# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-25-201263
**Filing Date:** 2025-8
**Character Count:** 156750
**Document Hash:** 67a8a9fddc576d71234174633470d45d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-201263.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-201263

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340

**ORGANIZATION NAME:**
- **EIN:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 251248722

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **DATE OF NAME CHANGE:** 20110429

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### NYLI VP Pimco Real Return Portfolio (Series ID: S000033931)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000104633 | Initial Class |  |
| C000104634 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** NYLI VP PIMCO Real Return Portfolio

- **b. EDGAR series identifier (if any):** S000033931

- **c. LEI of Series:** FL0D50RT2GXIMU1UV517

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $792780736.67

**Total Liabilities:** $390482194.88

**Net Assets:** $402298541.79

**Delayed Delivery Securities:** $16221993.90

**Cash Not Reported:** $1302574.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -130.94000000 | **1-Year:** -16848.54000000 | **5-Year:** -69747.21000000 | **10-Year:** -85583.72000000 | **30-Year:** -89413.25000000

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

- **3-Month:** -129.90000000 | **1-Year:** -3340.68000000 | **5-Year:** -5125.14000000 | **10-Year:** -14312.35000000 | **30-Year:** -10049.68000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104633 | 0.02%                | -0.46%               | 1.19%                |
| Class ID C000104634 | -0.00%               | -0.48%               | 1.17%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-187251.74              | $-408019.87                                |
| Month 2  | $-425011.93              | $-3517375.42                               |
| Month 3  | $150065.94               | $3398240.13                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. TIPS Index

