.53   | 1.33%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95457910 | PA      | $91675727.16   | 3.42%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | USCPI                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    3200000 | PA      | $8178.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95914471 | PA      | $85177830.43   | 3.18%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61728389 | PA      | $58805799.60   | 2.20%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CIFI Holdings Group Co. Ltd.                                              | CIFI Holdings Group Co. Ltd.                                                      | CUSIP: N/A<br>LEI: 549300WGKSV867C0JF48       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $133525.00     | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12947533 | PA      | $850112.99     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                   | MGM China Holdings Ltd.                                                           | CUSIP: N/A<br>LEI: 529900VZFN87OS7WJM66       | Long             | DBT              | CORP              | KY        |     545000 | PA      | $479020.94     | 0.02%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -24343000 | PA      | $-1159162.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Inflation Linked Notes                                              | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87051775 | PA      | $83501615.84   | 3.12%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** BlackRock Funds V

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer