# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000158
**Filing Date:** 2023-3
**Character Count:** 174058
**Document Hash:** 6d73f2a7d3f235bf0124a615f9d2e213
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000158.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000158

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688699

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

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

## Series and Classes Contracts Data

### PIMCO Global Managed Asset Allocation Portfolio (Series ID: S000024339)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000072063 | Administrative Class | VPVGMMV         |
| C000072064 | Advisor Class        | VPVGMVV         |
| C000109755 | Institutional        | PVGMAPI         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Managed Asset Allocation Portfolio

- **b. EDGAR series identifier (if any):** S000024339

- **c. LEI of Series:** YEK4ZW257ZZ60WFBOB87

**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:** $428350346.75

**Total Liabilities:** $103059894.99

**Net Assets:** $325290451.76

**Amount of Assets Invested in Other Investment Companies:** $33251107.45

**Cash Not Reported:** $17680611.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 24869.235100 | **1-Year:** 10953.764700 | **5-Year:** 34075.688000 | **10-Year:** 13861.147000 | **30-Year:** 1964.738100

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

- **3-Month:** 483.947700 | **1-Year:** 4045.886000 | **5-Year:** 5469.117600 | **10-Year:** 754.868800 | **30-Year:** 22.625400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000072064 | 3.33%                | 5.49%                | -2.71%               |
| Class ID C000072063 | 3.34%                | 5.50%                | -2.84%               |
| Class ID C000109755 | 3.23%                | 5.65%                | -2.82%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5980877.98             | $3559552.50                                |
| Month 2  | $-812755.13              | $10056455.25                               |
| Month 3  | $-926785.50              | $2285135.00                                |

**Designated Index Information**

- **Index Name:** 60% MSCI World Net Total Return USD Index, 40% Bloomberg US Aggregate Total Return Index Unhedged USD

- **Index Identifier:** NDDUWI, LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                 | Title                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                  | 317U1S7A1 PIMCO SWAPTION 3.5 PUT USD 20230119            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -850000 | NC      | $-10292.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U1S8A0 PIMCO SWAPTION 3.0 CALL USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -850000 | NC      | $-327.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U1SBA6 PIMCO SWAPTION 3.5 PUT USD 20230119            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -850000 | NC      | $-10292.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U1SCA5 PIMCO SWAPTION 3.0 CALL USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -850000 | NC      | $-327.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COMM SWAP CMDSKEWLS GST                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $56811.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COMM SWAP JMABFNJ2 JPM                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $-19749.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CLP 5.85000 01/14/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $67533.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CLP 6.04500 02/11/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $28963.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CNY 2.25000 12/21/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $179456.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CNY 2.50000 12/15/21-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $4860.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CZK 5.22500 07/29/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $17094.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 0.08050 03/10/22-9Y* LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2470341.67  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 1.50000 03/15/23-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-175962.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 1.50000 03/15/23-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-121044.89   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 1.75000 03/15/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-787607.28   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS HUF 11.07000 09/02/22-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | HU        |           1 | NC      | $-7845.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS HUF 3.70000 11/08/21-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | HU        |           1 | NC      | $1006262.11   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS ILS 1.21500 02/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IL        |           1 | NC      | $-107411.87   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS KRW 2.50000 03/16/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |           1 | NC      | $-7740.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS KRW R 1.43000 07/01/19-10Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |           1 | NC      | $-10.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 7.74500 02/17/22-5Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $67290.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 8.24000 12/15/22-10Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $48334.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 8.25000 12/14/22-10Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $48423.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 8.70000 11/11/22-5Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-4166.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 9.40000 12/14/22-2Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-51780.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MXN 9.45500 12/15/22-2Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-45121.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MYR R 2.75000 12/15/21-5Y BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |           1 | NC      | $-39144.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS MYR R 3.00000 03/16/22-5Y BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |           1 | NC      | $-87442.41    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS PLN 2.98300 11/08/21-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-89613.42    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS THB R 1.75000 06/15/22-5Y GLM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |           1 | NC      | $-33593.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS ZAR 5.98000 07/20/21-5Y* CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |           1 | NC      | $-240445.89   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS ZAR 6.69000 11/04/21-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |           1 | NC      | $-158041.77   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/10.27000 11/17/22-5Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $9343.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/10.84000 12/02/22-3Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $25719.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/10.96000 11/21/22-3Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-6902.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/4.92000 07/28/21-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $413624.60    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/5.92500 10/08/21-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-332486.04   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/7.21500 02/09/22-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $367426.67    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/8.58500 06/07/22-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $100343.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/8.59000 05/31/22-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $107271.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/8.93000 05/23/22-8Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $132013.31    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS COP IBR/9.28000 08/12/22-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $78212.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS INR MIBOR/5.27000 03/17/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |           1 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS INR MIBOR/6.50000 09/21/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |           1 | NC      | $5980.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS SGD SIBCSORA/1.25000 12/15/21-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $226151.51    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS THB P 2.25000/THORON 09/21/22-5Y MYC                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |           1 | NC      | $-241.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS THB R THORON/2.50000 09/21/22-5Y GST                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |           1 | NC      | $7535.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-323655.84   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $284993.07    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $155949.92    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR JPY MUTKCALM/0.00000 12/15/21-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-311191.40   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR JPY MUTKCALM/0.0500 12/15/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $737307.72    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/0.25000 03/16/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $172024.02    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-330868.49   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $374864.47    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-839642.60   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $195632.68    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2055584.52  | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/2.38500 06/08/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $248370.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.70000 11/03/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-234124.06   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.10000 11/03/23-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $265092.94    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 11.575 11/24/21-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-82385.57    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 11.67 03/24/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-39711.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 11.74 10/21/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $12480.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 11.75 10/21/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $32719.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 12.12 08/19/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-64803.74    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 12.33 06/24/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-60453.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 12.46 06/24/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $7742.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | TOPIX INDX FUTR   MAR23 XOSE 20230309                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | JP        |          65 | NC      | $-261134.18   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT CAD SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $4248.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CZK BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-3695.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-23109.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1943.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CZK SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $12750.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CZK SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1060.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $176414.21    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230919                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $2618.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-296.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-18295.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CZK BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-8789.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $13294.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-1645.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-530164.31   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LONG GILT FUTURE  MAR23 IFLL 20230329                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          33 | NC      | $-2861.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | US 10YR NOTE (CBT)MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         144 | NC      | $-137256.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 2YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          79 | NC      | $-7197.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 5YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         136 | NC      | $-36275.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US LONG BOND(CBT) MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          48 | NC      | $-50491.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WSO US TRS EQUITY FEDL01-10 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $14917.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | GWW US TRS EQUITY FEDL01-10 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $15486.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | ABBVIE INC COMMON STOCK USD.01                           | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |        2400 | NS      | $387864.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2          | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72432 | PA      | $63472.53     | 0.02%             | 2036-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1        | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16392 | PA      | $14533.54     | 0.00%             | 2036-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVI LTD                  | BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A     | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200000 | PA      | $195833.82    | 0.06%             | 2032-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                     | BERRY GLOBAL INC SR SECURED 144A 07/26 4.875             | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     1995000 | PA      | $1925276.03   | 0.59%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                             | DEVON ENERGY CORP COMMON STOCK USD.1                     | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |        1800 | NS      | $110718.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAZIL GOVT                                          | LETRA TESOURO NACIONAL BILLS 04/23 0.00000               | CUSIP: ACI23DR83<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    18400000 | PA      | $3375825.34   | 1.04%             | 2023-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | BROADCOM INC SR UNSECURED 144A 11/35 3.137               | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      208000 | PA      | $153570.95    | 0.05%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| EATON CORP PLC                                       | EATON CORP PLC COMMON STOCK USD.01                       | CUSIP: G29183103<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |        4383 | NS      | $687911.85    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | ELEVANCE HEALTH INC COMMON STOCK USD.01                  | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |        1971 | NS      | $1011063.87   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| EMERSON ELECTRIC CO                                  | EMERSON ELECTRIC CO COMMON STOCK USD.5                   | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |        6977 | NS      | $670210.62    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A    | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1285299 | PA      | $1271383.94   | 0.39%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                            | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                 | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      696427 | PA      | $686484.15    | 0.21%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORPORATION                           | EXACT SCIENCES CORP COMMON STOCK USD.01                  | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | EC               | CORP              | US        |        2800 | NS      | $138628.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EXELIXIS INC                                         | EXELIXIS INC COMMON STOCK USD.001                        | CUSIP: 30161Q104<br>LEI: 254900PJQB59O2O95R37 | Long             | EC               | CORP              | US        |       24317 | NS      | $390044.68    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CHILEAN GOVT                                         | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7      | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  2300000000 | PA      | $2659675.80   | 0.82%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | EXXON MOBIL CORP COMMON STOCK                            | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |        1700 | NS      | $187510.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FANUC CORPORATION                                    | FANUC CORP COMMON STOCK                                  | CUSIP: 635693005<br>LEI: 529900QTSW745LOKW705 | Long             | EC               | CORP              | JP        |        1391 | NS      | $210229.24    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                           | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A              | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      372101 | PA      | $370348.40    | 0.11%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH4              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH4 M2         | CUSIP: 17309SAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72272 | PA      | $70873.55     | 0.02%             | 2036-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)        | FLEX LTD COMMON STOCK                                    | CUSIP: Y2573F102<br>LEI: 549300EAQH74YHD07T53 | Long             | EC               | CORP              | SG        |       22763 | NS      | $488493.98    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| COLOMBIAN GOVT                                       | TITULOS DE TESORERIA BONDS 03/31 7                       | CUSIP: ACI1YTYS4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  2449800000 | PA      | $356203.39    | 0.11%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                       | TITULOS DE TESORERIA BONDS 09/30 7.75                    | CUSIP: ACI0BJ3C2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 17500000000 | PA      | $2721696.27   | 0.84%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY8C A1        | CUSIP: 02150XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110148 | PA      | $95198.58     | 0.03%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A5        | CUSIP: 12667GLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      415841 | PA      | $331410.16    | 0.10%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS INC                            | HALOZYME THERAPEUTICS INC COMMON STOCK USD.001           | CUSIP: 40637H109<br>LEI: 529900242I3SV9AGM753 | Long             | EC               | CORP              | US        |       11447 | NS      | $651334.30    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A            | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259467 | PA      | $250155.70    | 0.08%             | 2035-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3           | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      666796 | PA      | $621735.18    | 0.19%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                        | COUNTRYWIDE HOME LOANS CWHL 2006 6 A4                    | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231562 | PA      | $128495.72    | 0.04%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                          | HOLOGIC INC COMMON STOCK USD.01                          | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |        7450 | NS      | $557334.50    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HUMANA INC                                           | HUMANA INC COMMON STOCK USD.1666666                      | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |        1914 | NS      | $980331.66    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CRESTLINE DENALI CLO XIV LTD 2016-1A                 | CRESTLINE DENALI CLO XIV, LTD DEN14 2016 1A AR2 144A     | CUSIP: 22615MAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $490657.09    | 0.15%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| INCYTE CORPORATION                                   | INCYTE CORP COMMON STOCK USD.001                         | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |        7215 | NS      | $579508.80    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE FUNDING LLC COMPANY GUAR 144A 02/24 1.625            | CUSIP: 23371DAH7<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |      700000 | PA      | $664814.50    | 0.20%             | 2024-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                           | AMETEK INC COMMON STOCK USD.01                           | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |        7331 | NS      | $1024287.32   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEVATION CLO LTD 2017-8A                            | ELEVATION CLO LTD AWPT 2017 8A A1R2 144A                 | CUSIP: 28622VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $687490.02    | 0.21%             | 2030-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | ENERGY TRANSFER LP SR UNSECURED 05/30 3.75               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $972391.08    | 0.30%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MASTEC INC                                           | MASTEC INC COMMON STOCK USD.1                            | CUSIP: 576323109<br>LEI: 549300TMDIT8WREDOF45 | Long             | EC               | CORP              | US        |        7651 | NS      | $652859.83    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK & CO INC                                       | MERCK + CO. INC. COMMON STOCK USD.5                      | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |        1597 | NS      | $177187.15    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ACCELLERON INDUSTRIES AG                             | ACCELLERON INDUSTRIES AG COMMON STOCK CHF.01             | CUSIP: BNM73Q900<br>LEI: 254900KS0MD2PAARXD14 | Long             | EC               | CORP              | CH        |         581 | NS      | $12029.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MOLINA HEALTHCARE INC                                | MOLINA HEALTHCARE INC COMMON STOCK USD.001               | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |         789 | NS      | $260543.58    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MOSAIC CO/THE                                        | MOSAIC CO/THE COMMON STOCK USD.01                        | CUSIP: 61945C103<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | EC               | CORP              | US        |        2800 | NS      | $122836.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MUELLER WATER PRODUCTS INC                           | MUELLER WATER PRODUCTS INC A COMMON STOCK USD.01         | CUSIP: 624758108<br>LEI: 549300F7ZU4P1F8V8L60 | Long             | EC               | CORP              | US        |       61823 | NS      | $665215.48    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2          | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1477174 | PA      | $1408578.39   | 0.43%             | 2036-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                           | NETAPP INC COMMON STOCK USD.001                          | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |       11299 | NS      | $678617.94    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| NEUROCRINE BIOSCIENCES INC                           | NEUROCRINE BIOSCIENCES INC COMMON STOCK USD.001          | CUSIP: 64125C109<br>LEI: 549300FECER0XBN49756 | Long             | EC               | CORP              | US        |        1464 | NS      | $174860.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NUTRIEN LTD                                          | NUTRIEN LTD COMMON STOCK                                 | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |        1700 | NS      | $124151.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PFIZER INC                                           | PFIZER INC COMMON STOCK USD.05                           | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |        8000 | NS      | $409920.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                          | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                  | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     5084771 | PA      | $48742612.91  | 14.98%            |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                          | PIMCO INVESTMENT GRADE CREDIT PIMCO INV GRD CRD BND INST | CUSIP: 722005816<br>LEI: IC5ZX00CDTVYWZREUC51 | Long             | EC               | RF                | US        |     3583341 | NS      | $30924231.59  | 9.51%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                          | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     3098784 | PA      | $30107787.25  | 9.26%             |  |  |  | No            |                  1 | On Loan: No      |
| REGENERON PHARMACEUTICALS                            | REGENERON PHARMACEUTICALS COMMON STOCK USD.001           | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |        1440 | NS      | $1038945.60   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/24 5.584        | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197810.00    | 0.06%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| SEAGEN INC                                           | SEAGEN INC COMMON STOCK USD.001                          | CUSIP: 81181C104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1926 | NS      | $247510.26    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                       | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                  | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      706806 | PA      | $623930.61    | 0.19%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                       | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                  | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1998956 | PA      | $845413.04    | 0.26%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A   | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A      | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $393100.00    | 0.12%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZZARD INC (AKA: ACTIVISION INC)        | ACTIVISION BLIZZARD INC COMMON STOCK USD.000001          | CUSIP: 00507V109<br>LEI: 549300TPQQDBP9GNOF40 | Long             | EC               | CORP              | US        |        1997 | NS      | $152870.35    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A      | GOLDENTREE LOAN MANAGEMENT US GLM 2017 2A AR 144A        | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $691444.81    | 0.21%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15    | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG           | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587611 | PA      | $571455.04    | 0.18%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 FD           | CUSIP: 38382YGB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2959979 | PA      | $2921997.99   | 0.90%             | 2071-09-20      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| UNITED THERAPEUTICS CORPORATION                      | UNITED THERAPEUTICS CORP COMMON STOCK USD.01             | CUSIP: 91307C102<br>LEI: 5299005C4HZL4UWROC14 | Long             | EC               | CORP              | US        |        2125 | NS      | $590941.25    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORPORATION                          | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR              | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |      420000 | NS      | $372447.60    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| VERTEX PHARMACEUTICALS INCORPORATED                  | VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01           | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |        3204 | NS      | $925251.12    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNGARY GOVT                                         | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BMD22<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |   333000000 | PA      | $892767.38    | 0.27%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                         | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BTZ49<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |   767000000 | PA      | $2056314.05   | 0.63%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2005-2                               | IMPAC CMB TRUST IMM 2005 2 1A2                           | CUSIP: 45254NMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96750 | PA      | $88563.23     | 0.03%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2005-2                               | IMPAC CMB TRUST IMM 2005 2 1M1                           | CUSIP: 45254NNB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125513 | PA      | $114284.98    | 0.04%             | 2035-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                 | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1            | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850684 | PA      | $265863.12    | 0.08%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A            | VOYA CLO LTD INGIM 2012 4A A1R3 144A                     | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $294666.33    | 0.09%             | 2030-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                          | ISRAEL MAKAM BILL BILLS 05/23 0.00000                    | CUSIP: ACI25PW54<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |     1100000 | PA      | $309275.44    | 0.10%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                          | ISRAEL MAKAM BILL BILLS 07/23 0.00000                    | CUSIP: BQPCBMII0<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |     1000000 | PA      | $279216.02    | 0.09%             | 2023-07-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORPORATION                       | ZEBRA TECHNOLOGIES CORP CL A COMMON STOCK USD.01         | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | EC               | CORP              | US        |         400 | NS      | $102564.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN GOVT                                           | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000             | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  4572000000 | PA      | $34838194.09  | 10.71%            | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                           | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000             | CUSIP: ACI29XT99<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1450000000 | PA      | $11050758.92  | 3.40%             | 2023-02-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                           | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000             | CUSIP: ACI2B3GL9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   960000000 | PA      | $7316627.86   | 2.25%             | 2023-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                           | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000             | CUSIP: ACI2B8F47<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1150000000 | PA      | $8765034.67   | 2.69%             | 2023-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                 | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A                 | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       82283 | PA      | $80954.32     | 0.02%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                        | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $589442.98    | 0.18%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | KAISA GROUP HOLDINGS LTD SR SECURED REGS 06/24 9.375     | CUSIP: BYW5T4II1<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     1200000 | PA      | $168576.10    | 0.05%             | 2024-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2006-1               | AAMES MORTGAGE INVESTMENT TRUS AMIT 2006 1 M1            | CUSIP: 00252GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87196 | PA      | $77850.12     | 0.02%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LCM LP 13A                                           | LCM LTD PARTNERSHIP LCM 13A AR3 144A                     | CUSIP: 50184KBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      703316 | PA      | $695724.77    | 0.21%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MANUFACTURED HOUSING 2001-B               | LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2           | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      536705 | PA      | $378226.52    | 0.12%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                               | LEHMAN XS TRUST LXS 2006 7 1A1A                          | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467623 | PA      | $395024.34    | 0.12%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                               | LEHMAN XS TRUST LXS 2006 8 3A4                           | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      559778 | PA      | $551891.91    | 0.17%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4        | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1210037 | PA      | $1083187.08   | 0.33%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                         | ACE SECURITIES CORP. ACE 2004 FM2 M2                     | CUSIP: 004421GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9372 | PA      | $9802.95      | 0.00%             | 2034-06-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                         | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A                | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      771806 | PA      | $763433.29    | 0.23%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO II DAC 2A                           | MAN GLG EURO CLO GLGE 2A A1R 144A                        | CUSIP: ACI1DJHC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      171491 | PA      | $179493.66    | 0.06%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                         | ACE SECURITIES CORP. ACE 2005 HE5 M4                     | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141855 | PA      | $135665.22    | 0.04%             | 2035-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE3                         | ACE SECURITIES CORP. ACE 2006 HE3 A2D                    | CUSIP: 00441TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162587 | PA      | $118306.83    | 0.04%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPITAL COMPANY LLC                | MIDWEST CONNECTOR CAPIT COMPANY GUAR 144A 04/24 3.9      | CUSIP: 59833CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1646829.59   | 0.51%             | 2024-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MP CLO VII LTD 2015-1A                               | MP CLO VII, LTD MP7 2015 1A AR3 144A                     | CUSIP: 55320RAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      461937 | PA      | $456163.16    | 0.14%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN CORPORATION                                | MULTIPLAN CORP SR UNSECURED 144A 10/27 6                 | CUSIP: 17144CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1300000 | PA      | $835250.00    | 0.26%             | 2027-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                  | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      100000 | PA      | $83604.54     | 0.03%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                  | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81             | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      900000 | PA      | $765778.22    | 0.24%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2019-1A                                  | OAKTREE CLO LTD OAKCL 2019 1A A1R 144A                   | CUSIP: 67401XAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $293380.44    | 0.09%             | 2030-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                        | OCP EURO CLO OCPE 2020 4A AR 144A                        | CUSIP: ACI1ZTQK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $624259.58    | 0.19%             | 2034-09-22      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A          | OCTAGON INVESTMENT PARTNERS XX OCT21 2014 1A AAR3 144A   | CUSIP: 67590QBK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $393476.52    | 0.12%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23A LTD                                 | OSD CLO 2021 23 LTD OSD 2021 23A A 144A                  | CUSIP: 671026AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      597754 | PA      | $588071.92    | 0.18%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| OZLM VIII LTD 2014-8A                                | OZLM LTD OZLM 2014 8A A1R3 144A                          | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      672422 | PA      | $662723.02    | 0.20%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| OZLM XI LTD 2015-11A                                 | OZLM LTD OZLM 2015 11A A1R 144A                          | CUSIP: 67109UAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      296756 | PA      | $292529.36    | 0.09%             | 2030-10-30      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                               | OZLM LTD OZLM 2019 24A A1AR 144A                         | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $487899.74    | 0.15%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                     | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $855983.29    | 0.26%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD 2013-2A                        | PALMER SQUARE CLO LTD PLMRS 2013 2A A1A3 144A            | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200000 | PA      | $196883.23    | 0.06%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2021 1A A 144A      | CUSIP: ACI1ZMCH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      426755 | PA      | $444160.42    | 0.14%             | 2031-04-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-3                    | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A     | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1214428 | PA      | $1200441.81   | 0.37%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                    | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A     | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2192137 | PA      | $2160271.42   | 0.66%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                      | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                  | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295235 | PA      | $242966.30    | 0.07%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                            | REPUBLIC OF PERU SR UNSECURED 12/32 1.862                | CUSIP: 715638DP4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      800000 | PA      | $585483.69    | 0.18%             | 2032-12-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                   | ALLY FINANCIAL INC COMPANY GUAR 11/31 8                  | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      800000 | PA      | $828054.07    | 0.25%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C       | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1           | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136903 | PA      | $127737.43    | 0.04%             | 2036-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                           | STATE OF QATAR SR UNSECURED REGS 04/23 3.875             | CUSIP: ACI122SK2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     1400000 | PA      | $1394265.60   | 0.43%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RAD CLO LTD 2019-5A                                  | RAD CLO LTD RAD 2019 5A AR 144A                          | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $780777.36    | 0.24%             | 2032-07-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1          | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222816 | PA      | $51889.45     | 0.02%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A5         | CUSIP: 74922SAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73830 | PA      | $58366.08     | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3           | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      352495 | PA      | $240992.15    | 0.07%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                              | SARANAC CLO LTD SRANC 2018 6A A1R 144A                   | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $484517.88    | 0.15%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A      | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      500000 | PA      | $518228.06    | 0.16%             | 2032-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                       | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A              | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $579731.36    | 