- **Index Identifier:** LEH__LHMN0062

### Schedule of Portfolio Investments

| Name                                                                   | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-27104.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $32347.62     | 0.01%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Atlas Static Senior Loan Fund I Ltd.                                   | Atlas Static Senior Loan Fund I Ltd., Series 2022-1A, Class AR                                   | CUSIP: 04942PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     82558 | PA      | $82626.87     | 0.02%             | 2030-07-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                      | CIFC Funding Ltd., Series 2018-3A, Class A                                                       | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    311755 | PA      | $311968.12    | 0.08%             | 2031-07-18      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                | Popular ABS Mortgage Pass-Through Trust, Series 2006-A, Class M2                                 | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1095709 | PA      | $1039347.39   | 0.26%             | 2036-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5990000 | PA      | $6920529.83   | 1.72%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CarVal CLO III Ltd.                                                    | CarVal CLO III Ltd., Series 2019-2A, Class AR2                                                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2071419 | PA      | $2072428.05   | 0.52%             | 2032-07-20      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4400000 | PA      | $-48985.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    529517 | PA      | $65720.13     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  15000000 | PA      | $141001.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-31840.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36800000 | PA      | $37897432.27  | 9.42%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-605.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barings Euro CLO DAC                                                   | Barings Euro CLO DAC, Series 2021-2A, Class A                                                    | CUSIP: N/A<br>LEI: 549300WLKHU1JJG5SG04       | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2342485.51   | 0.58%             | 2034-10-15      | Floating      | 3.26%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10800000 | PA      | $11894811.52  | 2.96%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1284.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $825501.74    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-HY1, Class A2A     | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298083 | PA      | $229618.91    | 0.06%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4400000 | PA      | $26167.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481908 | PA      | $439663.57    | 0.11%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding IX DAC                                       | Madison Park Euro Funding IX DAC, Series 9A, Class AR                                            | CUSIP: N/A<br>LEI: 635400IRITPTWQSADZ09       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $586034.84    | 0.15%             | 2035-07-15      | Floating      | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                           | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1R                                          | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.50%             | 2035-04-22      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Rad CLO 5 Ltd.                                                         | Rad CLO 5 Ltd., Series 2019-5A, Class AR                                                         | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1037557 | PA      | $1038116.66   | 0.26%             | 2032-07-24      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1050000 | PA      | $1270127.16   | 0.32%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2190.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10810000 | PA      | $13646362.94  | 3.39%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                               | VOYA CLO, Series 2017-2A, Class A1R                                                              | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     38007 | PA      | $38014.75     | 0.01%             | 2030-06-07      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Venture 36 CLO Ltd.                                                    | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR                                                 | CUSIP: 92332LAU3<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    412867 | PA      | $413024.59    | 0.10%             | 2032-04-20      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |     13360 | PA      | $1705.64      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2000000 | PA      | $-6126.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3A, Class A3C                                                       | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      9645 | PA      | $13217.96     | 0.00%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22103 | PA      | $20161.82     | 0.01%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Euro-Bund                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -19 | NC      | $22591.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series CCS                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465566 | PA      | $424038.49    | 0.11%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-317959.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4271391.72   | 1.06%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-20271.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-34580.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $24058.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | 3 Month Euro Euribor                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       311 | NC      | $189375.03    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 23S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |    762559 | PA      | $97280.14     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $588.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2340000 | PA      | $-83111.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $58755.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7295.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.29         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| LCM 30 Ltd.                                                            | LCM 30 Ltd., Series 30A, Class AR                                                                | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    725167 | PA      | $726000.66    | 0.18%             | 2031-04-20      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                             | UMBS Pool, 30 Year                                                                               | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166237 | PA      | $131937.79    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ares European CLO X DAC                                                | Ares European CLO X DAC, Series 10A, Class AR                                                    | CUSIP: N/A<br>LEI: 635400SFL7VSI4HNPI68       | Long             | ABS-CBDO         | CORP              | IE        |    544195 | PA      | $640051.23    | 0.16%             | 2031-10-15      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2023-H20, Class FA                                                                  | CUSIP: 38383KCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4842843 | PA      | $4863845.75   | 1.21%             | 2073-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |     85468 | PA      | $10652.48     | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2760000 | PA      | $-99831.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14110.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $14916.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $35400.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $179.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   9196100 | PA      | $-7501.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5190000 | PA      | $5322246.95   | 1.32%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     80000 | PA      | $536.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10318.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                 | GSAA Home Equity Trust, Series 2006-17, Class A3A                                                | CUSIP: 362257AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927292 | PA      | $291921.85    | 0.07%             | 2036-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 106980000 | PA      | $32749.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                        | France Government Bond                                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   3100000 | PA      | $4423765.37   | 1.10%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                        | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1                                        | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31327 | PA      | $31327.59     | 0.01%             | 2029-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Adagio CLO VIII DAC                                                    | Adagio CLO VIII DAC, Series VIII-A, Class AN                                                     | CUSIP: N/A<br>LEI: 635400GXSZ7DMJYBSH11       | Long             | ABS-CBDO         | CORP              | IE        |    653363 | PA      | $767320.33    | 0.19%             | 2032-04-15      | Floating      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $66790.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                              | Soundview Home Loan Trust, Series 2007-OPT1, Class 1A1                                           | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227534 | PA      | $154130.07    | 0.04%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S                                                                           | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8573900 | PA      | $-7002.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $12903708.76  | 3.21%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series cce                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.29         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2230000 | PA      | $3196835.08   | 0.79%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $6390115.04   | 1.59%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                | Home Equity Asset Trust, Series 2005-8, Class M2                                                 | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129507 | PA      | $126957.68    | 0.03%             | 2036-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                        | BlueMountain Fuji EUR CLO V DAC, Series 5A, Class A                                              | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |   1099093 | PA      | $1290815.60   | 0.32%             | 2033-01-15      | Floating      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 5 Year Notes                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       298 | NC      | $384893.80    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-8466.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6268.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $2028226.19   | 0.50%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6121.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                    | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                  | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124329 | PA      | $119262.87    | 0.03%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    770000 | PA      | $-78856.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII Ltd.                                                 | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R                                                | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    301280 | PA      | $301338.41    | 0.07%             | 2031-07-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19100000 | PA      | $19591170.81  | 4.87%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1505.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $208959.83    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14000000 | PA      | $2415.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | U.S. Treasury Long Bonds                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -61 | NC      | $-308902.17   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.18         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5076.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                 | SLM Student Loan Trust, Series 2004-3A, Class A6B                                                | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    208115 | PA      | $207472.75    | 0.05%             | 2064-10-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Euro CLO DAC                                              | Bain Capital Euro CLO DAC, Series 2020-1A, Class A                                               | CUSIP: N/A<br>LEI: 5493001FSPB8QPJ8P276       | Long             | ABS-CBDO         | CORP              | IE        |    333101 | PA      | $392413.73    | 0.10%             | 2033-01-24      | Floating      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $20737.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A                         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    373172 | PA      | $372978.22    | 0.09%             | 2036-11-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Republic of Italy                                                      | Italy Buoni Poliennali del Tesoro                                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |   1300000 | PA      | $1845079.43   | 0.46%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $14796.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3X, Class A3A                                                       | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     36175 | PA      | $49584.51     | 0.01%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6180.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                             | UMBS Pool, 30 Year                                                                               | CUSIP: 3133B2P52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373737 | PA      | $324154.47    | 0.08%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                  | Bank of America Corp., Series FF                                                                 | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $193261.73    | 0.05%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4410000 | PA      | $-26682.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-236.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                       | Peru Government Bond                                                                             | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |    900000 | PA      | $262143.67    | 0.07%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $25781.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10410.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3808000 | PA      | $3641476.14   | 0.91%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2100000 | PA      | $-1871.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7227.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                 | Alternative Loan Trust, Series 2007-1T1, Class 1A1                                               | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523853 | PA      | $178105.53    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3090000 | PA      | $162919.93    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RASC Trust                                                             | RASC Trust, Series 2005-EMX1, Class M2                                                           | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478476 | PA      | $478614.86    | 0.12%             | 2035-03-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-577.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                    | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB6, Class A3                   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683613 | PA      | $447833.83    | 0.11%             | 2037-07-25      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd.                                                    | Vibrant CLO XI Ltd., Series 2019-11A, Class A1R1                                                 | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |    235256 | PA      | $234846.79    | 0.06%             | 2032-07-20      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Euro-BTP                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        88 | NC      | $49968.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-925.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7243000 | PA      | $6971040.58   | 1.73%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    327000 | PA      | $657807.96    | 0.16%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2708.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6800000 | PA      | $-67850.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Euro-Bobl                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -2 | NC      | $1229.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5400000 | PA      | $649991.22    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 431000000 | PA      | $3478066.00   | 0.86%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                          | UMBS, Single Family, 30 Year                                                                     | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5800000 | PA      | $5392415.56   | 1.34%             | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                 | Residential Asset Securitization Trust, Series 2006-A10, Class A5                                | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221658 | PA      | $66682.63     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $4205933.06   | 1.05%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO DAC                                                  | Black Diamond CLO DAC, Series 2017-2A, Class A1                                                  | CUSIP: N/A<br>LEI: 549300PKZ3LBLGCJNI86       | Long             | ABS-CBDO         | CORP              | IE        |     76367 | PA      | $89951.09     | 0.02%             | 2032-01-20      | Floating      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5400000 | PA      | $13646.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4130000 | PA      | $6420460.41   | 1.60%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                       | IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A                                   | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72708 | PA      | $66874.45     | 0.02%             | 2035-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-2, Class M7 | CUSIP: 68383NBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98826.55     | 0.02%             | 2035-04-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO Ltd.                         | Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1                        | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |    503714 | PA      | $591884.16    | 0.15%             | 2031-11-15      | Floating      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                         | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2                                         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207182 | PA      | $82675.67     | 0.02%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO II DAC                                                    | St Pauls CLO II DAC, Series 2A, Class AR4                                                        | CUSIP: N/A<br>LEI: 549300HFD82A7GIR1V82       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $585263.28    | 0.15%             | 2035-10-25      | Floating      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                   | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                                  | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    491096 | PA      | $490816.07    | 0.12%             | 2037-01-17      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |      1742 | PA      | $255.57       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.12         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4164.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4848.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                          | UMBS, Single Family, 30 Year                                                                     | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19700000 | PA      | $18841503.16  | 4.68%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31402LPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70123 | PA      | $70747.03     | 0.02%             | 2043-06-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2700000 | PA      | $311405.29    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3237.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4860000 | PA      | $7119030.10   | 1.77%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4100000 | PA      | $708825.09    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86061 | PA      | $89446.49     | 0.02%             | 2034-11-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 2 Year Notes                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -214 | NC      | $-154090.70   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 10 Year Notes                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -602 | NC      | $-1080210.77  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-6118.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1974225 | PA      | $244095.09    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3247968.32   | 0.81%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                             | RALI Trust, Series 2006-QH1, Class A1                                                            | CUSIP: 75115GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561059 | PA      | $502093.43    | 0.12%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $23709.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $46871.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437607 | PA      | $418803.34    | 0.10%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-659051.24   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $15425.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    510000 | PA      | $-52471.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    399414 | PA      | $52478.70     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3721.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    540000 | PA      | $3375.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5400000 | PA      | $29671.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $121052.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden 52 Euro CLO DAC                                                 | Dryden 52 Euro CLO DAC, Series 2017-52A, Class AR                                                | CUSIP: N/A<br>LEI: 635400V5VX7XDQVRNU55       | Long             | ABS-CBDO         | CORP              | IE        |    360064 | PA      | $422865.33    | 0.11%             | 2034-05-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  50000000 | PA      | $10472.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1600000 | PA      | $-11397.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $29012400.44  | 7.21%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10100000 | PA      | $11073733.11  | 2.75%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO III Ltd.                                                  | Greywolf CLO III Ltd., Series 2020-3RA, Class A1R2                                               | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1202040.00   | 0.30%             | 2033-04-22      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Saranac CLO VI Ltd.                                                    | Saranac CLO VI Ltd., Series 2018-6A, Class A1R                                                   | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |     96740 | PA      | $96795.54     | 0.02%             | 2031-08-13      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2023-H11, Class FC                                                                  | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485997 | PA      | $492925.15    | 0.12%             | 2073-05-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6240.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3610000 | PA      | $2420925.65   | 0.60%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                 | Alternative Loan Trust, Series 2005-29CB, Class A4                                               | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21799 | PA      | $11929.91     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| French Republic                                                        | France Government Bond                                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    700000 | PA      | $961263.53    | 0.24%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC,REMIC, Series 4694, Class FA                                                               | CUSIP: 3137BYWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714125 | PA      | $694794.21    | 0.17%             | 2047-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $33773.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series CCE                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |     32733 | PA      | $4030.14      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                              | OBX Trust, Series 2018-1, Class A2                                                               | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14947 | PA      | $14654.60     | 0.00%             | 2057-06-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $18416409.04  | 4.58%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1550000 | PA      | $254585.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                     | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A2                                   | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    336311 | PA      | $307978.00    | 0.08%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10224000 | PA      | $15855292.01  | 3.94%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2980000 | PA      | $2158246.27   | 0.54%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                        | CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1                                         | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24504 | PA      | $10836.62     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 27S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| NYLI U.S. Government Liquidity Fund                                    | NYLI U.S. Government Liquidity Fund                                                              | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |    848842 | NS      | $848842.19    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4700000 | PA      | $4855491.19   | 1.21%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3100000 | PA      | $-15009.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Series 5513, Class MF                                                              | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1981951 | PA      | $1976752.95   | 0.49%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2500000 | PA      | $119308.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 615000000 | PA      | $4949122.08   | 1.23%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | 3 Month Euro Euribor                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      -311 | NC      | $-146761.37   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                   | FNMA, Series 2025-47, Class FJ                                                                   | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985816 | PA      | $1994440.32   | 0.50%             | 2055-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8000000 | PA      | $35086.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $-335317.09   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Strips, Series 278, Class F1                                                       | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118016 | PA      | $116381.21    | 0.03%             | 2042-09-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Mexican Udibonos                                                       | Mexican Udibonos                                                                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    926721 | PA      | $45861.20     | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $12520.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $12640.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1497766 | PA      | $184446.25    | 0.05%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 3618N5ER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3879200 | PA      | $3533181.06   | 0.88%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $70901.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-3288.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $210193.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780000 | PA      | $1845316.00   | 0.46%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-18202.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 23S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |      7988 | PA      | $1172.20      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 386000000 | PA      | $79775.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund XXI DAC                                         | CVC Cordatus Loan Fund XXI DAC, Series 21A, Class A1E                                            | CUSIP: N/A<br>LEI: 549300830IXOSQG2RQ34       | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1175234.83   | 0.29%             | 2034-09-22      | Floating      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-22309.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                          | Citigroup Mortgage Loan Trust, Series 2007-AR4, Class 1A1A                                       | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142913 | PA      | $121059.12    | 0.03%             | 2037-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3X, Class A3C                                                       | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |      9645 | PA      | $13217.96     | 0.00%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                           | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     66000 | PA      | $62738.60     | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1505.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                         | Option One Mortgage Loan Trust, Series 2006-1, Class M1                                          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1141327 | PA      | $1073275.40   | 0.27%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  20000000 | PA      | $266983.17    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                    | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB1                                | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     92908 | PA      | $91839.49     | 0.02%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   9030000 | PA      | $-7178.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Series 4779, Class WF                                                              | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86132 | PA      | $84559.78     | 0.02%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $-26086.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                         | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE2, Class A2C                       | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306577 | PA      | $119523.22    | 0.03%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $33870.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                              | Soundview Home Loan Trust, Series 2007-OPT2, Class 2A3                                           | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125720 | PA      | $112854.66    | 0.03%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 3618N5KS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8936182 | PA      | $8139088.08   | 2.02%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                 | Merrill Lynch Mortgage Investors Trust, Series 2005-A4, Class 1A                                 | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129296 | PA      | $53888.71     | 0.01%             | 2035-07-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                          | UMBS, Single Family, 30 Year                                                                     | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15300000 | PA      | $15546679.45  | 3.86%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV Ltd.                                           | Crestline Denali CLO XV Ltd., Series 2017-1A, Class AR                                           | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |      5027 | PA      | $5027.76      | 0.00%             | 2030-04-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01eE                                                             | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.22         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-5, Class 2CB1      | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28734 | PA      | $20571.45     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    820000 | PA      | $4603.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series 111E                                                                | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |      3953 | PA      | $580.06       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding DAC                                | Palmer Square European Loan Funding DAC, Series 2023-3A, Class AR                                | CUSIP: N/A<br>LEI: 54930004WJL9ZPQZOM50       | Long             | ABS-CBDO         | CORP              | IE        |    389432 | PA      | $458854.33    | 0.11%             | 2033-05-15      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $617.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $16728.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11800000 | PA      | $12376270.24  | 3.08%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3155.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund I Ltd.                                            | LCM Loan Income Fund I Ltd., Series 1A, Class A                                                  | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    466995 | PA      | $467105.73    | 0.12%             | 2031-04-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11800000 | PA      | $12142841.94  | 3.02%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |     99589 | PA      | $10936.14     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-740.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Government Real Return Bond                                   | Canadian Government Real Return Bond                                                             | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $861987.72    | 0.21%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    500000 | PA      | $54905.94     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $16856.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                   | Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1                 | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309929 | PA      | $303317.35    | 0.08%             | 2032-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | SOP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -19800000 | PA      | $-196508.47   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                         | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    802523 | PA      | $802435.84    | 0.20%             | 2037-01-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21971 | PA      | $21786.80     | 0.01%             | 2036-12-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3318.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $-8777.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd.                                                | Sound Point CLO IX Ltd., Series 2015-2A, Class ARRR                                              | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    420816 | PA      | $421224.45    | 0.10%             | 2032-07-20      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-33633.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |      1510 | PA      | $221.60       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2000000 | PA      | $5729.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-8675.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 210000000 | PA      | $11656.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6440000 | PA      | $6402298.77   | 1.59%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4900000 | PA      | $5068919.73   | 1.26%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496623 | PA      | $475899.61    | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2848647.61   | 0.71%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3281.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6696.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01EE                                                             | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    318785 | PA      | $39390.17     | 0.01%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                       | Peru Government Bond                                                                             | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   1000000 | PA      | $295871.90    | 0.07%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                         | OZLM XXIV Ltd., Series 2019-24A, Class A1AR                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    118527 | PA      | $118589.52    | 0.03%             | 2032-07-20      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Lehman XS Trust                                                        | Lehman XS Trust, Series 2007-20N, Class A1                                                       | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19777 | PA      | $19262.06     | 0.00%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  22700000 | PA      | $57378.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $52384.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1200000 | PA      | $23374.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                         | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C                       | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507301 | PA      | $165066.27    | 0.04%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $6724.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13700000 | PA      | $14883434.94  | 3.70%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3210.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39224 | PA      | $35792.12     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |     18059 | PA      | $2339.73      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $150.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                      | GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A                                    | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49974 | PA      | $46111.68     | 0.01%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $1917.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2017-H10, Class FB                                                                  | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118974 | PA      | $120681.94    | 0.03%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $600902.36    | 0.15%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $93401.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9200000 | PA      | $9494606.88   | 2.36%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC1, Class M3                             | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67654 | PA      | $68150.82     | 0.02%             | 2035-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                      | CIFC Funding Ltd., Series 2017-4A, Class A1R                                                     | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    123207 | PA      | $123299.29    | 0.03%             | 2030-10-24      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3500000 | PA      | $-14681.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                    | New Residential Mortgage Loan Trust, Series 2018-3A, Class A1                                    | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |     78681 | PA      | $77028.46     | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8610000 | PA      | $11423105.13  | 2.84%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  10500000 | PA      | $-39663.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Australia 10 Year Bonds                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        82 | NC      | $49135.69     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6700000 | PA      | $14383.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, Series 4851, Class PF                                                                     | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000652 | PA      | $943742.65    | 0.23%             | 2057-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8880000 | PA      | $52505.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 210000000 | PA      | $11611.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5300000 | PA      | $27098.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | U.S. Treasury Ultra Bonds                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        23 | NC      | $98325.46     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Romark CLO Ltd.                                                        | Romark CLO Ltd., Series 2017-1A, Class A1R                                                       | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     86997 | PA      | $87022.84     | 0.02%             | 2030-10-23      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    280000 | PA      | $-12.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3764.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8520000 | PA      | $10013486.25  | 2.49%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Euro-Schatz                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        10 | NC      | $-2155.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 10 Year Ultra Bonds                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       242 | NC      | $582464.70    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.23         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 28S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |    359593 | PA      | $43523.68     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $112184.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401415 | PA      | $374025.16    | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3300000 | PA      | $-640046.74   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 20 Ltd.                                          | Anchorage Capital CLO 20 Ltd., Series 2021-20A, Class A1R                                        | CUSIP: 03330YAJ9<br>LEI: 549300AYL7KYENHY1C67 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $899460.00    | 0.22%             | 2035-01-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9540000 | PA      | $11488980.20  | 2.86%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | SOP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -19800000 | PA      | $-122901.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                    | Thornburg Mortgage Securities Trust, Series 2004-2, Class A1                                     | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211721 | PA      | $200764.78    | 0.05%             | 2044-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2018-H15, Class FG                                                                  | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288259 | PA      | $289407.11    | 0.07%             | 2068-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8000000 | PA      | $28069.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Argent Securities Trust                                                | Argent Securities Trust, Series 2006-W4, Class A2C                                               | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270961 | PA      | $64497.99     | 0.02%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $17014.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $48266.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  15000000 | PA      | $56725.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Euro-OAT                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -125 | NC      | $122545.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                       | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A                                   | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591305 | PA      | $428312.75    | 0.11%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4830000 | PA      | $5323236.71   | 1.32%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                     | New Century Home Equity Loan Trust, Series 2004-4, Class M1                                      | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41638 | PA      | $40263.67     | 0.01%             | 2035-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                             | RASC Trust, Series 2006-EMX4, Class A4                                                           | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311562 | PA      | $306446.42    | 0.08%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $44761.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 35 Ltd.                                                            | LCM 35 Ltd., Series 35A, Class A1R                                                               | CUSIP: 50202QAL7<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999975.00    | 0.25%             | 2034-10-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S                                                                           | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |      5908 | PA      | $689.98       | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                           | UBS Group AG                                                                                     | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    100000 | PA      | $132688.41    | 0.03%             | 2029-03-01      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $1077.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5900000 | PA      | $312869.87    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO III DAC                                      | CIFC European Funding CLO III DAC, Series 3A, Class A                                            | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |   1200000 | PA      | $1413541.41   | 0.35%             | 2034-01-15      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1106555.26   | 0.28%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2355.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Euro CLO I DAC                                                 | Invesco Euro CLO I DAC, Series 1A, Class A1R                                                     | CUSIP: N/A<br>LEI: 549300GHZE7CYFQDBC40       | Long             | ABS-CBDO         | CORP              | IE        |    370166 | PA      | $433437.68    | 0.11%             | 2031-07-15      | Floating      | 2.93%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7140000 | PA      | $8151994.77   | 2.03%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3795000 | PA      | $4746406.94   | 1.18%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.26         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                  | CWABS Asset-Backed Certificates Trust, Series 2007-8, Class 1A1                                  | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    999419 | PA      | $949113.03    | 0.24%             | 2037-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-6262.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4600.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Euro-Buxl                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -17 | NC      | $44755.62     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   7400000 | PA      | $311195.55    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                           | Saxon Asset Securities Trust, Series 2007-3, Class 1A                                            | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61592 | PA      | $59211.64     | 0.01%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                      | Italy Buoni Poliennali del Tesoro                                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    600000 | PA      | $730851.42    | 0.18%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC, Series 2025-19, Class FC                                                            | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1906579 | PA      | $1905942.68   | 0.47%             | 2055-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $66152.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Mastr Asset-Backed Securities Trust                                    | Mastr Asset-Backed Securities Trust, Series 2006-WMC4, Class A5                                  | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105883 | PA      | $34253.55     | 0.01%             | 2036-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-33785.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer