# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001752724-23-039505
**Filing Date:** 2023-2
**Character Count:** 175070
**Document Hash:** e158225b1630858b001edee5341f4c95
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039505.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039505

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 23665622

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

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

## Series and Classes Contracts Data

### Inflation Managed Portfolio (Series ID: S000026012)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078081 | Class I      |  |
| C000098953 | Class P      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** Inflation Managed Portfolio

- **b. EDGAR series identifier (if any):** S000026012

- **c. LEI of Series:** NPCVOUD2WVG556QLMB59

**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:** $1079643666.41

**Total Liabilities:** $412711182.48

**Net Assets:** $666932483.93

**Delayed Delivery Securities:** $379926788.00

**Cash Not Reported:** $3335939.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -523.97000000 | **1-Year:** -7760.87000000 | **5-Year:** -5451.30000000 | **10-Year:** -9011.37000000 | **30-Year:** -12481.11000000

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

- **3-Month:** -127.82000000 | **1-Year:** -527.25000000 | **5-Year:** -997.86000000 | **10-Year:** -787.57000000 | **30-Year:** -120.49000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098953 | 1.46%                | 1.84%                | -0.77%               |
| Class ID C000078081 | 1.45%                | 1.82%                | -0.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $132383.86               | $7884255.27                                |
| Month 2  | $-1175197.02             | $16988305.82                               |
| Month 3  | $-10167290.68            | $1137885.34                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  51354973 | PA      | $5451432.74   | 0.82%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1150190 | PA      | $1184164.29   | 0.18%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31360YKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1295 | PA      | $1285.65      | 0.00%             | 2024-08-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    500000 | PA      | $49756.72     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    999840 | PA      | $110254.92    | 0.02%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8550065 | PA      | $8543954.01   | 1.28%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4353360 | PA      | $4301890.01   | 0.65%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                   | Madison Park Funding XLI Ltd                                                   | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |   2425816 | PA      | $2401317.95   | 0.36%             | 2027-04-22      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.9975 07/25/19-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7700000 | OU      | $-952793.61   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.066 09/15/21-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    300000 | OU      | $-40853.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1958528 | PA      | $2113996.45   | 0.32%             | 2024-07-25      | Fixed         | 0.25%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                            | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    830000 | PA      | $819942.89    | 0.12%             | 2025-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8135040 | PA      | $5276671.67   | 0.79%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.6 05/15/22-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1500000 | OU      | $47406.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2021-3 Ltd                                          | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    607214 | PA      | $600220.90    | 0.09%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                                         | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $579731.36    | 0.09%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Toyota Tsusho Corp                                | Toyota Tsusho Corp                                                             | CUSIP: 000000000<br>LEI: 549300CEE2ENIUJNXB84 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $494405.00    | 0.07%             | 2023-09-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PARIBAS REPO                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |   4100000 | PA      | $4100000.00   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                               | New Zealand Government Inflation Linked Bond                                   | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   3967360 | PA      | $2548037.60   | 0.38%             | 2025-09-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        31 | NC      | $-140036.20   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13668000 | PA      | $12823410.82  | 1.92%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | RXG3C 146                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |        -7 | NC      | $-74.93       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.59 12/15/22-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    900000 | OU      | $-10068.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3175660 | PA      | $2144569.85   | 0.32%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS USD 1.88750 11/21/23-30Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1100000 | OU      | $-301366.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-3                                                  | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    676053 | PA      | $649624.25    | 0.10%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/9128286N5 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   5000000 | OU      | $-32571.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1300000 | NC      | $-2930.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1589802 | PA      | $1405874.02   | 0.21%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 5.33 06/15/22-2Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1300000 | OU      | $62203.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2012-4 Ltd                                | CUSIP: 14309YBQ6<br>LEI: 549300R4G5ROMXQ5CG20 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490312.84    | 0.07%             | 2032-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                                       | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51159 | PA      | $48804.05     | 0.01%             | 2026-10-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| MGCC CCBPGXUS1 ST USD                             | MGCC CCBPGXUS1 ST USD                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    378000 | NS      | $378000.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XVII Ltd                                           | CUSIP: 08182BAL2<br>LEI: 5493001ND55H5MJDIQ39 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1759904.84   | 0.26%             | 2032-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1620000 | OU      | $-94196.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1                    | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86711 | PA      | $82573.54     | 0.01%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33829 | PA      | $32234.62     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.26325 04/27/18-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5320000 | OU      | $443883.03    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Stratus CLO                                       | Stratus CLO 2021-3 Ltd                                                         | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    362080 | PA      | $357325.74    | 0.05%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                       | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |    397959 | PA      | $392276.65    | 0.06%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXIV CLO Ltd                                                           | CUSIP: 92330WBJ5<br>LEI: 549300EDZDHKTKE7JV77 | Long             | ABS-CBDO         | CORP              | KY        |    335515 | PA      | $331433.45    | 0.05%             | 2028-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202KRS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1621 | PA      | $1599.45      | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXX LTD                                                   | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   4306367 | PA      | $4261749.26   | 0.64%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21670028 | PA      | $19850548.83  | 2.98%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    132981 | PA      | $135690.85    | 0.02%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                        | Atlas Senior Loan Fund Ltd                                                     | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    571400 | PA      | $565338.46    | 0.08%             | 2030-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                                       | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $396014.68    | 0.06%             | 2030-10-24      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1600000 | NC      | $-52498.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   1071373 | PA      | $107495.09    | 0.02%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.17         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-2                                                 | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $951136.60    | 0.14%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202K2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2737 | PA      | $2672.23      | 0.00%             | 2026-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2371572 | PA      | $2298182.23   | 0.34%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                      | CUSIP: 3128NC6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1220.44      | 0.00%             | 2035-08-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1300 | PA      | $1262.24      | 0.00%             | 2026-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.76 11/04/19-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3100000 | OU      | $-459784.29   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XIV, LTD                     | Crestline Denali CLO XIV Ltd                                                   | CUSIP: 22615MAW2<br>LEI: 549300SBJ7CCHEFNE215 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294394.25    | 0.04%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | 317U970I9 PIMCO SWAPTION 1.72 CALL USD 2023022                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  18400000 | NC      | $14.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barings CLO Ltd. 2016-II                          | Barings CLO Ltd 2016-II                                                        | CUSIP: 06761CAL3<br>LEI: 549300Z33CTC4YAKLT16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1466116.19   | 0.22%             | 2032-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.55000 08/10/22-2Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    200000 | OU      | $-9139.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   4699790 | PA      | $492352.15    | 0.07%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XV Ltd                                                         | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    224016 | PA      | $221234.75    | 0.03%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MGCC CCBPGXUS1 ST USD                             | MGCC CCBPGXUS1 ST USD                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    204000 | NS      | $204000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       142 | NC      | $-545826.70   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 5.185 05/24/22-1Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4100000 | OU      | $14687.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $19082.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                           | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $469877.00    | 0.07%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                             | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $292089.02    | 0.04%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| RELX Capital Inc                                  | RELX Capital Inc                                                               | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99603.96     | 0.01%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 9 Ltd                                                                  | CUSIP: 48250LAW9<br>LEI: 549300C6QY0XRSC8FH09 | Long             | ABS-CBDO         | CORP              | KY        |    278450 | PA      | $273394.44    | 0.04%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO XXII DAC                                                           | CUSIP: 000000000<br>LEI: 635400MYQ7BBH2H3RR48 | Long             | ABS-CBDO         | CORP              | IE        |   1200000 | PA      | $1244639.54   | 0.19%             | 2032-01-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                       | Rad CLO 5 Ltd                                                                  | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490250.00    | 0.07%             | 2032-07-24      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |      8652 | PA      | $1111.69      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.31375 02/26/21-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2100000 | OU      | $203358.04    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31407NBS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $243.23       | 0.00%             | 2035-09-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XIII LP                                                                    | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |    843979 | PA      | $833488.55    | 0.12%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | IRS NZD 3.25000 03/21/18-10Y CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3500000 | OU      | $150632.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                           | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1999082 | PA      | $2558603.52   | 0.38%             | 2027-11-22      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2019 - Granite4 PLC                                | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    797113 | PA      | $961424.11    | 0.14%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                              | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $587598.78    | 0.09%             | 2031-04-18      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2559 | PA      | $2499.63      | 0.00%             | 2026-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                               | Midocean Credit Clo VIII                                                       | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294925.74    | 0.04%             | 2031-02-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VIII Ltd                                                                  | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    268969 | PA      | $263589.25    | 0.04%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                     | Crestline Denali CLO XV Ltd                                                    | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |    361268 | PA      | $356752.60    | 0.05%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  82455460 | PA      | $653097.00    | 0.10%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS                  | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197384 | PA      | $192253.78    | 0.03%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.75 04/15/21-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    770000 | OU      | $-155006.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                                  | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $195159.90    | 0.03%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.31125 02/24/21-10Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5100000 | OU      | $537674.35    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                           | CBAM 2017-1 Ltd                                                                | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |    598046 | PA      | $592476.18    | 0.09%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-A             | CUSIP: 16678RBL0<br>LEI: 549300CK5LJGUSKZWZ58 | Long             | ABS-MBS          | CORP              | US        |    172905 | PA      | $163959.46    | 0.02%             | 2035-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2013-A                                           | CUSIP: 17320XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593021 | PA      | $533086.17    | 0.08%             | 2042-05-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                        | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188623 | PA      | $166518.76    | 0.02%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 3.13 05/15/22-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    300000 | OU      | $8173.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19336 | PA      | $18060.41     | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XXVI                                                                | CUSIP: 03766GAL6<br>LEI: 549300RV409NJP65MP20 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $296466.84    | 0.04%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   8519323 | PA      | $854062.09    | 0.13%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -285 | NC      | $1914815.25   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.00000 11/04/22-10Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   9200000 | OU      | $-2626672.00  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.645 09/10/21-7Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $26366.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 5.32 04/29/22-1Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1500000 | OU      | $-3950.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                    | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    318474 | PA      | $316579.82    | 0.05%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18949095 | PA      | $18012998.91  | 2.70%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |      1882 | PA      | $241.59       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                                 | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490346.64    | 0.07%             | 2030-10-23      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-7807.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        11 | NC      | $-116532.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   1839415 | PA      | $192973.78    | 0.03%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                      | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35590 | PA      | $35739.39     | 0.01%             | 2034-01-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/912828B25 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  15000000 | OU      | $-82331.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                              | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2449041 | PA      | $2299016.15   | 0.34%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       699 | PA      | $89.36        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-97207.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XVII CLO Ltd                                                           | CUSIP: 92329YAL0<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |   1797415 | PA      | $1794645.90   | 0.27%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                     | Ares European CLO VI DAC                                                       | CUSIP: 000000000<br>LEI: 635400IKZCKH2JKELA27 | Long             | ABS-CBDO         | CORP              | IE        |    494180 | PA      | $514724.16    | 0.08%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                 | Ares European CLO X DAC                                                        | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $933808.66    | 0.14%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.70000 04/11/22-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    700000 | OU      | $-74259.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   5500476 | PA      | $599590.56    | 0.09%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2003-3                                               | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123518 | PA      | $123982.62    | 0.02%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2013-1 Ltd                                | CUSIP: 14310BAU5<br>LEI: 549300CVBX8ZUYQV3Q10 | Long             | ABS-CBDO         | CORP              | KY        |    395477 | PA      | $391195.05    | 0.06%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.19000 11/04/22-30Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1500000 | OU      | $563226.36    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | 3 MONTH SOFR FUT MAR23                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      -100 | NC      | $17500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                              | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $495448.46    | 0.07%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                 | CUSIP: 36266DAA2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1614594.24   | 0.24%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.65000 04/12/22-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1400000 | OU      | $-151709.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5300000 | PA      | $4656682.08   | 0.70%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.566 03/15/21-15Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    400000 | OU      | $-81590.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16702875 | PA      | $15707687.64  | 2.36%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                                  | TCI-Symphony CLO 2017-1 Ltd                                                    | CUSIP: 87232BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1989412 | PA      | $1955665.64   | 0.29%             | 2030-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-233400.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   1596197 | PA      | $175076.63    | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -46 | NC      | $120745.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $4588.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1300000 | NC      | $-82109.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16792123 | PA      | $13595738.01  | 2.04%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                              | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $965281.00    | 0.14%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1600000 | NC      | $-4103.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XVIII Ltd                                                            | CUSIP: 55953TAS6<br>LEI: 549300BDVLRWS2SODX97 | Long             | ABS-CBDO         | CORP              | KY        |    289427 | PA      | $286566.47    | 0.04%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD           | Goldentree Loan Management US Clo 2 Ltd                                        | CUSIP: 38136MAU2<br>LEI: 549300UYD6YMBA6XSE43 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $296889.26    | 0.04%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                             | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99763.56     | 0.01%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD DKK                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-191996.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2004-2                                     | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225107 | PA      | $1100899.63   | 0.17%             | 2044-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2021-4 Ltd                                          | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    674504 | PA      | $665956.16    | 0.10%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4095587 | PA      | $4342303.43   | 0.65%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | 317U940I6 PIMCO SWAPTION 1.71 CALL USD 2023012                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  19600000 | NC      | $1.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+12/912828VM9 MYC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  10000000 | OU      | $-34840.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2003-9F                                                 | CUSIP: 45254NFL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21383 | PA      | $21185.77     | 0.00%             | 2033-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Segovia European CLO 6 - 2019 DAC                 | Segovia European CLO 6-2019 DAC                                                | CUSIP: 000000000<br>LEI: 6354006IDDCPIYNLI456 | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $414582.46    | 0.06%             | 2032-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13120972 | PA      | $13134095.99  | 1.97%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U681I9 PIMCO SWAPTION 1.4275 CALL USD 20230                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  10400000 | NC      | $1.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.7675 05/13/21-5Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1700000 | OU      | $121649.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   1259290 | PA      | $132250.05    | 0.02%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.735 12/15/21-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1500000 | OU      | $186635.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38137 | PA      | $36946.04     | 0.01%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                               | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66459 | PA      | $60512.25     | 0.01%             | 2035-01-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6936524 | PA      | $7236002.20   | 1.08%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.75000 03/15/23-10Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   2400000 | OU      | $-179993.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4589445 | PA      | $2960231.59   | 0.44%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-1 Ltd                                  | TSTAT 2022-1 Ltd                                                               | CUSIP: 872899AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    600000 | PA      | $599672.70    | 0.09%             | 2031-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                                       | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     99866 | PA      | $119470.38    | 0.02%             | 2045-06-13      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20394 | PA      | $20077.21     | 0.00%             | 2035-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    497710 | PA      | $48934.21     | 0.01%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                                          | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7499 | PA      | $6958.90      | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-WF1 Trust                                                            | CUSIP: 04542BLZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48401 | PA      | $48309.24     | 0.01%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34247835 | PA      | $32640030.66  | 4.89%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | ARES L CLO Ltd                                                                 | CUSIP: 04018LAJ4<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $792436.17    | 0.12%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/9128282L3 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  30000000 | OU      | $95484.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |  -2200000 | NC      | $-46429.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.2625 05/09/18-5Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1150000 | OU      | $95965.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR23                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -138 | NC      | $409190.02    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.421 05/15/22-30Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    240000 | OU      | $-27827.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1                     | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645341 | PA      | $605719.66    | 0.09%             | 2034-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   4019435 | PA      | $4265423.37   | 0.64%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2002-3                                      | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169799 | PA      | $155964.23    | 0.02%             | 2032-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                  | Man GLG Euro CLO II DAC                                                        | CUSIP: 000000000<br>LEI: 635400X2U1WG8KFSIE39 | Long             | ABS-CBDO         | CORP              | IE        |    142909 | PA      | $149578.05    | 0.02%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.65000 05/11/22-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    900000 | OU      | $-99635.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC             | OAK Hill European Credit Partners VII DAC                                      | CUSIP: 000000000<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $623178.75    | 0.09%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20730235 | PA      | $22602985.26  | 3.39%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XIV Ltd                                                        | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |    467771 | PA      | $465376.99    | 0.07%             | 2029-01-23      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3887598 | PA      | $3705692.44   | 0.56%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572368 | PA      | $566757.83    | 0.08%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR23                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -781 | NC      | $430550.84    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                               | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39260 | PA      | $37156.12     | 0.01%             | 2035-07-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7437440 | PA      | $7430240.09   | 1.11%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                                        | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119581 | PA      | $116462.01    | 0.02%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18576 | PA      | $18446.47     | 0.00%             | 2034-12-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | 317U971I8 PIMCO SWAPTION 1.736 CALL USD 202302                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -4100000 | NC      | $-44.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | 3 MONTH SOFR FUT SEP23                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      -271 | NC      | $108400.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   1561134 | PA      | $173601.63    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.573 08/26/21-7Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    400000 | OU      | $24100.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+7/91282CCM1 MYC                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  20000000 | OU      | $-1278777.39  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12480865 | PA      | $10080627.70  | 1.51%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1876882.40   | 0.28%             | 2053-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.603 11/15/18-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    120000 | OU      | $-20290.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | GENERAL ELECTRIC COMPANY SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    300000 | OU      | $8386.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    730194 | PA      | $80471.38     | 0.01%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                            | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083000 | PA      | $1040850.07   | 0.16%             | 2035-06-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12613427 | PA      | $10724764.17  | 1.61%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.58 03/15/21-15Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1200000 | OU      | $-241665.13   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Ser 2004-WHQ1 | CUSIP: 70069FBS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22126 | PA      | $22077.39     | 0.00%             | 2034-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.8825 11/20/19-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    700000 | OU      | $-96148.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2018-1 Ltd                                                       | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1964755.02   | 0.29%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    199902 | PA      | $22969.08     | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                              | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60324 | PA      | $56470.81     | 0.01%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2649 | PA      | $2568.06      | 0.00%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                              | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |  12384000 | PA      | $13109777.19  | 1.97%             | 2025-05-26      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | 3MO EURO EURIBOR  MAR23                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       190 | NC      | $-7626.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                                | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562760 | PA      | $541419.81    | 0.08%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8732451 | PA      | $7849129.52   | 1.18%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS USD 1.84000 11/21/23-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5500000 | OU      | $452317.80    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -4 | NC      | $12331.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 6.6 05/15/22-2Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1500000 | OU      | $80243.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.7975 08/25/20-7Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    900000 | OU      | $128852.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12261388 | PA      | $11566710.10  | 1.73%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.00000 11/08/22-10Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   8300000 | OU      | $-2373710.43  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AMC1                                        | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281299 | PA      | $267725.21    | 0.04%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL2                                  | CUSIP: 64830HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359583 | PA      | $338143.11    | 0.05%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.00000 05/18/22-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    700000 | OU      | $-67038.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2736 | PA      | $2678.82      | 0.00%             | 2037-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.21 02/05/18-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   6810000 | OU      | $615536.80    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                                | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266189 | PA      | $238781.72    | 0.04%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6198 | PA      | $6065.81      | 0.00%             | 2036-01-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8548 | PA      | $8140.02      | 0.00%             | 2044-07-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | RFR GBP SONIO/0.50000 03/16/22-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   3400000 | OU      | $-1661015.22  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.85 09/15/19-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2700000 | OU      | $-414616.11   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                      | TICP CLO III-2 Ltd                                                             | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1238683 | PA      | $1234969.73   | 0.19%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20638281 | PA      | $17292321.98  | 2.59%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MP Clo VII, LTD                                   | ACAS CLO 2015-1 Ltd                                                            | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |    369550 | PA      | $364930.53    | 0.05%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | RXG3P 138.5                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |        -7 | NC      | $-42785.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | INF SWAP GBP NI 4.125 09/15/22-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    330000 | OU      | $4089.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | THL Credit Wind River 2019-3 Clo Ltd                                           | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $291952.37    | 0.04%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR23                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -41 | NC      | $191353.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       137 | NC      | $-206583.94   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ARES CLO Ltd                                      | ARES LII CLO Ltd                                                               | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294964.06    | 0.04%             | 2031-04-22      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60906 | PA      | $57424.54     | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                    | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $416141.60    | 0.06%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  15759474 | PA      | $1671954.35   | 0.25%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2016-1 Ltd                                                       | CUSIP: 94949RAS6<br>LEI: 254900N8RLNFSYP97206 | Long             | ABS-CBDO         | CORP              | KY        |    492311 | PA      | $488867.91    | 0.07%             | 2028-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/912828V49 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  20000000 | OU      | $35512.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202KTG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3200 | PA      | $3156.71      | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.19 04/15/15-15Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2900000 | OU      | $-695100.88   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 5.15 05/23/22-1Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4400000 | OU      | $12896.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      6000 | PA      | $4804.61      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XVIII LP                                                                   | CUSIP: 50188GAT0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980831.71    | 0.15%             | 2031-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31408DB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29925 | PA      | $29126.10     | 0.00%             | 2036-02-01      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                                    | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1080645.46   | 0.16%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $4983.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2017-1 Ltd                                                            | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |   1795861 | PA      | $1773626.94   | 0.27%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR23                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -49 | NC      | $88119.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | 317U877Z5 PIMCO SWAPTION 2.2365 PUT USD 202311                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   4100000 | NC      | $911626.39    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |  23306072 | PA      | $2475943.02   | 0.37%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED USD / SOLD GBP                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-14561.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |         1 | NC      | $3593.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/9128284H0 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  30000000 | OU      | $-180096.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15059400 | PA      | $14575708.64  | 2.19%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31406VGS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       801 | PA      | $788.69       | 0.00%             | 2035-05-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2018-I Ltd                                                        | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491213.64    | 0.07%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.3000 09/20/17-10Y LCH                                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        | 377560000 | OU      | $51174.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/912828VM9 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   5000000 | OU      | $-33132.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                               | OSD CLO 2021-23 Ltd                                                            | CUSIP: 671026AA0<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1494384 | PA      | $1457442.63   | 0.22%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD EUR                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-12172.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                   | Oaktree CLO 2019-1 Ltd                                                         | CUSIP: 67401XAS0<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293380.44    | 0.04%             | 2030-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+12/912828N71 MYC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  10000000 | OU      | $-41586.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175618 | PA      | $1163641.31   | 0.17%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | SHORT EURO-BTP FU MAR23                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -61 | NC      | $34607.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2004-10                                                 | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74484 | PA      | $64358.30     | 0.01%             | 2035-01-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31406KBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114308 | PA      | $112331.15    | 0.02%             | 2035-04-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXVIII CLO Ltd                                                         | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294722.04    | 0.04%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.438 01/15/20-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    100000 | OU      | $-21032.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   5904336 | PA      | $580582.87    | 0.09%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31406UN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77319 | PA      | $75595.61     | 0.01%             | 2035-03-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |         1 | NC      | $6429.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.00000 05/13/22-5Y LCH                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1600000 | OU      | $-152975.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.47 07/15/22-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    800000 | OU      | $30569.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317U876Z6 PIMCO SWAPTION 2.34 PUT USD 20231117                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        | -20200000 | NC      | $-1309384.20  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U0BFA0 PIMCO SWAPTION 2.2 CALL USD 20230531                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  21400000 | NC      | $25592.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD JPY                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-25000.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5805336 | PA      | $4764872.12   | 0.71%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                              | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $700269.66    | 0.10%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                           | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2033440 | PA      | $2310503.35   | 0.35%             | 2041-08-10      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NZD                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $3224.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/912828ZJ2 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  15000000 | OU      | $-74551.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden XXVI Senior Loan Fund                                                   | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |   1506105 | PA      | $1492968.86   | 0.22%             | 2029-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.89 08/27/20-7Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $136823.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636579 | PA      | $619076.28    | 0.09%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                        | VMware Inc                                                                     | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93489.97     | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.19700 11/08/22-30Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   2800000 | OU      | $1046055.83   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 5.2 06/15/22-2Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    900000 | OU      | $45865.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217066 | PA      | $215708.02    | 0.03%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 60 CLO Ltd                                                              | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1476570.30   | 0.22%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                    | LoanCore 2022-CRE7 Issuer Ltd                                                  | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $582459.00    | 0.09%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-NC1                         | CUSIP: 59020URP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622129 | PA      | $579869.77    | 0.09%             | 2035-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | 3 MONTH SOFR FUT DEC22                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       371 | NC      | $-37.10       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17742850 | PA      | $15769222.31  | 2.36%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 5.47 03/21/22-1Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $-7578.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.1425 10/15/22-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   2000000 | OU      | $20957.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                             | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615491 | PA      | $604986.62    | 0.09%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202KPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1543 | PA      | $1512.68      | 0.00%             | 2024-10-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31391Q7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7855 | PA      | $7597.95      | 0.00%             | 2042-11-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 506126040 | PA      | $4004967.18   | 0.60%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |       350 | PA      | $44.82        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202KF59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43 | PA      | $42.64        | 0.00%             | 2023-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Euro CLO 2017-2 DAC                                                    | CUSIP: 000000000<br>LEI: 635400AWOJYIRR64GJ58 | Long             | ABS-CBDO         | CORP              | IE        |    498208 | PA      | $520545.32    | 0.08%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.33 01/15/20-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1000000 | OU      | $-192095.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR5                        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81816 | PA      | $76510.07     | 0.01%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329573 | PA      | $325148.18    | 0.05%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   1789149 | PA      | $187316.15    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |         1 | NC      | $5066.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 1.38 03/15/21-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5300000 | OU      | $-1125306.65  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                     | UniCredit SpA                                                                  | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1750000 | PA      | $1768521.62   | 0.27%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                           | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   1700000 | PA      | $1763542.71   | 0.26%             | 2031-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     99824 | PA      | $9926.97      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2004-OPT5 Trust                                                           | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935933 | PA      | $878566.12    | 0.13%             | 2034-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 931485815 | PA      | $7377929.78   | 1.11%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XIV CLO Ltd                                                            | CUSIP: 92328GBA3<br>LEI: 5493002O60L75PP6F022 | Long             | ABS-CBDO         | CORP              | KY        |    795668 | PA      | $787537.77    | 0.12%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                                           | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $591751.10    | 0.09%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2985471 | PA      | $2984835.90   | 0.45%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        49 | NC      | $-41731.34    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14204913 | PA      | $13205406.89  | 1.98%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.626 02/15/22-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1600000 | OU      | $141877.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U714I0 PIMCO SWAPTION 1.41 CALL USD 2023020                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  10500000 | NC      | $1.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 1.954 06/03/19-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2350000 | OU      | $-305296.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $4779.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.4 06/15/15-15Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2500000 | OU      | $-498151.07   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.615 02/15/22-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1300000 | OU      | $117818.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39715403 | PA      | $37364103.44  | 5.60%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                      | CUSIP: 3128QPF56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1806 | PA      | $1774.00      | 0.00%             | 2036-03-01      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED DKK / SOLD USD                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DK        |         1 | NC      | $15200.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18291860 | PA      | $17435989.18  | 2.61%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0DYA5 PIMCO SWAPTION 2.35 CALL USD 2023042                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -4200000 | NC      | $-7105.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                           | United Kingdom Inflation-Linked Gilt                                           | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2789599 | PA      | $3428300.63   | 0.51%             | 2024-03-22      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    990947 | PA      | $955558.36    | 0.14%             | 2047-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17011020 | PA      | $15950586.70  | 2.39%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Securities LLC                        | 317515FG4 INF CAP US APR24 4.0 CALL                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        | -13400000 | NC      | $-42.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                                  | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |      9270 | PA      | $11074.10     | 0.00%             | 2038-06-18      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                                       | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |    318377 | PA      | $380899.11    | 0.06%             | 2045-06-13      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO                                 | Black Diamond CLO 2017-2 DAC                                                   | CUSIP: 000000000<br>LEI: 549300PKZ3LBLGCJNI86 | Long             | ABS-CBDO         | CORP              | IE        |    578595 | PA      | $605562.84    | 0.09%             | 2032-01-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46318 | PA      | $45981.46     | 0.01%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                               | MidOcean Credit CLO II                                                         | CUSIP: 59863KAS6<br>LEI: 549300EKSLXKVD2RWW61 | Long             | ABS-CBDO         | CORP              | KY        |    320688 | PA      | $316859.77    | 0.05%             | 2030-01-29      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6482255 | PA      | $6345184.52   | 0.95%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7612542 | PA      | $6414944.51   | 0.96%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.41875 03/05/21-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2800000 | OU      | $257000.93    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                           | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    410000 | PA      | $361583.10    | 0.05%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.50000 03/15/23-30Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    300000 | OU      | $-65859.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.813 05/14/21-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $69249.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U0BHA8 PIMCO SWAPTION 2.35 CALL USD 2023053                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | -11700000 | NC      | $-34564.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                    | Jubilee CLO 2015-XV DAC                                                        | CUSIP: 000000000<br>LEI: 6354007QM7UFQFJIFZ64 | Long             | ABS-CBDO         | CORP              | IE        |     12331 | PA      | $13163.68     | 0.00%             | 2028-07-12      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| State of Qatar                                    | Qatar Government International Bond                                            | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    300000 | PA      | $298771.20    | 0.04%             | 2023-04-23      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT MAR23                                                        | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -16 | NC      | $7705.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                       | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $487500.00    | 0.07%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities XI Ltd              | Goldentree Loan Opportunities XI Ltd                                           | CUSIP: 38137HBU1<br>LEI: 549300ZH5R2TCUAYC824 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $590177.41    | 0.09%             | 2031-01-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                 | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17797 | PA      | $15599.35     | 0.00%             | 2035-08-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| TCW CLO                                           | TCW CLO 2018-1 Ltd                                                             | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $489534.16    | 0.07%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.6325 12/15/18-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    700000 | OU      | $-115621.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.281 05/10/18-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1760000 | OU      | $142088.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.13 09/15/22-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1470000 | OU      | $17061.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9720759 | PA      | $10928104.90  | 1.64%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   5530248 | PA      | $544259.88    | 0.08%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                         | Madison Park Euro Funding IX DAC                                               | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1025272.67   | 0.15%             | 2035-07-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 3.0 5/15/22-5Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1300000 | OU      | $43068.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+7/912828YL8 MYC                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  10000000 | OU      | $-393418.10   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0DXA6 PIMCO SWAPTION 2.2 CALL USD 20230426                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   7500000 | NC      | $4577.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9127395 | PA      | $8367616.49   | 1.25%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-137034.03   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5920750 | PA      | $4954921.20   | 0.74%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                           | HalseyPoint CLO 3 Ltd                                                          | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $937620.79    | 0.14%             | 2032-11-30      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.19500 11/04/22-30Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1550000 | OU      | $769750.13    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                                | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74508 | PA      | $70695.97     | 0.01%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                           | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   7747985 | PA      | $823802.48    | 0.12%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP US IT 2.703 05/25/21-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1210000 | OU      | $88881.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.965 05/15/22-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    800000 | OU      | $28796.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $866417.38    | 0.13%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   1836157 | PA      | $200828.04    | 0.03%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 0.83000 12/09/42-10Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   3500000 | OU      | $92469.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                                           | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   2626185 | PA      | $2140321.38   | 0.32%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-3                                            | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143089 | PA      | $134588.81    | 0.02%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   1393595 | PA      | $146453.43    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 6.44 05/15/22-2Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    600000 | OU      | $34755.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                                          | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1694058 | PA      | $1512024.43   | 0.23%             | 2035-06-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U719I5 PIMCO SWAPTION 1.5575 CALL USD 20230                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  -2300000 | NC      | $-0.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                    | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    779000 | PA      | $773686.25    | 0.12%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                           | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR23                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -52 | NC      | $791533.17    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Regatta VIII Funding Ltd                          | Regatta VIII Funding Ltd                                                       | CUSIP: 75888KAA2<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $689806.57    | 0.10%             | 2030-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2406308 | PA      | $2369037.65   | 0.36%             | 2072-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XIV Ltd                                                           | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |     11340 | PA      | $11346.98     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                                  | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |      8994 | PA      | $10700.78     | 0.00%             | 2039-03-18      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| American Money Management Corporation             | AMMC CLO 16 Ltd                                                                | CUSIP: 00176JAT3<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |    599070 | PA      | $595473.45    | 0.09%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31408DC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7912 | PA      | $7749.37      | 0.00%             | 2035-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2014-4 Ltd                                                            | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |    495483 | PA      | $484988.52    | 0.07%             | 2031-07-14      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 3.475 08/15/20-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    700000 | OU      | $-160399.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39988512 | PA      | $35056070.60  | 5.26%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24398 | PA      | $23236.01     | 0.00%             | 2044-09-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10861240 | PA      | $10428606.28  | 1.56%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U682I8 PIMCO SWAPTION 1.579 CALL USD 202301                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -2300000 | NC      | $-0.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                                   | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294357.99    | 0.04%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4508087 | PA      | $4775859.81   | 0.72%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD EUR                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-748667.12   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2641905 | PA      | $2534670.76   | 0.38%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR -0.52600 11/21/22-1Y (RED) LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  16000000 | OU      | $-538574.83   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                             | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |    300000 | PA      | $290710.73    | 0.04%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD DKK                                                       | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-155820.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36202KDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $36.16        | 0.00%             | 2023-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XXVII                                                               | CUSIP: 03767JAF2<br>LEI: 549300EW146C7Q4UV387 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $296788.22    | 0.04%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL9 LLC                                                               | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $592109.40    | 0.09%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13472588 | PA      | $12976372.38  | 1.95%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |       -30 | NC      | $155440.41    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246703 | PA      | $241877.76    | 0.04%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP EM NI 2.72 06/15/22-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1400000 | OU      | $34436.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22663290 | PA      | $20306407.56  | 3.04%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Venture XXI CLO                                   | Venture XXI CLO Ltd                                                            | CUSIP: 92330MAL3<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |     37060 | PA      | $37137.98     | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securities                   | Residential Mortgage Securities 32 PLC                                         | CUSIP: 000000000<br>LEI: 54930041T52UP3IPLN03 | Long             | ABS-MBS          | CORP              | GB        |    460370 | PA      | $553461.36    | 0.08%             | 2070-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED EUR / SOLD USD                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |         1 | NC      | $2333.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | 317U941I5 PIMCO SWAPTION 1.785 CALL USD 202301                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -4300000 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2008482 | PA      | $1953360.96   | 0.29%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9746748 | PA      | $9362906.61   | 1.40%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                         | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    497975 | PA      | $52135.87     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6543170 | PA      | $6100167.55   | 0.91%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                   | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   3695965 | PA      | $3695964.82   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                 | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14072345 | PA      | $13264634.28  | 1.99%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XV LP                                                                      | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |   1252112 | PA      | $1233379.96   | 0.18%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                         | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   7399752 | PA      | $821493.37    | 0.12%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 4.19/912828H45 MYC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  10000000 | OU      | $-65197.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                       | INF SWAP GB NI 4.48 09/15/21-2Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    700000 | OU      | $110775.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President