0.18%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                      | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A                | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $689500.00    | 0.21%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                         | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A               | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1350000 | PA      | $1331712.23   | 0.41%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5         | CUSIP: S69124FF7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    66200000 | PA      | $4118945.90   | 1.27%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-3A LTD                              | STRATUS CLO STRAS 2021 3A A 144A                         | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      452600 | PA      | $445150.58    | 0.14%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-GEL4                  | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL4 M1 144A    | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85616 | PA      | $83512.80     | 0.03%             | 2036-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF1                   | STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M6          | CUSIP: 863576FN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $92191.85     | 0.03%             | 2036-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                         | SUNAC CHINA HOLDINGS LTD SR SECURED REGS 04/23 8.35      | CUSIP: ACI124SP7<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      800000 | PA      | $176490.30    | 0.05%             | 2023-04-19      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                         | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                  | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $586804.44    | 0.18%             | 2032-10-13      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TCW CLO LTD 2018-1A                                  | TCW CLO TCW 2018 1A A1R 144A                             | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $590861.04    | 0.18%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2019-3 CLO LTD                 | WIND RIVER CLO LTD WINDR 2019 3A AR 144A                 | CUSIP: 97314JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $681222.21    | 0.21%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC      | TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A       | CUSIP: ACI19VH23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1006880 | PA      | $1210107.68   | 0.37%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                    | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A         | CUSIP: 03328QAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1099933 | PA      | $1085009.07   | 0.33%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14800000 | PA      | $12046149.35  | 3.70%             | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8600000 | PA      | $7284054.32   | 2.24%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5900000 | PA      | $5183853.63   | 1.59%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5900000 | PA      | $5364286.84   | 1.65%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABB LTD                                              | ABB LTD REG COMMON STOCK CHF.12                          | CUSIP: 710889908<br>LEI: 5493000LKVGOO9PELI61 | Long             | EC               | CORP              | CH        |       11629 | NS      | $352900.82    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UNICREDIT SPA                                        | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83               | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     3050000 | PA      | $3082280.53   | 0.95%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                  | UNITED KINGDOM GILT BONDS REGS 10/50 0.625               | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |        2730 | PA      | $1475.19      | 0.00%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 01/23 0.00000                              | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      867000 | PA      | $864346.49    | 0.27%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 02/23 0.00000                              | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      637000 | PA      | $634981.60    | 0.20%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 03/23 0.00000                              | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      932000 | PA      | $925642.61    | 0.28%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXVI LLC 2017-26A                         | APIDOS CLO APID 2017 26A A1AR 144A                       | CUSIP: 03766GAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $790578.25    | 0.24%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TSY INFL IX N/B 07/32 0.625                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4102600 | PA      | $3761093.22   | 1.16%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | US TREASURY N/B 11/40 1.375                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9500000 | PA      | $6181308.57   | 1.90%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | US TREASURY N/B 11/42 4                                  | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      990000 | PA      | $969581.25    | 0.30%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | US TREASURY N/B 11/52 4                                  | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      740000 | PA      | $741271.88    | 0.23%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                       | URSA RE II LTD UNSECURED 144A 12/27 VAR                  | CUSIP: 91734PAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1100000 | PA      | $1080887.50   | 0.33%             | 2027-12-07      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| VENTURE 38 CLO LTD                                   | VENTURE CDO LTD VENTR 2019 38A A1R 144A                  | CUSIP: 92332NAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1200000 | PA      | $1163149.32   | 0.36%             | 2032-07-30      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                         | VENTURE XXI CLO VENTR 2015 21A AR 144A                   | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       42354 | PA      | $42443.41     | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                      | VENTURE CDO LTD VENTR 2017 28A A1R 144A                  | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $589444.08    | 0.18%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                          | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                  | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $292089.02    | 0.09%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875     | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $614515.45    | 0.19%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 1A1A        | CUSIP: 92922FC97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1670616 | PA      | $1518106.83   | 0.47%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                             | ARES CLO LTD ARES 2016 40A A1RR 144A                     | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      807893 | PA      | $797462.39    | 0.25%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2015-1                             | WELLFLEET CLO LTD WELF 2015 1A AR4 144A                  | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      364064 | PA      | $359358.12    | 0.11%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                        | ARGENT SECURITIES INC. ARSI 2005 W1 A1                   | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      502626 | PA      | $450069.19    | 0.14%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                        | ARGENT SECURITIES INC. ARSI 2006 M1 A1                   | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358027 | PA      | $309671.39    | 0.10%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | FIXED INC CLEARING CORP.REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3172000 | PA      | $3172000.00   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                       | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                    | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      441000 | PA      | $103083.75    | 0.03%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | STATE STREET REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      301000 | PA      | $301000.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                       | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                    | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      289000 | PA      | $67553.75     | 0.02%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    32500000 | PA      | $32500000.00  | 9.99%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                       | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                   | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    10280000 | PA      | $8982.11      | 0.00%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                  | MMM US TRS EQUITY FEDL01-10 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $8699.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CAD BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-2135.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | AUST 10Y BOND FUT MAR23 XSFE 20230315                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          -2 | NC      | $8832.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | AUST 3YR BOND FUT MAR23 XSFE 20230315                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-968.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230404                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7732.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CLP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-4847.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CAD SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-68623.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $21761.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $5490.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4317.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8907.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10284.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2560.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT HUF SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $603164.60    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $21140.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NOK SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $15909.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SEK SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-10575.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-4507.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $29286.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8253.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-12738.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230111                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2891228.76  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1183279.03  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-64853.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-71203.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-16959.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $7426.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT HUF SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $35439.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MYR SOLD USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $20998.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SEK SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $930.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SGD SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $3466.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1573.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8701.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-17341.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-13457.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MYR BOUGHT USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-971.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230222                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-63397.05    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $910078.12    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $27167.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT THB SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $9490.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CF INDUSTRIES HOLDINGS INC                           | CF INDUSTRIES HOLDINGS INC COMMON STOCK USD.01           | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |        2200 | NS      | $187440.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6739.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $39974.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $37668.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-24656.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6441.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-494.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-12125.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-13180.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-2862.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-0.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-5314.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3484.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20230503                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7008.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1162.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $632.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-153194.58   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $279.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CAC40 10 EURO FUT JAN23 XPAR 20230120                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | FR        |          15 | NC      | $-28577.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | CAN 10YR BOND FUT MAR23 XMOD 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          -7 | NC      | $11176.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | CDX HY39 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-777.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX IG39 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $5016.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-20259.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $161.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CLP SOLD USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $55684.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $58741.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-21356.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $167609.49    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20230201                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $353336.85    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20230410                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $21247.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-560.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $37367.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5891.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CLP BOUGHT USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-132754.89   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CLP BOUGHT USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-56861.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-96432.75    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20230503                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $20388.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20230705                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $24026.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20230509                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-32.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20230302                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-125577.22   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PLN BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-4599.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-10558.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-22789.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CMBX.NA.AAA.10 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-4840.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CMBX.NA.AAA.10 SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-21123.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CMBX.NA.AAA.10 SP UAG                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-8361.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CMBX.NA.AAA.12 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-12732.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CMBX.NA.AAA.9 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-3559.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-2078.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-0.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-0.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | DAX INDEX FUTURE  MAR23 XEUR 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | DE        |           2 | NC      | $-21331.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5244.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | EURO STOXX 50     MAR23 XEUR 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | DE        |         -38 | NC      | $55472.83     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | DWRTFT TRS EQUITY FEDL01+41 MYI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-43950.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SX4T TRS EQUITY 1ME-35 MEI                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | N/A       |           1 | NC      | $92793.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FAST US TRS EQUITY FEDL01-10 BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $6892.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $27419.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | EURO-OAT FUTURE   MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -35 | NC      | $331646.55    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | FTSE 100 IDX FUT  MAR23 IFLL 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          -1 | NC      | $-188.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | FTSE/MIB IDX FUT  MAR23 XDMI 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |           1 | NC      | $-3250.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | EURO-BOBL FUTURE  MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -20 | NC      | $80081.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | EURO-BUND FUTURE  MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          64 | NC      | $-132238.02   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | EURO-BUXL 30Y BND MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -6 | NC      | $164157.97    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | JPPMGSHP TRS EQUITY FEDL01-98 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-89966.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | GOLD 100 OZ FUTR  FEB23 XCEC 20230224                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -14 | NC      | $-70773.83    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4052.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20230404                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $22107.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CLP SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $118931.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-786.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-119602.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT HKD SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $-338.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $41428.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-29584.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-21653.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2935.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1189.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2363.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $116175.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-28.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-2333.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-317060.59   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20230420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-7056.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-402.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-276.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $3160.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CNH SOLD USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-35846.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-345763.78   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1506.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT DKK SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $37332.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT HKD SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $-1445.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $75023.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $15410.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SEK SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-9408.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT THB SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2129.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD AUD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-697.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1105.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-291.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230227                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-511156.15   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NZD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7173.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2685.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-18752.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IBEX 35 INDX FUTR JAN23 XMRV 20230120                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |           1 | NC      | $-234.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | TRS IBOXHY/SOFRINDX 06/20/23 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1859.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | TRS IBOXIG/SOFRINDX 12/20/23 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-3130.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ITW US TRS EQUITY FEDL01-10 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $11490.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IXITR TRS EQUITY FEDL01+24 BPS                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $129343.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317526H53 INF CAP USD MAY24 4.0 CALL                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1100000 | NC      | $-9.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |    -5600000 | NC      | $-210934.71   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | EURO-BTP FUTURE   MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           2 | NC      | $-17300.52    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | CDX ITRAXX XOV37 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-2545.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX ITRAXX MAIN37 5Y ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $2932.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          -3 | NC      | $61968.42     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | JBHT US TRS EQUITY FEDL01-10 BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $7376.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $639934.93    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230117                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $10146.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5728.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-10270.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $10612.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-52383.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2513.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CNY SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $238.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CNY SOLD USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $283.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $469.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20230202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2400.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-18088.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-106330.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-474.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $5351.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | KNX US TRS EQUITY FEDL01-10 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $2528.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $88720.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CAD SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-1520.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $16257.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $105.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $75999.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD COP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $911.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CZK BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-10065.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $5106.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HUF BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-86953.49    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-483.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4531.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-9002.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-11637.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-35299.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NDDUWI TRS EQUITY FEDL01-13 BPS                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-360201.81   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI EMGMKT       MAR23 IFUS 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         102 | NC      | $-95473.22    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT HUF SOLD USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $387.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ODFL US TRS EQUITY FEDL01-10 BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $5816.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OMXS30 IND FUTURE JAN23 XSTO 20230120                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | SE        |          -1 | NC      | $696.18       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $1133.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15944.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NOK SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $52650.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD HKD BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $252.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20230207                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-9556.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20230306                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-23707.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20230919                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-25651.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S+P500 EMINI FUT  MAR23 XCME 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         607 | NC      | $-4362031.96  | -1.34%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SPI 200 FUTURES   MAR23 XSFE 20230316                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | AU        |          63 | NC      | $-142728.32   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | S+P/TSX 60 IX FUT MAR23 XMOD 20230316                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          38 | NC      | $-226257.16   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BOUGHT AUD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $8314.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT COP SOLD USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-5240.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1722.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NZD SOLD USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $2259.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $6395.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-513.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CLP BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-55982.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-27016.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7830.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-5065.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-850.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20230223                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3783.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | STOXX EUROPE 600  MAR23 XEUR 20230317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | DE        |        1239 | NC      | $-1099476.03  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | 317U1OUA4 PIMCO SWAPTION 4.64 PUT USD 20230105           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10500000 | NC      | $-1909.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U1OVA3 PIMCO SWAPTION 4.14 CALL USD 2023010           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10500000 | NC      | $-393.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer