# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000152
**Filing Date:** 2023-3
**Character Count:** 222371
**Document Hash:** 564e4dc91b63b742cf7efd1b109dbb8e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000152.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000152

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688687

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

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

## Series and Classes Contracts Data

### PIMCO Real Return Portfolio (Series ID: S000009661)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026482 | Administrative | VPVRRDV         |
| C000026483 | Institutional  | VPVRRIV         |
| C000030983 | Advisor        | VPVRRVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

- **b. EDGAR series identifier (if any):** S000009661

- **c. LEI of Series:** VOI6QOMEXKGNKFIHJ560

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2695286140.16

**Total Liabilities:** $1124618379.44

**Net Assets:** $1570667760.72

**Cash Not Reported:** $11694463.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 61221.790200 | **1-Year:** -581.934200 | **5-Year:** 42566.402800 | **10-Year:** 30787.653900 | **30-Year:** -32699.584100

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

- **3-Month:** 945.921000 | **1-Year:** 3196.804200 | **5-Year:** 7698.506200 | **10-Year:** 1976.732200 | **30-Year:** 22.059800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030983 | 1.41%                | 1.76%                | -0.82%               |
| Class ID C000026482 | 1.42%                | 1.77%                | -0.81%               |
| Class ID C000026483 | 1.43%                | 1.78%                | -0.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $7071391.97              | $2020241.86                                |
| Month 2  | $-3854264.54             | $52301390.51                               |
| Month 3  | $-441640.98              | $-20940894.56                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Total Return Unhedged Index

- **Index Identifier:** LBUTTRUU

### Schedule of Portfolio Investments

| Name                                                       | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                        | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-131245.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U657Z1 PIMCO SWAPTION 2.3 PUT USD 20231113           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -53300000 | NC      | $-3543261.41  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U658Z0 PIMCO SWAPTION 2.285 PUT USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10900000 | NC      | $2340962.48   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U681I9 PIMCO SWAPTION 1.4275 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   38100000 | NC      | $3.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U682I8 PIMCO SWAPTION 1.579 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8300000 | NC      | $-0.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U714I0 PIMCO SWAPTION 1.41 CALL USD 2023020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   38400000 | NC      | $3.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U719I5 PIMCO SWAPTION 1.5575 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8400000 | NC      | $-1.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U876Z6 PIMCO SWAPTION 2.34 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -26200000 | NC      | $-1698310.20  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U877Z5 PIMCO SWAPTION 2.2365 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5300000 | NC      | $1178443.87   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U940I6 PIMCO SWAPTION 1.71 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   71800000 | NC      | $7.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U941I5 PIMCO SWAPTION 1.785 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15900000 | NC      | $-1.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U970I9 PIMCO SWAPTION 1.72 CALL USD 2023022          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   67400000 | NC      | $53.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U971I8 PIMCO SWAPTION 1.736 CALL USD 202302          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15000000 | NC      | $-162.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4217458.89  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.359 08/15/22-8Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $103394.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-64488.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.47 07/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $107403.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-218667.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-16031.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.57 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $63792.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-67161.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-104726.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-22630.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.6 05/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $219437.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.72 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $70377.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $64947.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $32731.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.52 09/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-41775.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.325 08/15/15-15Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2953720.20  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.33 01/15/20-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-153676.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.4 06/15/15-15Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-697411.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.566 03/15/21-15Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-224373.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.58 03/15/21-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-805550.45   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.75 04/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-424758.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.85 09/15/19-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-1673820.57  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.066 09/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-245119.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.125 09/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $20572.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.13 09/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $87664.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.1425 10/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $49250.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.48 09/15/21-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $363977.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.615 02/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $453148.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.626 02/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $521750.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 4.735 12/15/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $517323.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 5.2 06/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $81538.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 5.33 06/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $129192.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 6.44 05/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $75303.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 6.6 05/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $178364.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.76 11/04/19-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1826027.56  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.7975 08/25/20-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1001619.21   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.89 08/27/20-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $970856.19    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-838741.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2489518.82  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2006833.52  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.21 02/05/18-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1888969.02   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.2625 05/09/18-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $270842.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.26325 04/27/18-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1169991.46   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.281 05/10/18-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $409492.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2280074.85   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.31375 02/26/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $260048.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.379 07/09/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-308054.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.41875 03/05/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $930944.02    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $48210.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $100208.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.69 06/01/21-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29247.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $438034.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.7675 05/13/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $547554.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.813 05/14/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $227048.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80765 | PA      | $75403.44     | 0.00%             | 2036-02-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR -0.52600 11/21/22-1Y (WHT) LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2125892.22  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.00000 11/04/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9595548.53  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.00000 11/08/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-8676170.44  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2739728.73   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2835104.41   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5009434.10   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.55000 08/10/22-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9328.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-650463.24   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-319687.58   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.70000 04/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-274651.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $263445.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-528207.42   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-231723.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74795 | PA      | $68417.38     | 0.00%             | 2047-01-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 1.50000 03/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-241948.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 1.75000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1041243.52   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS NZD 3.25000 03/21/18-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $492806.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS USD 1.84000 11/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1097577.18   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS USD 1.84000 11/21/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $592125.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS USD 1.88750 11/21/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-410954.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS USD 1.97500 11/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-724030.16   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR GBP SONIO/0.50000 03/16/22-20Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4416797.63   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $16610.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $44342.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         17 | NC      | $-134222.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | TRS R 4.19/9128282L3 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $79570.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/9128284H0 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-360193.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/9128286N5 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-195431.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/912828B25 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-109775.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/912828H45 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-130395.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/912828V49 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35512.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/912828VM9 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-132530.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/912828ZJ2 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-124253.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R 4.19/91282CDC2 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1069.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+12/912828B25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-27132.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+12/912828N71 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-103966.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+12/912828VM9 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-87100.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+12/912828ZJ2 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-145490.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+7/912828YL8 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-983545.25   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+7/91282CCM1 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3196943.46  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1323 | NC      | $631640.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        372 | NC      | $-636816.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -18 | NC      | $9019.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1876 | NC      | $-1660210.87  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US LONG BOND(CBT) MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -615 | NC      | $1071892.49   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          5 | NC      | $-20944.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                             | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14289 | PA      | $11964.83     | 0.00%             | 2035-06-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1         | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78346 | PA      | $69978.71     | 0.00%             | 2036-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| BASTILLE FUNDING 20-3A                                     | BASTILLE FUNDING BAST 2020 3A A 144A                    | CUSIP: ACI1S2JN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $516584.45    | 0.03%             | 2034-01-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                          | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1557422.08   | 0.10%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1          | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125077 | PA      | $116247.56    | 0.01%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105356 | PA      | $92323.68     | 0.01%             | 2036-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67626 | PA      | $61216.16     | 0.00%             | 2035-01-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117898 | PA      | $109342.12    | 0.01%             | 2035-03-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21856 | PA      | $19378.05     | 0.00%             | 2036-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                            | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581261 | PA      | $361312.59    | 0.02%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                            | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1              | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250020 | PA      | $193101.75    | 0.01%             | 2036-03-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XII LTD 2017-12A               | BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A    | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $789856.40    | 0.05%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                  | BIRCH GROVE CLO LTD. BGCLO 19A AR 144A                  | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $787174.82    | 0.05%             | 2031-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A      | BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A            | CUSIP: ACI0ZL547<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      47456 | PA      | $50547.64     | 0.00%             | 2029-10-03      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A      | BLACK DIAMOND CLO LTD BLACK 2015 1A A2R 144A            | CUSIP: ACI0ZL539<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      32277 | PA      | $32150.17     | 0.00%             | 2029-10-03      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                         | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A            | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $415137.22    | 0.03%             | 2032-05-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO IX DAC 9A                           | BLACKROCK EUROPEAN CLO DAC BECLO 9A A 144A              | CUSIP: ACI1G0FC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $728097.05    | 0.05%             | 2032-12-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO III DAC 3A                       | BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A             | CUSIP: ACI1XNPD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     299857 | PA      | $312255.11    | 0.02%             | 2031-01-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                      | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $314358.67    | 0.02%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6584775 | PA      | $5366547.39   | 0.34%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                | CAPITAL FOUR US CLO C4US 2022 1A A1 144A                | CUSIP: 14016CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $997897.30    | 0.06%             | 2030-10-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2017-2 DAC 17-2A                          | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 2A A1R 144A   | CUSIP: ACI1VWGV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     597850 | PA      | $624654.38    | 0.04%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2012 4A A1R3 144A   | CUSIP: 14309YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $294187.70    | 0.02%             | 2032-04-22      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A   | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1779645 | PA      | $1760377.76   | 0.11%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $726164.64    | 0.05%             | 2031-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A    | CUSIP: 14314BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2460140.38   | 0.16%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-4                                  | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 4A A1 144A     | CUSIP: 14315BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $493775.37    | 0.03%             | 2030-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                  | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1492345 | PA      | $1471037.45   | 0.09%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CBAM LTD 2017-1A                                           | CBAM CLO MANAGEMENT LLC CBAM 2017 1A A1 144A            | CUSIP: 12480VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     598046 | PA      | $592094.04    | 0.04%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING V CLO LTD 2016-5A                            | CEDAR FUNDING LTD CEDF 2016 5A A1R 144A                 | CUSIP: 15032AAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $589984.44    | 0.04%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1        | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8702 | PA      | $8158.70      | 0.00%             | 2037-02-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                     | CHASEFLEX TRUST CFLX 2007 1 2A6                         | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284448 | PA      | $115562.71    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                      | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A    | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1792 | PA      | $1655.02      | 0.00%             | 2035-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CIFC EUROPEAN FUNDING CLO 3A                               | CIFC EUROPEAN FUNDING CLO CIFCE 3A A 144A               | CUSIP: ACI27MSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1036947.60   | 0.07%             | 2034-01-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-1A                                   | CIFC FUNDING LTD CIFC 2017 1A AR 144A                   | CUSIP: 12551AAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     468698 | PA      | $464341.32    | 0.03%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                   | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2871106.40   | 0.18%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2018-1A                                   | CIFC FUNDING LTD CIFC 2018 1A A 144A                    | CUSIP: 12551RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $491213.64    | 0.03%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A             | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88698 | PA      | $88280.76     | 0.01%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3237650.34   | 0.21%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-NCM2                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 1CB1      | CUSIP: 17307GGX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29866 | PA      | $27509.58     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127360 | PA      | $115800.08    | 0.01%             | 2036-03-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220559 | PA      | $189755.93    | 0.01%             | 2037-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A       | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82940 | PA      | $61793.09     | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 1A1A       | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978647 | PA      | $854566.88    | 0.05%             | 2037-03-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3214 | PA      | $2982.39      | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3           | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1683 | PA      | $1584.71      | 0.00%             | 2035-09-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO IV DAC 4A                                      | CONTEGO CLO DAC CONTE 4A AR 144A                        | CUSIP: ACI25QZ00<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     798548 | PA      | $833119.08    | 0.05%             | 2030-01-23      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1        | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15880 | PA      | $13928.00     | 0.00%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33397 | PA      | $27150.16     | 0.00%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219944 | PA      | $166835.90    | 0.01%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1       | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2593662 | PA      | $1036693.98   | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1314672 | PA      | $1215033.36   | 0.08%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56301 | PA      | $47403.64     | 0.00%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268862 | PA      | $228326.63    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127224 | PA      | $122626.67    | 0.01%             | 2047-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200233 | PA      | $1119123.34   | 0.07%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8               | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2645405 | PA      | $2416883.42   | 0.15%             | 2037-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-19                             | COUNTRYWIDE HOME LOANS CWHL 2005 19 1A6                 | CUSIP: 126694AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21295 | PA      | $15917.58     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     697807 | PA      | $642128.96    | 0.04%             | 2035-10-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                              | COUNTRYWIDE HOME LOANS CWHL 2006 6 A4                   | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249653 | PA      | $138534.45    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B              | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45637 | PA      | $41526.02     | 0.00%             | 2036-05-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                              | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                   | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     811475 | PA      | $411711.77    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2022-2A LTD                                     | CQS US CLO 2022 2, LTD. CQS 2022 2A A1 144A             | CUSIP: 12664BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2000000 | PA      | $1994690.00   | 0.13%             | 2031-07-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                     | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49995 | PA      | $23841.44     | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                     | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671427 | PA      | $448573.56    | 0.03%             | 2037-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102596 | PA      | $87793.57     | 0.01%             | 2036-10-26      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB3                      | CREDIT BASED ASSET SERVICING A CBASS 2005 CB3 M4        | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386000 | PA      | $370977.03    | 0.02%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XIV LTD 2016-1A                       | CRESTLINE DENALI CLO XIV, LTD DEN14 2016 1A AR2 144A    | CUSIP: 22615MAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $490657.09    | 0.03%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XV 2017-1A                            | CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A     | CUSIP: 22616CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     722537 | PA      | $713505.21    | 0.05%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                   | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1       | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5294 | PA      | $4510.01      | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| DRYDEN 44 EURO CLO 2015 BV 15-44A                          | DRYDEN EURO CLO DRYD 2015 44A A1RR 144A                 | CUSIP: ACI1VYV26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2194000 | PA      | $2245623.20   | 0.14%             | 2034-04-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                             | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $312106.20    | 0.02%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                          | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A           | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1670910.96   | 0.11%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                    | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A           | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $587598.78    | 0.04%             | 2031-04-18      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                    | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314212 | PA      | $301906.30    | 0.02%             | 2037-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                       | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     795941 | PA      | $951317.28    | 0.06%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                       | EUROSAIL PLC ESAIL 2007 3X A3C REGS                     | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     312082 | PA      | $372600.29    | 0.02%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                          | EVERSOURCE ENERGY SR UNSECURED 10/24 2.9                | CUSIP: 30040WAD0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96462.97     | 0.01%             | 2024-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                         | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8788 | PA      | $8513.63      | 0.00%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                        | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11401 | PA      | $11202.92     | 0.00%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                         | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4816 | PA      | $4739.41      | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                          | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76935 | PA      | $76453.48     | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                         | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2657 | PA      | $2602.25      | 0.00%             | 2037-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                              | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23204 | PA      | $22831.57     | 0.00%             | 2042-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 1G0621 FH 12/35 FLOATING VAR          | CUSIP: 3128NCVN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18910 | PA      | $18626.53     | 0.00%             | 2035-12-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13112 | PA      | $13167.14     | 0.00%             | 2034-01-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                     | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268859 | PA      | $270122.43    | 0.02%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                        | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15814 | PA      | $15698.75     | 0.00%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                        | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870805 | PA      | $867695.51    | 0.06%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY GRAND HARBOUR CLO 2019-1 DAC 19-1A                | FIDELITY GRAND HARBOUR CLO GRANH 2019 1A A 144A         | CUSIP: ACI280L41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $728679.68    | 0.05%             | 2032-03-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2         | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2215761 | PA      | $2112867.60   | 0.13%             | 2036-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273994 | PA      | $118282.66    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67365 | PA      | $62733.97     | 0.00%             | 2034-06-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                   | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89681 | PA      | $61927.82     | 0.00%             | 2035-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2564 | PA      | $2442.00      | 0.00%             | 2044-07-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 803338 FN 09/44 FLOATING VAR                  | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8611 | PA      | $8200.94      | 0.00%             | 2044-09-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 817547 FN 10/35 FLOATING VAR                  | CUSIP: 31406RHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12723 | PA      | $12470.60     | 0.00%             | 2035-10-01      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      95131 | PA      | $924294.58    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   14476518 | PA      | $15338537.68  | 0.98%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2416491 | PA      | $2477015.08   | 0.16%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 07/38 0.1              | CUSIP: ACI25Z7H4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5423232 | PA      | $5204368.80   | 0.33%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS REGS 07/24 0.25                  | CUSIP: ACI04Z888<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    8694944 | PA      | $9375364.94   | 0.60%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                    | FREDDIE MAC FHR 4687 FG                                 | CUSIP: 3137BY3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     816074 | PA      | $786930.41    | 0.05%             | 2047-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                    | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1017172 | PA      | $1003514.86   | 0.06%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 278                                     | FREDDIEMAC STRIP FHS 278 F1                             | CUSIP: 3132HTBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1478297 | PA      | $1453067.83   | 0.09%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                             | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     676075 | PA      | $596803.20    | 0.04%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A         | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $491375.00    | 0.03%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A            | GOLDENTREE LOAN MANAGEMENT US GLM 2017 2A AR 144A       | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $493889.15    | 0.03%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1456936 | PA      | $1442656.38   | 0.09%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1811801 | PA      | $1761986.23   | 0.11%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 F           | CUSIP: 38382YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2205782 | PA      | $2171617.85   | 0.14%             | 2072-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2006-1                            | GREAT HALL MORTGAGES PLC GHM 2006 1 A2A REGS            | CUSIP: 991XUKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      27811 | PA      | $33139.33     | 0.00%             | 2038-06-18      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-1                            | GREAT HALL MORTGAGES PLC GHM 2007 1 A2A REGS            | CUSIP: B1S83ZII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      35977 | PA      | $42907.08     | 0.00%             | 2039-03-18      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97181 | PA      | $88749.53     | 0.01%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82925 | PA      | $74980.07     | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A        | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199864 | PA      | $174738.12    | 0.01%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                              | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247910 | PA      | $149140.59    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                       | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36707 | PA      | $33300.28     | 0.00%             | 2035-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                      | GSAMP TRUST GSAMP 2005 WMC1 M1                          | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33590 | PA      | $32777.51     | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                       | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64640 | PA      | $32340.84     | 0.00%             | 2036-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                            | GSR MORTGAGE LOAN TRUST GSR 2004 12 3A6                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75788 | PA      | $67059.74     | 0.00%             | 2034-12-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31344 | PA      | $28539.47     | 0.00%             | 2035-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55009 | PA      | $50626.24     | 0.00%             | 2035-07-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60069 | PA      | $56413.49     | 0.00%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 3 LTD 2020-3A                              | HALSEYPOINT CLO 3, LTD. HLSY 2020 3A A1A 144A           | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $592456.98    | 0.04%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11       | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73504 | PA      | $38999.10     | 0.00%             | 2036-02-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25855 | PA      | $23025.08     | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40132 | PA      | $35819.72     | 0.00%             | 2035-06-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34411 | PA      | $29559.83     | 0.00%             | 2037-09-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVIII DAC 8A                                   | HARVEST CLO HARVT 18A A1 144A                           | CUSIP: ACI278F26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     897997 | PA      | $940876.30    | 0.06%             | 2030-10-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                    | HARVEST CLO HARVT 21A A1R 144A                          | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1447281.89   | 0.09%             | 2031-07-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    1220000 | NS      | $1081871.60   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                               | HILTON DOMESTIC OPERATING CO 2019 TERM LOAN B           | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |      76682 | PA      | $76533.75     | 0.00%             | 2026-06-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                         | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1619020 | PA      | $1557611.59   | 0.10%             | 2036-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4102 | PA      | $1670.92      | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23418 | PA      | $22210.27     | 0.00%             | 2035-11-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                       | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     557138 | PA      | $174121.63    | 0.01%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR14                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR14 1A1A      | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122240 | PA      | $88646.54     | 0.01%             | 2035-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6657 | PA      | $5917.46      | 0.00%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39663 | PA      | $37529.54     | 0.00%             | 2034-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/25 1 | CUSIP: ACI1MHM64<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   45256350 | PA      | $47827008.46  | 3.05%             | 2025-05-26      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    5833700 | PA      | $5467492.98   | 0.35%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1499988510 | PA      | $11823667.43  | 0.75%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1882073760 | PA      | $14885648.91  | 0.95%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/31 0.005                 | CUSIP: ACI1XV2Q9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  292336800 | PA      | $2308801.38   | 0.15%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                              | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1178885.95   | 0.08%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21661 | PA      | $20499.93     | 0.00%             | 2035-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97567 | PA      | $90507.24     | 0.01%             | 2035-07-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                           | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229898 | PA      | $209071.85    | 0.01%             | 2037-07-27      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32777 | PA      | $30060.78     | 0.00%             | 2035-02-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52339 | PA      | $48273.51     | 0.00%             | 2035-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1              | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12280 | PA      | $10656.94     | 0.00%             | 2035-09-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47432 | PA      | $39176.05     | 0.00%             | 2035-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27956 | PA      | $27480.65     | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2015-XV BV 15-15A                              | JUBILEE CDO BV JUBIL 2015 15A AR 144A                   | CUSIP: ACI0XSK39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      45213 | PA      | $48266.81     | 0.00%             | 2028-07-12      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2015-XVI BV 15-16A                             | JUBILEE CDO BV JUBIL 2015 16A A1R 144A                  | CUSIP: ACI0YWRZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1494833 | PA      | $1570143.18   | 0.10%             | 2029-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                              | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                    | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1020985 | PA      | $1002446.27   | 0.06%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| LAURELIN 2016-1 DAC 16-1A                                  | LAURELIN BV LAUR 2016 1A ARR 144A                       | CUSIP: ACI1WVS58<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $518903.11    | 0.03%             | 2031-10-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| LCM LP 13A                                                 | LCM LTD PARTNERSHIP LCM 13A AR3 144A                    | CUSIP: 50184KBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3164922 | PA      | $3130761.36   | 0.20%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XV LP 15A                                              | LCM LTD PARTNERSHIP LCM 15A AR2 144A                    | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     288949 | PA      | $284626.15    | 0.02%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM XXV LTD 25A                                            | LCM LTD PARTNERSHIP LCM 25A AR 144A                     | CUSIP: 50189PAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     989290 | PA      | $978064.82    | 0.06%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MANUFACTURED HOUSING 2001-B                     | LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2          | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     872145 | PA      | $614618.10    | 0.04%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                     | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     660090 | PA      | $557610.55    | 0.04%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                     | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     545784 | PA      | $538095.32    | 0.03%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                            | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1777937 | PA      | $1747055.81   | 0.11%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                   | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR    | CUSIP: ACI080964<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $616625.15    | 0.04%             | 2025-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                              | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1745805.60   | 0.11%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     971866 | PA      | $414724.38    | 0.03%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD 2018-30A                      | MADISON PARK FUNDING LTD MDPK 2018 30A A 144A           | CUSIP: 55821TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     478485 | PA      | $473527.71    | 0.03%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MAGNETITE VIII CLO LTD 2014-8A                             | MAGNETITE CLO LTD MAGNE 2014 8A AR2 144A                | CUSIP: 55952YAP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     396026 | PA      | $389449.09    | 0.02%             | 2031-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                               | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A               | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1543612 | PA      | $1526866.58   | 0.10%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO II DAC 2A                                 | MAN GLG EURO CLO GLGE 2A A1R 144A                       | CUSIP: ACI1DJHC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     457310 | PA      | $478649.76    | 0.03%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO IV DAC 4A                                 | MAN GLG EURO CLO GLGE 4A A1 144A                        | CUSIP: ACI26HCW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     799193 | PA      | $835201.28    | 0.05%             | 2031-05-15      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO V LTD 2013-5A                                 | MARATHON CLO LTD MCLO 2013 5A A1R 144A                  | CUSIP: 56576QAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      25399 | PA      | $25426.47     | 0.00%             | 2027-11-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MARATHON STATIC CLO 2022-18A LTD                           | MARATHON STATIC CLO LTD MSTAT 2022 18A A1 144A          | CUSIP: 56586PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1291040.27   | 0.08%             | 2030-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40974 | PA      | $36952.80     | 0.00%             | 2034-11-21      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                      | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50044 | PA      | $46225.31     | 0.00%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-ASP1                              | ACE SECURITIES CORP. ACE 2007 ASP1 A2B                  | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349215 | PA      | $140727.75    | 0.01%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                     | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30549 | PA      | $28597.42     | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                    | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31211 | PA      | $29721.54     | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                        | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255606 | PA      | $78053.02     | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12908 | PA      | $2870.14      | 0.00%             | 2037-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   53861000 | PA      | $2553342.81   | 0.16%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                           | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $479993.40    | 0.03%             | 2036-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                           | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1577377.76   | 0.10%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO II 2013-2A                             | MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A               | CUSIP: 59863KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     721549 | PA      | $713218.54    | 0.05%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO VIII 2018-8A                           | MIDOCEAN CREDIT CLO MIDO 2018 8A A1R 144A               | CUSIP: 59801MAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $983085.81    | 0.06%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC CAPITAL INC                                  | MITSUBISHI HC CAPITAL SR UNSECURED 144A 09/23 3.96      | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $395524.00    | 0.03%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                         | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31643 | PA      | $29637.54     | 0.00%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-2                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 2 1A4          | CUSIP: 007034BN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70184 | PA      | $61203.78     | 0.00%             | 2036-05-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D            | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1645566 | PA      | $790354.39    | 0.05%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                       | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8343 | PA      | $2914.48      | 0.00%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109030 | PA      | $104110.06    | 0.01%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MP CLO VII LTD 2015-1A                                     | MP CLO VII, LTD MP7 2015 1A AR3 144A                    | CUSIP: 55320RAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1478200 | PA      | $1459722.12   | 0.09%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2100000 | PA      | $2100808.98   | 0.13%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1387255.67   | 0.09%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77785 | PA      | $74428.47     | 0.00%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-2                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 2 A2B         | CUSIP: 64360YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298191 | PA      | $1253036.95   | 0.08%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3854481 | PA      | $3599393.24   | 0.23%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                           | NEW ZEALAND GVT ILB BONDS REGS 09/25 2                  | CUSIP: ACI02MK69<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    5913846 | PA      | $3736632.53   | 0.24%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                           | NEW ZEALAND GVT ILB BONDS REGS 09/30 3                  | CUSIP: ACI06Z1N0<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    5137220 | PA      | $3423479.93   | 0.22%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                           | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M2                | CUSIP: 66987XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703487 | PA      | $689434.58    | 0.04%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A            | OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A    | CUSIP: ACI1WXMN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1765673.14   | 0.11%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2019-1A                                        | OAKTREE CLO LTD OAKCL 2019 1A A1R 144A                  | CUSIP: 67401XAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $586760.88    | 0.04%             | 2030-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO DAC 2017-2A                                   | OCP EURO CLO OCPE 2017 2A A 144A                        | CUSIP: ACI0YSL94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     790399 | PA      | $830504.67    | 0.05%             | 2032-01-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A                | OCTAGON INVESTMENT PARTNERS XX OCT21 2014 1A AAR3 144A  | CUSIP: 67590QBK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $786953.05    | 0.05%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENTS PARTNERS LTD 2018-18A                  | OCTAGON INVESTMENT PARTNERS LT OCT18 2018 18A A1A 144A  | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1183502.20   | 0.08%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23A LTD                                       | OSD CLO 2021 23 LTD OSD 2021 23A A 144A                 | CUSIP: 671026AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2092138 | PA      | $2058251.73   | 0.13%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| OZLM IX LTD 2014-9A                                        | OZLM LTD OZLM 2014 9A A1A3 144A                         | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $294121.58    | 0.02%             | 2031-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| OZLM VIII LTD 2014-8A                                      | OZLM LTD OZLM 2014 8A A1R3 144A                         | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     896562 | PA      | $883630.70    | 0.06%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| OZLM XI LTD 2015-11A                                       | OZLM LTD OZLM 2015 11A A1R 144A                         | CUSIP: 67109UAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     395675 | PA      | $390039.15    | 0.02%             | 2030-10-30      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                     | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $585479.69    | 0.04%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD 2018-2                               | PALMER SQUARE CLO LTD PLMRS 2018 2A A1A 144A            | CUSIP: 69688MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $789966.56    | 0.05%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 22-2A                  | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 2A A 144A     | CUSIP: ACI24FF23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1262008 | PA      | $1319565.03   | 0.08%             | 2031-10-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 22-3A                  | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 3A A 144A     | CUSIP: ACI28QN42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4700000 | PA      | $5013319.73   | 0.32%             | 2032-04-12      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-3                          | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A    | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1897543 | PA      | $1875690.29   | 0.12%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                          | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A    | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2698014 | PA      | $2658795.59   | 0.17%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                               | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490445 | PA      | $469496.58    | 0.03%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                        | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2457601 | PA      | $2406184.81   | 0.15%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                        | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M2             | CUSIP: 70069FKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58664 | PA      | $60496.99     | 0.00%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                            | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567404 | PA      | $466950.89    | 0.03%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                  | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1300000 | PA      | $314331.73    | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| ALME LOAN FUNDING III DAC 3A                               | ALME LOAN FUNDING LTD ALME 3A ARRE 144A                 | CUSIP: ACI26NDV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     797279 | PA      | $831256.57    | 0.05%             | 2032-04-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                 | STATE OF QATAR SR UNSECURED REGS 04/23 3.875            | CUSIP: ACI122SK2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     700000 | PA      | $697132.80    | 0.04%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RAD CLO LTD 2019-5A                                        | RAD CLO LTD RAD 2019 5A AR 144A                         | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4200000 | PA      | $4099081.14   | 0.26%             | 2032-07-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39620 | PA      | $29937.37     | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| REGATTA VIII FUNDING LTD 2017-1A                           | REGATTA VIII FUNDING LTD REGT8 2017 1A A 144A           | CUSIP: 75888KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $791254.56    | 0.05%             | 2030-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A            | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49242 | PA      | $45229.64     | 0.00%             | 2032-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694395 | PA      | $604804.30    | 0.04%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2153186 | PA      | $2053094.23   | 0.13%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440619 | PA      | $301240.21    | 0.02%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A5         | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209809 | PA      | $81145.09     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS7                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS7 M1         | CUSIP: 75406XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1293469 | PA      | $1252395.58   | 0.08%             | 2036-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10        | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125608 | PA      | $93590.45     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A                 | RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A           | CUSIP: ACI1PKR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1775714 | PA      | $2138946.35   | 0.14%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                     | ROMARK CLO LTD RMRK 2017 1A A1R 144A                    | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $785800.00    | 0.05%             | 2030-10-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO II LTD 2014-2A                                 | SARANAC CLO LTD SRANC 2014 2A A1AR 144A                 | CUSIP: 80317EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     434986 | PA      | $429765.66    | 0.03%             | 2029-11-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                    | SARANAC CLO LTD SRANC 2018 6A A1R 144A                  | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1400000 | PA      | $1356650.06   | 0.09%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                          | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4      | CUSIP: M6320UAH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    2270000 | PA      | $2242494.41   | 0.14%             | 2025-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                        | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465039 | PA      | $437413.70    | 0.03%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2722593 | PA      | $970868.37    | 0.06%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C        | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192996 | PA      | $80887.05     | 0.01%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1          | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266112 | PA      | $60981.72     | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                      | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A     | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $621873.67    | 0.04%             | 2032-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223561 | PA      | $191364.66    | 0.01%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                   | SEQUOIA MORTGAGE TRUST SEMT 5 A                         | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9866 | PA      | $9412.23      | 0.00%             | 2026-10-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-3A                             | SLM STUDENT LOAN TRUST SLMA 2004 3A A6B 144A            | CUSIP: 78442GLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2028159 | PA      | $1948872.75   | 0.12%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                              | SLM STUDENT LOAN TRUST SLMA 2008 9 A                    | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1517994 | PA      | $1504354.83   | 0.10%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                   | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     104534 | PA      | $103936.85    | 0.01%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                             | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1159462.72   | 0.07%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD 2016-3A                            | SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A              | CUSIP: 83609NAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1871085 | PA      | $1861507.96   | 0.12%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                             | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A              | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     373361 | PA      | $368724.58    | 0.02%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                               | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A              | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $493226.75    | 0.03%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                         | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $391435.75    | 0.02%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38959 | PA      | $11258.50     | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1434659 | PA      | $1036248.75   | 0.07%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3       | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     755833 | PA      | $682209.86    | 0.04%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY GAS CAPITAL CORPORATION                   | SOUTHERN CO GAS CAPITAL COMPANY GUAR 10/23 2.45         | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97853.79     | 0.01%             | 2023-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO 4A                                            | ST PAULS CLO SPAUL 4A ARR1 144A                         | CUSIP: ACI217GH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     598577 | PA      | $624007.15    | 0.04%             | 2030-04-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-2A LTD                                    | STRATUS CLO STRAS 2021 2A A 144A                        | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     444967 | PA      | $439842.01    | 0.03%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-3A LTD                                    | STRATUS CLO STRAS 2021 3A A 144A                        | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     905199 | PA      | $890301.16    | 0.06%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49265 | PA      | $40904.97     | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33516 | PA      | $31519.45     | 0.00%             | 2034-02-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43897 | PA      | $37440.57     | 0.00%             | 2035-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19331 | PA      | $18077.41     | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1        | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14635 | PA      | $14002.08     | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1         | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43528 | PA      | $38427.42     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40576 | PA      | $37684.84     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159347 | PA      | $142258.63    | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79993 | PA      | $68736.08     | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                         | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A       | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81773 | PA      | $79648.00     | 0.01%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                              | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                  | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      49140 | PA      | $49170.25     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 22 LTD 2018-22A                                   | AMERICAN MONEY MANAGEMENT CORP AMMC 2018 22A A 144A     | CUSIP: 00177HAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $689071.53    | 0.04%             | 2031-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XII LTD 2013-12A                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2013 12A AR2 144A   | CUSIP: 00176CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $788435.69    | 0.05%             | 2030-11-10      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| TCW CLO LTD 2018-1A                                        | TCW CLO TCW 2018 1A A1R 144A                            | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1083245.24   | 0.07%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2019-3 CLO LTD                       | WIND RIVER CLO LTD WINDR 2019 3A AR 144A                | CUSIP: 97314JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1557079.33   | 0.10%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-2                    | THORNBURG MORTGAGE SECURITIES TMST 2004 2 A1            | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2169057 | PA      | $1949146.35   | 0.12%             | 2044-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 5 DAC  5A                                | TORO EUROPEAN CLO TCLO 5A A 144A                        | CUSIP: ACI2773P0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     599675 | PA      | $628717.70    | 0.04%             | 2030-10-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 5 DAC  5A                                | TORO EUROPEAN CLO TCLO 5A ANV 144A                      | CUSIP: ACI1RL4C7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     799567 | PA      | $838290.27    | 0.05%             | 2030-10-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC            | TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A      | CUSIP: ACI19VH23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3104547 | PA      | $3731165.36   | 0.24%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 11 LTD 2019-11A                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2019 11A AR 144A        | CUSIP: 03330NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1076312.44   | 0.07%             | 2032-07-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                          | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A        | CUSIP: 03328QAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1199927 | PA      | $1183646.25   | 0.08%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TOYOTA TSUSHO CORPORATION                                  | TOYOTA TSUSHO CORP SR UNSECURED REGS 09/23 3.625        | CUSIP: ACI14XK12<br>LEI: 549300CEE2ENIUJNXB84 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $197762.00    | 0.01%             | 2023-09-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1465278.00   | 0.09%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VII LTD                                         | TRALEE CDO LTD TRAL 2021 7A A1 144A                     | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1370423.66   | 0.09%             | 2034-04-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                            | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A            | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133094 | PA      | $119390.87    | 0.01%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13800000 | PA      | $12124945.79  | 0.77%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4689862.20   | 0.30%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37700000 | PA      | $35379233.24  | 2.25%             | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2117909.16   | 0.13%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                              | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    8450000 | PA      | $8539432.94   | 0.54%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                        | UNITED KINGDOM I/L GILT BONDS REGS 03/24 0.125          | CUSIP: B85SFQII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   10434373 | PA      | $12824086.92  | 0.82%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                        | UNITED KINGDOM I/L GILT BONDS REGS 08/41 0.125          | CUSIP: BGDYHFII6<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4961346 | PA      | $5652987.62   | 0.36%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     263000 | PA      | $260555.02    | 0.02%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1998000 | PA      | $1984371.16   | 0.13%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/24 0.625                             | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5491831 | PA      | $5375703.49   | 0.34%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/25 0.25                              | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14343138 | PA      | $13760953.76  | 0.88%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/25 2.375                             | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49815419 | PA      | $49865246.28  | 3.17%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/26 0.625                             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27210255 | PA      | $26126393.34  | 1.66%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/26 2                                 | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26386307 | PA      | $26360762.24  | 1.68%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6538398 | PA      | $6167960.48   | 0.39%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/27 2.375                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     458090 | PA      | $467423.88    | 0.03%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86596833 | PA      | $81469978.80  | 5.19%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57491970 | PA      | $57479746.05  | 3.66%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63022680 | PA      | $60073867.08  | 3.82%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24675864 | PA      | $25741221.23  | 1.64%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39890474 | PA      | $35855397.34  | 2.28%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/31 0.125                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14847667 | PA      | $13196085.19  | 0.84%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65146818 | PA      | $57111188.62  | 3.64%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-27A                                        | APIDOS CLO APID 2017 27A A1R 144A                       | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1088223.48   | 0.07%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12160575 | PA      | $12882891.63  | 0.82%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/41 2.125                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8913240 | PA      | $9450170.73   | 0.60%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/42 0.75                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45037703 | PA      | $37736014.04  | 2.40%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8580579 | PA      | $6930418.93   | 0.44%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56951516 | PA      | $52944214.64  | 3.37%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59025324 | PA      | $47789837.41  | 3.04%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28652694 | PA      | $24362401.99  | 1.55%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24572922 | PA      | $20168828.38  | 1.28%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6558312 | PA      | $5526565.27   | 0.35%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11556327 | PA      | $7804157.18   | 0.50%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18828999 | PA      | $12144866.66  | 0.77%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6423060 | PA      | $4166221.52   | 0.27%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/23 0.625                             | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2355070 | PA      | $2331077.95   | 0.15%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/24 0.5                               | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26159960 | PA      | $25442022.46  | 1.62%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/25 0.125                             | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10048727 | PA      | $9578533.80   | 0.61%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/26 0.125                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18976711 | PA      | $17846044.40  | 1.14%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10343410 | PA      | $9643113.98   | 0.61%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/28 3.625                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46692128 | PA      | $50910252.53  | 3.24%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXVI LLC 2017-26A                               | APIDOS CLO APID 2017 26A A1AR 144A                      | CUSIP: 03766GAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2371734.74   | 0.15%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50916241 | PA      | $57240181.34  | 3.64%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2528408 | PA      | $2896272.49   | 0.18%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/23 0.375                             | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6320696 | PA      | $6245966.17   | 0.40%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/25 0.375                             | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9340531 | PA      | $8972686.77   | 0.57%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36277160 | PA      | $34194959.11  | 2.18%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8844350 | PA      | $8338865.14   | 0.53%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39402504 | PA      | $37552707.93  | 2.39%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66611777 | PA      | $61018856.82  | 3.88%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34287850 | PA      | $30722064.47  | 1.96%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67623325 | PA      | $59799802.83  | 3.81%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44923470 | PA      | $41183970.73  | 2.62%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/24 0.125                             | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29386203 | PA      | $28303865.06  | 1.80%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8613750 | PA      | $8188225.84   | 0.52%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40786570 | PA      | $38244015.98  | 2.43%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4929351 | PA      | $4925827.84   | 0.31%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1   | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4580164.10   | 0.29%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2013-4A                                    | VENTURE CDO LTD VENTR 2013 14A ARR 144A                 | CUSIP: 92328GBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1326114 | PA      | $1312562.96   | 0.08%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2014-17A                                   | VENTURE CDO LTD VENTR 2014 17A ARR 144A                 | CUSIP: 92329YAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     683428 | PA      | $682375.00    | 0.04%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                               | VENTURE XXI CLO VENTR 2015 21A AR 144A                  | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     116473 | PA      | $116719.37    | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIV CLO LTD 2016-24A                              | VENTURE CDO LTD VENTR 2016 24A ARR 144A                 | CUSIP: 92330WBJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     671030 | PA      | $662866.91    | 0.04%             | 2028-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                            | VENTURE CDO LTD VENTR 2017 28A A1R 144A                 | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $294722.04    | 0.02%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VII LTD                                        | VIBRANT CLO LTD VIBR 2017 7A A1R 144A                   | CUSIP: 92558BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     497990 | PA      | $490099.37    | 0.03%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                 | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1168356.07   | 0.07%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                 | VMWARE INC SR UNSECURED 08/27 3.9                       | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     190000 | PA      | $177630.94    | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2015-1A                                       | VOYA CLO LTD VOYA 2015 1A A1R 144A                      | CUSIP: 92914NAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1585643 | PA      | $1569285.24   | 0.10%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                       | VOYA CLO LTD VOYA 2017 1A A1R 144A                      | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     283557 | PA      | $280046.37    | 0.02%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2019-1A                                       | VOYA CLO LTD VOYA 2019 1A AR 144A                       | CUSIP: 92917NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492693.40    | 0.03%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                         | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A3         | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1151305 | PA      | $460686.61    | 0.03%             | 2037-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO VI BV 2013-6A                            | ARES EURO CLO ARESE 2013 6A ARR 144A                    | CUSIP: ACI248306<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1186032 | PA      | $1235337.98   | 0.08%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                 | ARES EUROPEAN CLO ARESE 10A AR 144A                     | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $311269.55    | 0.02%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5432 | PA      | $4930.63      | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| ARES L CLO LTD 2018-50A                                    | ARES CLO LTD ARES 2018 50A AR 144A                      | CUSIP: 04018LAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $684821.38    | 0.04%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 3A1       | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9016 | PA      | $7902.30      | 0.00%             | 2035-08-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45906 | PA      | $41566.79     | 0.00%             | 2035-12-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A         | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308796 | PA      | $251315.04    | 0.02%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                   | ARES CLO LTD ARES 2016 40A A1RR 144A                    | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     242368 | PA      | $239238.72    | 0.02%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41372 | PA      | $35722.34     | 0.00%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30222 | PA      | $26429.68     | 0.00%             | 2046-12-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A      | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208958 | PA      | $189531.38    | 0.01%             | 2047-01-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47068 | PA      | $41425.96     | 0.00%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157344 | PA      | $124762.25    | 0.01%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2015-1                                   | WELLFLEET CLO LTD WELF 2015 1A AR4 144A                 | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     509690 | PA      | $503101.48    | 0.03%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                              | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473175 | PA      | $423697.98    | 0.03%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                              | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115100 | PA      | $29119.29     | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    2781000 | PA      | $2781000.00   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -46 | NC      | $204592.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -14 | NC      | $13515.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $12573.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4824.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2091.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1802.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $5142.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6477.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-768.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $915.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-13118.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-78316.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD PEN BOUGHT USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-935.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-78181.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 3MO EURO EURIBOR  MAR23 IFLL 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        681 | NC      | $-5982662.26  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -95 | NC      | $903982.07    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4605.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -116 | NC      | $469155.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        133 | NC      | $-1221316.16  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -14 | NC      | $169674.77    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-SCHATZ FUT   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -2231 | NC      | $3110089.99   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -16 | NC      | $12830.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RXG3P 138.5 FEB23 138.5 PUT FSO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -16 | NC      | $-82053.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | GOLD 100 OZ FUTR  FEB23 XCEC 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -56 | NC      | $-297628.61   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2017-8A                         | ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A         | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1142800 | PA      | $1130676.91   | 0.07%             | 2030-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-95771.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-10A                        | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 10A A 144A        | CUSIP: 04942JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     491101 | PA      | $481771.78    | 0.03%             | 2031-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $35266.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $10753.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6893.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2654.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3930.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $36154.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM XII 12A                                             | ATRIUM CDO CORP ATRM 12A AR 144A                        | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2425816 | PA      | $2401317.95   | 0.15%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2546655.65  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-231981.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317515FG4 INF CAP US APR24 4.0 CALL                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -31900000 | NC      | $-102.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -8600000 | NC      | $-323935.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -365 | NC      | $3161049.34   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -226 | NC      | $359202.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315             | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -2000000 | NC      | $-381.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -72 | NC      | $1469287.11   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                             | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/25 3         | CUSIP: B4RNSXII1<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   12333100 | PA      | $8862090.92   | 0.56%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-36205.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-110330.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-557003.45   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-453980.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1409.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     120000 | PA      | $96092.19     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $965.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230109                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1237.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1567.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1340.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1034.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $272.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PEN SOLD USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $155.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5726.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $12288.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-136631.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BABSON CLO LTD 2016-2A                                     | BARINGS CLO LTD. 2016 II BABSN 2016 2A AR2 144A         | CUSIP: 06761CAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2072254.38   | 0.13%             | 2032-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0BEA1 PIMCO SWAPTION 2.2 CALL USD 20230531          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   19700000 | NC      | $23559.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0BFA0 PIMCO SWAPTION 2.2 CALL USD 20230531          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   31100000 | NC      | $37192.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0BGA9 PIMCO SWAPTION 2.35 CALL USD 2023053          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10900000 | NC      | $-32200.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0BHA8 PIMCO SWAPTION 2.35 CALL USD 2023053          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17100000 | NC      | $-50516.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0DXA6 PIMCO SWAPTION 2.2 CALL USD 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   18000000 | NC      | $10985.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U0DYA5 PIMCO SWAPTION 2.35 CALL USD 2023042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9900000 | NC      | $-16747.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-6763.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-189484.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-10258.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer