# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000159
**Filing Date:** 2023-3
**Character Count:** 293500
**Document Hash:** 50f8182ae46eb22349abcca1e2cbbf0a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000159.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000159

**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:** 23688703

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

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

## Series and Classes Contracts Data

### PIMCO Global Core Bond (Hedged) Portfolio (Series ID: S000031688)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000098620 | Administrative | PGASADM         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Core Bond (Hedged) Portfolio

- **b. EDGAR series identifier (if any):** S000031688

- **c. LEI of Series:** UC4Z8SQC322PZJGHCE49

**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:** $161514959.08

**Total Liabilities:** $62953518.63

**Net Assets:** $98561440.45

**Cash Not Reported:** $3617686.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 558.239300 | **1-Year:** 1191.896000 | **5-Year:** 21881.663700 | **10-Year:** 21615.565100 | **30-Year:** -2179.430200

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

- **3-Month:** 215.898400 | **1-Year:** 690.173500 | **5-Year:** 1249.155700 | **10-Year:** 229.673500 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098620 | -0.26%               | 2.71%                | -0.87%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1513975.59             | $528566.25                                 |
| Month 2  | $-809616.31              | $5758590.96                                |
| Month 3  | $533009.07               | $265170.46                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global-Aggregate Total Return Hedged Index

- **Index Identifier:** LEGATRUH

### 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        |    -300000 | NC      | $-9843.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QJA2 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-335.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QKA0 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-12.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QLA9 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-671.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QMA8 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-24.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1S7A1 PIMCO SWAPTION 3.5 PUT USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1210.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1S8A0 PIMCO SWAPTION 3.0 CALL USD 20230119          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-38.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1781.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-148.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-6024.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-1265.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-15411.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-0.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-7752.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U458O7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-3117.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U459O6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1179.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-265.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-585.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2203.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2270.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-560.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U749I9 PIMCO SWAPTION 2.31 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4100000 | NC      | $-67769.31    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U750I5 PIMCO SWAPTION 2.18 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $52989.15     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+29 AZD                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1328.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+42 CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1197.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+42.25 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1453.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-33633.41    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.75000 03/15/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $26562.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-7336.24     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-4831.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-77236.75    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.22000 03/03/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-95681.06    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.25000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-53414.35    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.50000 06/17/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-288087.02   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.50000 06/17/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-24870.73    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.71250 10/02/19-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-27598.29    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 2.50000 01/28/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-15998.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 2.56485 03/07/19-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-30392.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 3.02750 03/25/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-8666.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 2.50000 12/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-8881.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-12399.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.00000 03/17/21-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $36997.87     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.05400 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $21915.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $53456.49     | 0.05%             |  |  |  | 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      | $-4664.34     | -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      | $-32523.19    | -0.03%            |  |  |  | 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      | $-22047.43    | -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      | $-21127.04    | -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      | $-37067.23    | -0.04%            |  |  |  | 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      | $-18537.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.50000 03/15/23-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-94162.70    | -0.10%            |  |  |  | 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      | $307934.75    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.50000 03/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-873252.40   | -0.89%            |  |  |  | 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      | $-1535166.72  | -1.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-71355.36    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2580.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1703.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.00000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-2720.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.00000 09/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-42185.96    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.25000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-1522.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-5                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3          | CUSIP: 059523AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53961 | PA      | $42299.14     | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.87000 07/13/20-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-19179.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1           | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57949 | PA      | $45439.40     | 0.05%             | 2047-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.25000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $3671.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $1787.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y NGF                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $3575.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y SCX                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $2681.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $3839.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 09/21/22-5Y GLM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $767.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 09/21/22-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $1535.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.75000 09/21/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $4854.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 4.00000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $-6738.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.00000 11/01/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-41506.60    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.00000 12/15/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-44832.88    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.75000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-20569.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 4.00000 06/14/23-1Y (RED) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-74879.22    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $95163.17     | 0.10%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS SEK 1.00000 06/19/19-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-13092.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.00000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-3297.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.50000 09/21/22-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $255.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.75000 09/21/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $4319.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $181.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $17734.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $3981.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.25000 06/16/21-2Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-135116.16   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625  | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $97138.15     | 0.10%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.24900 08/31/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $75440.95     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 12/15/21-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $245584.05    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.29800 08/25/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $60328.19     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.50000 12/15/21-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-118246.39   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.51800 01/20/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26369.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.63000 01/20/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-75212.22    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.63000 01/26/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12526.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 12/15/21-30Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-251483.91   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+7 03/07/22-24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $596.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+7.25 04/27/22-23 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26378.94     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+10.2 10/04/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1061.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+10.5 09/27/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $163.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+8.8 09/06/22-24 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1373.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS ZAR 7.25000 06/20/18-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $-192.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/5.75000 03/16/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $48448.53     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 03/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $3836.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 09/21/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-14791.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-6222.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.50000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $1162.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.50000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-2091.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.75000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $8691.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/7.00000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-11823.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.50000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-11043.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.75000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-12557.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.75000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-23166.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/3.00000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-2871.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/3.25000 12/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $83.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 1.75000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $1247.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-772.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y GST                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-3522.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y NGF                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-412.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-4612.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $207.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-966.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-362.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 12/21/22-5Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-634.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-18314.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-18034.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.00000 11/23/22-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-99863.45    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/0.01000 02/07/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-71600.55    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-562139.09   | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-63331.79    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-77974.96    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.50000 03/15/23-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $31778.78     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-95762.58    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $113445.52    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.0000 08/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $26628.88     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.00000 12/15/21-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-16378.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.0500 12/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-100783.05   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.4500 12/15/21-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $32902.78     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.7000 03/15/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $11464.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $48843.08     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $259974.11    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-225225.27   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 12/15/21-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $105985.80    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 12/15/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10602.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.25000 12/15/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39028.36    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-45346.94    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.69500 06/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-389839.91   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-47994.26    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $231979.64    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $669449.30    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $114091.74    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-59791.60    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.93600 03/25/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-67801.73    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.17500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-41958.14    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.40000 06/21/22-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56850.08    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.74966 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31828.17     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81711 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $34369.34     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81811 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29424.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81856 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29408.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.88642 09/30/22-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49845.21    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $448800.68    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.05000 09/08/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3606.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.10000 09/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9896.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.45389 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7728.98     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89765 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10085.81     | 0.01%             |  |  |  | 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      | $154.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-279686.90   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-490463.73   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-242748.88   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $21.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $13687.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 02/28 VAR             | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     200000 | PA      | $177918.49    | 0.18%             | 2028-02-04      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -19 | NC      | $143580.49    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         38 | NC      | $-16380.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -61 | NC      | $42306.39     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        102 | NC      | $-15673.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          8 | NC      | $113.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC JR SUBORDINA 12/99 VAR                     | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $391520.00    | 0.40%             | 2023-09-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/29 VAR                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $376375.62    | 0.38%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291008.95    | 0.30%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                       | BCAP LLC TRUST BCAP 2007 AA2 12A1                       | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79936 | PA      | $71983.80     | 0.07%             | 2047-05-25      | Floating      | 4.81%                 | 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        |     249881 | PA      | $260212.59    | 0.26%             | 2031-01-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 04/32 VAR                 | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $235295.65    | 0.24%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/24 1.433                      | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95872.76     | 0.10%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/31 2.45               | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78995.41     | 0.08%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/34 3.469              | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80070.14     | 0.08%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     100000 | PA      | $73832.19     | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BRSP 2021-FL1 LTD                                                             | BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A           | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $386374.44    | 0.39%             | 2038-08-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                 | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A               | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $382180.20    | 0.39%             | 2036-09-15      | Floating      | 5.57%                 | 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        |     250000 | PA      | $261965.56    | 0.27%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     133051 | PA      | $102322.87    | 0.10%             | 2044-12-01      | Fixed         | 1.50%                 | 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        |     395477 | PA      | $391195.05    | 0.40%             | 2030-08-14      | Floating      | 5.60%                 | 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        |     400000 | PA      | $393622.46    | 0.40%             | 2031-04-20      | Floating      | 5.24%                 | 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        |     298469 | PA      | $294207.49    | 0.30%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 10/35 6.384         | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $195658.28    | 0.20%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12M3       | CUSIP: 161630CA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30766 | PA      | $28094.52     | 0.03%             | 2037-03-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5443 | PA      | $4535.45      | 0.00%             | 2037-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/26 VAR                    | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     300000 | PA      | $285413.55    | 0.29%             | 2026-03-17      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A  | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527076 | PA      | $425622.90    | 0.43%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV2 A3A 144A  | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173337 | PA      | $139972.43    | 0.14%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A       | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38698 | PA      | $32357.78     | 0.03%             | 2037-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4          | CUSIP: 17307GXW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465989 | PA      | $427319.40    | 0.43%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/27 3.65   | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93369.50     | 0.09%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42904 | PA      | $38738.34     | 0.04%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3           | CUSIP: 23245CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44893 | PA      | $44000.08     | 0.04%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-1                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 1 MV7           | CUSIP: 126673XD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $671480.11    | 0.68%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF6           | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3946 | PA      | $3718.25      | 0.00%             | 2036-07-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J4                                                | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A5                  | CUSIP: 12669YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34206 | PA      | $13369.20     | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTY OF FRESNO CA                                                           | FRESNO CNTY CA PENSN OBLG FREGEN 08/24 ZEROCPNOID 0     | CUSIP: 358266CB8<br>LEI: 549300JJ6NWR5CVGI705 | Long             | DBT              | MUN               | US        |     100000 | PA      | $92110.43     | 0.09%             | 2024-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                               | CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5            | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $194141.20    | 0.20%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR            | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $215750.24    | 0.22%             | 2026-08-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 01/28 4.282    | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $207587.61    | 0.21%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR      | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $194554.09    | 0.20%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR      | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $219973.50    | 0.22%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3        | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224242 | PA      | $85888.31     | 0.09%             | 2037-03-25      | Variable      | 5.73%                 | 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        |     361268 | PA      | $356752.60    | 0.36%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A      | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $195284.70    | 0.20%             | 2037-10-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85616 | PA      | $69136.70     | 0.07%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                            | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $259887.13    | 0.26%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A4         | CUSIP: 251510MM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50491 | PA      | $45588.06     | 0.05%             | 2036-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1         | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158437 | PA      | $93842.40     | 0.10%             | 2047-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 01/28 VAR                 | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $127703.44    | 0.13%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/24 VAR                 | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $193219.62    | 0.20%             | 2024-09-18      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR                 | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     150000 | PA      | $120577.97    | 0.12%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 11/25 VAR                 | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $191255.67    | 0.19%             | 2025-11-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                 | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $147042.87    | 0.15%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625          | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $189092.33    | 0.19%             | 2027-01-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 02/26 2.625          | CUSIP: ACI183TV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $202270.21    | 0.21%             | 2026-02-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 02/32 VAR            | CUSIP: BMZ5K5II0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $234405.32    | 0.24%             | 2032-02-17      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 11/30 VAR            | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $84306.14     | 0.09%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LOCAL SA                                                         | DEXIA CREDIT LOCAL GOVT LIQUID  144A 10/24 1.625        | CUSIP: 25214BAY0<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | NUSS              | FR        |     250000 | PA      | $236815.00    | 0.24%             | 2024-10-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DOMI 2020-2 BV 20-2                                                           | DOMIVEST B.V. DOMI 2020 2 A REGS                        | CUSIP: ACI1S7BZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     337180 | PA      | $358176.60    | 0.36%             | 2052-11-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| DRYDEN 61 CLO LTD 2018-61A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2018 61A A1R 144A         | CUSIP: 26251CAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $294749.55    | 0.30%             | 2032-01-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| DUTCH PROPERTY FINANCE 2021-1 BV 21-1                                         | DUTCH PROPERTY FINANCE DPF 2021 1 A REGS                | CUSIP: ACI1VW6X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     468348 | PA      | $494962.56    | 0.50%             | 2058-07-28      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/28 1.875      | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $238796.53    | 0.24%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                   | EUROSAIL PLC ESAIL 2007 4X A3 REGS                      | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     316002 | PA      | $375536.13    | 0.38%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390477 | PA      | $379807.19    | 0.39%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75     | CUSIP: BD9MMZII4<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $93680.48     | 0.10%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                            | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3526 | PA      | $3468.22      | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR          | CUSIP: 31300MNY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137546 | PA      | $139827.01    | 0.14%             | 2037-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08692 FG 02/46 FIXED 3               | CUSIP: 3128MJXW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202151 | PA      | $181783.31    | 0.18%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08788 FG 11/47 FIXED 3.5             | CUSIP: 3128MJ2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97193 | PA      | $90275.08     | 0.09%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08808 FG 04/48 FIXED 3.5             | CUSIP: 3128MJ3S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80756 | PA      | $74965.71     | 0.08%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384466 | PA      | $326586.56    | 0.33%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23928 | PA      | $22480.95     | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1         | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48997 | PA      | $47463.31     | 0.05%             | 2034-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |      71764 | PA      | $687933.77    | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     448105 | PA      | $4353783.71   | 4.42%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95888 | PA      | $88087.41     | 0.09%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34967 | PA      | $32438.55     | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BR1297 FN 02/51 FIXED 2.5                     | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80028 | PA      | $68072.27     | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143694 | PA      | $127344.45    | 0.13%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63827 | PA      | $60418.58     | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25339 | PA      | $24394.18     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63290 | PA      | $58242.41     | 0.06%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72356 | PA      | $66633.99     | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/24 3.021       | CUSIP: 34540UAC3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $210343.33    | 0.21%             | 2024-03-06      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/24 5.584       | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197810.00    | 0.20%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 2.33        | CUSIP: BL4KJTII3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98790.93     | 0.10%             | 2025-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5              | CUSIP: ACI1V7HH8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     100000 | PA      | $39917.60     | 0.04%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 05/45 3.25                  | CUSIP: ACI05M6Y1<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     200000 | PA      | $211204.18    | 0.21%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 05/52 0.75                  | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1100000 | PA      | $621831.37    | 0.63%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) UNSECURED 144A REGS 05/48 2            | CUSIP: ACI0V7KW3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     600000 | PA      | $496489.84    | 0.50%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69947 | PA      | $69998.75     | 0.07%             | 2038-01-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69947 | PA      | $2614.22      | 0.00%             | 2038-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     150000 | PA      | $132240.12    | 0.13%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                          | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     380084 | PA      | $318579.30    | 0.32%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/34 FIXED 2.746 | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $160900.62    | 0.16%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 01/25 VAR          | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197091.14    | 0.20%             | 2025-01-24      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 05/29 VAR          | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     300000 | PA      | $280031.17    | 0.28%             | 2029-05-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H19                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H19 FA          | CUSIP: 38376RZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332845 | PA      | $329441.27    | 0.33%             | 2066-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H23 PT          | CUSIP: 38376RC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261132 | PA      | $265234.45    | 0.27%             | 2066-09-20      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1         | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42460 | PA      | $30627.02     | 0.03%             | 2045-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A2 144A    | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175100 | PA      | $141396.75    | 0.14%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A    | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268473 | PA      | $216796.66    | 0.22%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88356 | PA      | $71349.05     | 0.07%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577084 | PA      | $482315.99    | 0.49%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-8                                                 | GSAA HOME EQUITY TRUST GSAA 2007 8 A3                   | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10574 | PA      | $10208.57     | 0.01%             | 2037-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL UK PLC                                        | GSK CONSUMER HEALTHCARE COMPANY GUAR 03/25 3.125        | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $285549.32    | 0.29%             | 2025-03-24      | Fixed         | 3.12%                 | 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        |     250000 | PA      | $258443.19    | 0.26%             | 2031-07-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/32 VAR                | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $310395.54    | 0.31%             | 2032-05-24      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 11/27 VAR                | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $346941.48    | 0.35%             | 2027-11-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000            | CUSIP: ACI2BMD22<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |  138000000 | PA      | $369975.67    | 0.38%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000            | CUSIP: ACI2BTZ49<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |  157000000 | PA      | $420914.35    | 0.43%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                      | HYATT HOTELS CORP SR UNSECURED 10/23 1.3                | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97234.79     | 0.10%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218884 | PA      | $144773.21    | 0.15%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL FIXED BOND BONDS 03/27 2                         | CUSIP: ACI0RRBN4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $108063.20    | 0.11%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL FIXED BOND BONDS 07/23 0.15                      | CUSIP: ACI1Q01H6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     800000 | PA      | $223253.07    | 0.23%             | 2023-07-31      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL FIXED BOND BONDS 11/23 1.5                       | CUSIP: ACI164743<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     900000 | PA      | $251597.70    | 0.26%             | 2023-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 02/23 0.00000                   | CUSIP: ACI25P422<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    4113000 | PA      | $1165842.91   | 1.18%             | 2023-02-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 04/23 0.00000                   | CUSIP: ACI254262<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |     700000 | PA      | $197273.33    | 0.20%             | 2023-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 05/23 0.00000                   | CUSIP: ACI25PW54<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    2700000 | PA      | $759130.63    | 0.77%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8             | CUSIP: ACI1M29S4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $157311.60    | 0.16%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     300000 | PA      | $366345.04    | 0.37%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2021-INV5                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV5 A2 144A        | CUSIP: 46653XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262668 | PA      | $220163.18    | 0.22%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 03/36 0.4                   | CUSIP: ACI0LF3T2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  190000000 | PA      | $1361488.11   | 1.38%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  180000000 | PA      | $1074129.84   | 1.09%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   11000000 | PA      | $67352.79     | 0.07%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  104000000 | PA      | $656807.07    | 0.67%             | 2048-12-20      | Fixed         | 0.70%                 | 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        |   94338900 | PA      | $743626.88    | 0.75%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28TDC9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   60000000 | PA      | $457182.26    | 0.46%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  420000000 | PA      | $3200359.03   | 3.25%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  430000000 | PA      | $3276643.25   | 3.32%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI298TG8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  650000000 | PA      | $4953243.68   | 5.03%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI29DFN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  270000000 | PA      | $2057577.34   | 2.09%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI2B8F47<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  200000000 | PA      | $1524353.86   | 1.55%             | 2023-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000            | CUSIP: ACI2BP2X9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  130000000 | PA      | $990917.17    | 1.01%             | 2023-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000            | CUSIP: ACI2BRKD9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  610000000 | PA      | $4649850.96   | 4.72%             | 2023-03-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                     | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4               | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      86913 | PA      | $77506.65     | 0.08%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7        | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7219 | PA      | $6750.75      | 0.01%             | 2036-12-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/26 VAR              | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94095.98     | 0.10%             | 2026-02-24      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/26 VAR              | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291540.93    | 0.30%             | 2026-04-26      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 07/33 VAR              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95510.66     | 0.10%             | 2033-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR              | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     300000 | PA      | $252216.25    | 0.26%             | 2030-10-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                                 | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $392961.98    | 0.40%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                              | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A          | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266495 | PA      | $215199.74    | 0.22%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     983877 | PA      | $824665.94    | 0.84%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614996 | PA      | $515477.48    | 0.52%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600495 | PA      | $503323.09    | 0.51%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553418 | PA      | $463863.59    | 0.47%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2014-XI BV 14-11A                                                 | JUBILEE CDO BV JUBIL 2014 11A ARR 144A                  | CUSIP: ACI1W2T93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $261607.18    | 0.27%             | 2030-04-15      | Floating      | 1.99%                 | 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        |     249139 | PA      | $261690.53    | 0.27%             | 2029-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| JUBILEE PLACE 2020-1 BV                                                       | JUBILEE PLACE JPMF 2020 1 A REGS                        | CUSIP: ACI1SYDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     295768 | PA      | $314111.35    | 0.32%             | 2057-10-17      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |     951166 | PA      | $95231.61     | 0.10%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1.5                  | CUSIP: BD9H2PII9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    4134463 | PA      | $438562.06    | 0.44%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                             | KINDER MORGAN INC COMPANY GUAR 01/32 7.75               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     100000 | PA      | $112753.59    | 0.11%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                             | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     100000 | PA      | $61623.75     | 0.06%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| LANDWIRTSCHAFTLICHE RENTENBANK                                                | LANDWIRTSCH. RENTENBANK GOVT GUARANT 01/23 4.25         | CUSIP: ACI04QSX1<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | NUSS              | DE        |     100000 | PA      | $68127.56     | 0.07%             | 2023-01-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL2 TRUST                                                           | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A     | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $388123.40    | 0.39%             | 2038-12-13      | Floating      | 5.52%                 | 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        |     210995 | PA      | $208717.43    | 0.21%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XX LP 20A                                                                 | LCM LTD PARTNERSHIP LCM 20A AR 144A                     | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      85166 | PA      | $84773.42     | 0.09%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LMREC 2021-CRE4 LLC                                                           | LATITUDE MANAGEMENT REAL ESTAT LMREC 2021 CRE4 A 144A   | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      90518 | PA      | $89671.07     | 0.09%             | 2037-04-22      | Floating      | 5.44%                 | 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        |     300000 | PA      | $290967.60    | 0.30%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                        | CENTURYLINK INC 2020 TERM LOAN B                        | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |      74807 | PA      | $71180.22     | 0.07%             | 2027-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                            | M360 2018 CRE1, LTD. M360 2021 CRE3 A 144A              | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $295551.00    | 0.30%             | 2038-11-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 03/23 3.48                    | CUSIP: ACI05FPC3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1900000 | PA      | $431756.98    | 0.44%             | 2023-03-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA INVESTMNT ISSUE BONDS 10/28 4.369              | CUSIP: ACI12HLK6<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1000000 | PA      | $231303.81    | 0.23%             | 2028-10-31      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO IX LTD 2017-9A                                                   | MARATHON CLO LTD MCLO 2017 9A A1AR 144A                 | CUSIP: 56577PAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     136590 | PA      | $135737.37    | 0.14%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MARKS AND SPENCER PLC                                                         | MARKS + SPENCER PLC SR UNSECURED REGS 12/23 4.25        | CUSIP: ACI0R7MT3<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $119206.47    | 0.12%             | 2023-12-08      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                            | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3          | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154903 | PA      | $145928.59    | 0.15%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MBRT 2019-MBR                                                                 | MBRT 2019 MBR MBRT 2019 MBR A 144A                      | CUSIP: 55282DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $294255.09    | 0.30%             | 2036-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MERLIN PROPERTIES SOCIMI SA                                                   | MERLIN PROPERTIES SOCIMI SR UNSECURED REGS 04/23 2.225  | CUSIP: BZBXG0II2<br>LEI: 959800L8KD863DP30X04 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $426915.81    | 0.43%             | 2023-04-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1         | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112030 | PA      | $61529.31     | 0.06%             | 2036-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A      | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      47065 | PA      | $45938.49     | 0.05%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR           | CUSIP: 60687YAS8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $295258.03    | 0.30%             | 2024-09-11      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 02/26 VAR                   | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187956.31    | 0.19%             | 2026-02-18      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D            | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471624 | PA      | $234231.37    | 0.24%             | 2036-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 4A1         | CUSIP: 61749CAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71700 | PA      | $42191.93     | 0.04%             | 2036-05-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 2A1         | CUSIP: 61748HLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44847 | PA      | $16614.41     | 0.02%             | 2035-09-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A18        | CUSIP: 61751MAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11672 | PA      | $10102.10     | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                                 | MPT OPER PARTNERSP/FINL COMPANY GUAR 12/23 2.55         | CUSIP: ACI1H1MY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $230184.10    | 0.23%             | 2023-12-05      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $264114.46    | 0.27%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $296814.08    | 0.30%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                           | NATWEST MARKETS PLC SR UNSECURED REGS 05/24 1           | CUSIP: ACI1C3V82<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $103287.64    | 0.10%             | 2024-05-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HM EQUITY LN TR 2001-NC1                                          | NEW CENTURY HOME EQUITY LOAN T NCHET 2001 NC1 M3        | CUSIP: 64352VCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271160 | PA      | $233260.62    | 0.24%             | 2031-06-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/24 1.65        | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     200000 | PA      | $184614.54    | 0.19%             | 2024-10-29      | Fixed         | 1.65%                 | 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        |     152151 | PA      | $142081.31    | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103776 | PA      | $95074.09     | 0.10%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GOVERNMENT BONDS 05/31 1.5                  | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     200000 | PA      | $101116.36    | 0.10%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     300000 | PA      | $250813.62    | 0.25%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522           | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $185975.42    | 0.19%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $181663.33    | 0.18%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $170172.94    | 0.17%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2           | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $271232.43    | 0.28%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4182674 | PA      | $418941.73    | 0.43%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     200000 | PA      | $19915.93     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     878386 | PA      | $97574.79     | 0.10%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                 | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      79520 | PA      | $68080.55     | 0.07%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1425052 | PA      | $143096.03    | 0.15%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    2825941 | PA      | $299842.32    | 0.30%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: BDDX39II4<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.11         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.26         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    4960770 | PA      | $521013.68    | 0.53%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                       | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A      | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $272824.53    | 0.28%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                                   | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72     | CUSIP: G6711KAD7<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |     884750 | PA      | $236670.63    | 0.24%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                           | ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     101383 | PA      | $248.39       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                      | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279514 | PA      | $234283.51    | 0.24%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                       | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1       | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46212 | PA      | $41316.32     | 0.04%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/26 1.65                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89636.95     | 0.09%             | 2026-03-25      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/31 2.875                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83158.42     | 0.08%             | 2031-03-25      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/41 3.65                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $74196.05     | 0.08%             | 2041-03-25      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| ALBA PLC/LONDON 2005-1                                                        | ALBA PLC ALBA 2005 1 A3 REGS                            | CUSIP: B0Q41VII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     226479 | PA      | $260218.37    | 0.26%             | 2042-11-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORG SR SECURED REGS 04/28 2.875            | CUSIP: ACI1X1236<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $94064.04     | 0.10%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95          | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91762.90     | 0.09%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2           | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89495.78     | 0.09%             | 2029-03-01      | Fixed         | 4.20%                 | 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        |     303607 | PA      | $300110.33    | 0.30%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                 | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/25 3.95   | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $289222.76    | 0.29%             | 2025-03-10      | Fixed         | 3.95%                 | 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        |     400000 | PA      | $96717.46     | 0.10%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35           | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     800000 | PA      | $200493.58    | 0.20%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     500000 | PA      | $124414.30    | 0.13%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: 715638CE0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $24179.36     | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: P78024AE9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     400000 | PA      | $96717.46     | 0.10%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35           | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     900000 | PA      | $225555.28    | 0.23%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 01/32 2.48       | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     500000 | PA      | $414552.38    | 0.42%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-2                                         | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 2 3A1         | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22811 | PA      | $19433.84     | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                      | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A        | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264222 | PA      | $213364.36    | 0.22%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243789 | PA      | $218486.45    | 0.22%             | 2051-09-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                   | PRIME MORTGAGE TRUST PRIME 2006 1 2A7                   | CUSIP: 74161BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2076 | PA      | $2017.43      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                              | PRINCIPAL LFE GLB FND II SECURED 144A 01/25 1.375       | CUSIP: 74256LET2<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92603.95     | 0.09%             | 2025-01-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                            | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR  | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     340000 | PA      | $1111.44      | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST 2020-FL4                                   | READYCAP COMMERCIAL MORTGAGE T RCMT 2020 FL4 A 144A     | CUSIP: 75575JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82537 | PA      | $80642.68     | 0.08%             | 2035-02-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A1 144A    | CUSIP: 75585RQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      50126 | PA      | $36726.79     | 0.04%             | 2053-08-12      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    1546942 | PA      | $164269.64    | 0.17%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.12         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363086 | PA      | $118452.87    | 0.12%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54946 | PA      | $44435.29     | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A1         | CUSIP: 74922PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1304 | PA      | $2999.52      | 0.00%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                          | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 2A3         | CUSIP: 762009BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21486 | PA      | $15916.85     | 0.02%             | 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        |     131534 | PA      | $158440.47    | 0.16%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                           | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25        | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     128714 | PA      | $130653.20    | 0.13%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                       | RIPON MORTGAGES PLC RIPON 1RA A 144A                    | CUSIP: ACI23KYX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     861145 | PA      | $1021769.85   | 1.04%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                 | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS            | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     181477 | PA      | $201147.77    | 0.20%             | 2044-06-12      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/28 2.125                   | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $89608.68     | 0.09%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      50000 | PA      | $34426.27     | 0.03%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      50000 | PA      | $30182.10     | 0.03%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $60203.14     | 0.06%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $149595.03    | 0.15%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/29 1.375                      | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      90000 | PA      | $70341.96     | 0.07%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED REGS 04/41 2.75                       | CUSIP: ACI1X0DF9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $60364.22     | 0.06%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LIMITED                                                       | SA GLOBAL SUKUK LTD SR UNSECURED 144A 06/31 2.694       | CUSIP: 78397PAD3<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $342638.40    | 0.35%             | 2031-06-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.9                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $187532.60    | 0.19%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR         | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $590118.64    | 0.60%             | 2024-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |     200000 | PA      | $208132.80    | 0.21%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)                                        | IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6            | CUSIP: 44963BAE8<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $175905.03    | 0.18%             | 2027-05-15      | Fixed         | 6.00%                 | 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        |     300000 | PA      | $310936.84    | 0.32%             | 2032-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 03/33 1.65         | CUSIP: ACI1W3XG0<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     100000 | PA      | $65301.30     | 0.07%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     100000 | PA      | $77203.17     | 0.08%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SILVERSTONE MASTER ISSUER PLC 19-1A                                           | SILVERSTONE MASTER ISSUER SMI 2019 1A 2A 144A           | CUSIP: ACI1BCW41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      96000 | PA      | $116267.19    | 0.12%             | 2070-01-21      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98084 | PA      | $86607.39     | 0.09%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      49042 | PA      | $47535.99     | 0.05%             | 2053-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     272099 | PA      | $264085.78    | 0.27%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/26 VAR            | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $184088.44    | 0.19%             | 2026-01-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/28 VAR            | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $175253.21    | 0.18%             | 2028-01-19      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                               | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A               | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246250.00    | 0.25%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                                                  | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A              | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $295936.05    | 0.30%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 03/28 5.5                     | CUSIP: B2QK2VII4<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  150000000 | PA      | $130171.64    | 0.13%             | 2028-03-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/27 2.125                   | CUSIP: BD6K2YII6<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  125000000 | PA      | $92327.90     | 0.09%             | 2027-06-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  250000000 | PA      | $186976.64    | 0.19%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/27 2.375                   | CUSIP: ACI0Z91H9<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  150000000 | PA      | $111284.99    | 0.11%             | 2027-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1298600000 | PA      | $953975.96    | 0.97%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 VAR              | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99853.75     | 0.10%             | 2023-04-03      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3 | CUSIP: BYZK81II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     500000 | PA      | $473374.76    | 0.48%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1 | CUSIP: BLH1ZLII0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      75000 | PA      | $36835.72     | 0.04%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 08/29 3.8              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181867.86    | 0.18%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC 01/28 1                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $173738.29    | 0.18%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 06/32 VAR      | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $302591.42    | 0.31%             | 2032-06-29      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR      | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $182806.35    | 0.19%             | 2025-11-23      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $193915.48    | 0.20%             | 2038-04-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                                               | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A       | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     218790 | PA      | $262257.42    | 0.27%             | 2060-07-20      | Floating      | 3.75%                 | 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        |     543119 | PA      | $534180.69    | 0.54%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3           | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232325 | PA      | $223952.95    | 0.23%             | 2034-10-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35304 | PA      | $33815.90     | 0.03%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                         | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS A 144A     | CUSIP: 78486DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $387378.96    | 0.39%             | 2034-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED                                    | SYDNEY AIRPORT FINANCE SR SECURED 144A 04/26 3.625      | CUSIP: 87124VAF6<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |     400000 | PA      | $376161.16    | 0.38%             | 2026-04-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                    | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3835 | PA      | $3347.98      | 0.00%             | 2033-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/37 3.39        | CUSIP: ACI287LN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |    4565000 | PA      | $137309.88    | 0.14%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/43 3.45        | CUSIP: ACI27N3Q3<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |    7700000 | PA      | $225702.88    | 0.23%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TICP CLO II LTD 2018-IIA                                                      | TICP CLO LTD TICP 2018 IIA A1 144A                      | CUSIP: 87249TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     107102 | PA      | $106789.40    | 0.11%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 19-A13A                                           | TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A      | CUSIP: ACI1G4F01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     268672 | PA      | $321343.03    | 0.33%             | 2045-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X                      | TOWD POINT MORTGAGE FUNDING TPMF 2018 A12X A REGS       | CUSIP: BF2GGBII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      93247 | PA      | $111218.91    | 0.11%             | 2045-02-20      | Floating      | 4.04%                 | 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        |     125860 | PA      | $151263.46    | 0.15%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456955 | PA      | $426450.16    | 0.43%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126968 | PA      | $116965.17    | 0.12%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A                                  | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2019 1A A 144A     | CUSIP: 89231XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $289263.30    | 0.29%             | 2031-11-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                   | TRINITY SQUARE TRINI 2021 1A A 144A                     | CUSIP: ACI1WK7V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     144009 | PA      | $172086.71    | 0.17%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1690129.46  | -1.71%            | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6800000 | PA      | $-5534717.27  | -5.62%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2032759.34   | 2.06%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6150334.82   | 6.24%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1636562.09   | 1.66%             | 2053-02-13      | Fixed         | 3.50%                 | 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        |    4100000 | PA      | $3845687.00   | 3.90%             | 2053-01-12      | 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        |    7300000 | PA      | $7027607.65   | 7.13%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $709946.43    | 0.72%             | 2053-02-13      | Fixed         | 6.00%                 | 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        |     350000 | PA      | $353704.32    | 0.36%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $77449.88     | 0.08%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $326883.41    | 0.33%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     400000 | PA      | $216145.21    | 0.22%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT UNSECURED REGS 07/53 1.5            | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $69384.09     | 0.07%             | 2053-07-31      | Fixed         | 1.50%                 | 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        |    1812180 | PA      | $1704892.20   | 1.73%             | 2028-01-15      | Fixed         | 0.50%                 | 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        |     430012 | PA      | $376971.54    | 0.38%             | 2032-01-15      | Fixed         | 0.12%                 | 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        |     400000 | PA      | $395289.12    | 0.40%             | 2029-07-18      | Floating      | 5.09%                 | 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        |     444744 | PA      | $393290.38    | 0.40%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2300000 | PA      | $1626890.63   | 1.65%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 04/25 2.875                             | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1548687.50   | 1.57%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/50 1.625                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     650000 | PA      | $386991.21    | 0.39%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $200343.75    | 0.20%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365402 | PA      | $295068.24    | 0.30%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                          | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A   | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $170649.92    | 0.17%             | 2053-05-15      | Fixed         | 2.76%                 | 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        |     300000 | PA      | $292350.90    | 0.30%             | 2037-01-15      | Floating      | 5.26%                 | 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        |      68343 | PA      | $68237.46     | 0.07%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD 2017-26A                                                 | VENTURE CDO LTD VENTR 2017 26A AR 144A                  | CUSIP: 92331MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     193275 | PA      | $191032.89    | 0.19%             | 2029-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VI LTD 2017-6A                                                    | VIBRANT CLO LTD VIBR 2017 6A AR 144A                    | CUSIP: 92558EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     115458 | PA      | $113916.01    | 0.12%             | 2029-06-20      | Floating      | 5.70%                 | 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        |     248995 | PA      | $245049.68    | 0.25%             | 2030-09-15      | Floating      | 5.28%                 | 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        |     250000 | PA      | $244579.07    | 0.25%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16411 | PA      | $14016.90     | 0.01%             | 2036-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                 | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                 | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329645 | PA      | $90531.88     | 0.09%             | 2036-07-25      | Floating      | 4.69%                 | 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        |     575501 | PA      | $145596.49    | 0.15%             | 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        |     500000 | PA      | $500000.00    | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      35000 | PA      | $8181.25      | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      24000 | PA      | $5610.00      | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AT&T INC SNR S* ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $165.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         16 | NC      | $-71833.59    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -5 | NC      | $4826.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $932.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230222                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $542.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2814.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $16346.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-5557.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-34838.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230111                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-265598.44   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-30346.67    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-557.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $21176.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $21937.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $12030.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-81.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $17.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-168.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-5398.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-4189.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230320                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-32699.02    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-451.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2011.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230323                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $4305.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $356.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-3511.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-1889.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3096.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1000.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-229.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-5569.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-0.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $157.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $448.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5108.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRAZIL LA BP BPS                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4724.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT MAR23 XMOD 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -9 | NC      | $14412.11     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CDX EM37 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9754.75      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG39 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $78655.47     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CHINA AS BP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-761.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CHINA AS BP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1141.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $2000.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $325.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2197.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1307.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $7799.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $39.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $3230.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $496.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1111.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $13494.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10338.53     | 0.01%             |  |  |  | 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      | $1486.43      | 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      | $764.67       | 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      | $-932.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $963.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-2402.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $914.89       | 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      | $-898.22      | -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      | $-758.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-7701.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-3298.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-504.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-1093.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1786.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $17481.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1834.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $8090.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $10106.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $22533.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20231130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $7473.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-27611.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $27.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $25991.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-1.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-2.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-25796.81    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $38.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3175SQ653 OTC EPUT FRTR 0.75 97                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |     200000 | NC      | $81935.93     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -41 | NC      | $390365.89    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -31 | NC      | $125606.80    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -10 | NC      | $87360.88     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         28 | NC      | $-41915.46    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $801.92       | 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        |         -1 | NC      | $-5128.37     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230404                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2958.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $8873.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $239.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-151.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $1360.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-120.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2898.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-2909.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-127.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $21405.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $22.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $6877.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2931.72     | -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      | $-491.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1341.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-367.13      | -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      | $623.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $138.41       | 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      | $-250.15      | -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      | $-940.79      | -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      | $1687.23      | 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      | $-103.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $9199.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-20936.25    | -0.02%            |  |  |  | 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      | $-189875.59   | -0.19%            |  |  |  | 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      | $-8144.00     | -0.01%            |  |  |  | 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      | $-1632.60     | -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      | $-587.76      | -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      | $-2025.89     | -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      | $-939.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $349.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $97.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4433.85      | 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      | $-27454.69    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2167.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-88896.73    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-512.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS REGS 05/30 2.5              | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $61936.41     | 0.06%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -2 | NC      | $17296.41     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS REGS 11/31 1                | CUSIP: BMGX73II0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $52826.89     | 0.05%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $981.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -25 | NC      | $46841.26     | 0.05%             |  |  |  | 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        |    -200000 | NC      | $-38.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN38 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $34278.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 04/33 4.5       | CUSIP: ACI078RZ4<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $70645.25     | 0.07%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      50000 | PA      | $19728.29     | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7749.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5981.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230327                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-63546.10    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/26 0.5       | CUSIP: ACI1RRGQ0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1100000 | PA      | $669155.17    | 0.68%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10320.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11119.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 12/30 1         | CUSIP: ACI1MC4G3<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $54361.94     | 0.06%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $107.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-8738.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $5650.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7020.87     | -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      | $-65920.55    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-53727.94    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230327                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-136921.36   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-854.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2021-2A                              | AVIS BUDGET RENTAL CAR FUNDING AESOP 2021 2A A 144A     | CUSIP: 05377RER1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $260139.12    | 0.26%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-6598.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-89.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC23 XCME 20240319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -96 | NC      | $44355.38     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN23 XCME 20230919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         58 | NC      | $-67900.07    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN24 XCME 20240917                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         48 | NC      | $-20162.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $-172.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $-6066.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1432.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP BRC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1790.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP HUS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-716.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-716.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $368.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $922.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                      | AVON FINANCE AVON 2A A 144A                             | CUSIP: ACI1RJQB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     131171 | PA      | $155582.01    | 0.16%             | 2048-09-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $689.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $280.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $10.68        | 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      | $-364.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-95.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-14742.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-43354.99    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-28044.43    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-8008.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-29336.86    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-19103.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9547.21     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | STELLANTIS NV SNR SE ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $27594.12     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-12471.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.34        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |    -500000 | NC      | $-7794.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-107.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1328.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02JA6 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2745.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02KA4 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-202.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1372.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-101.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1277.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-122.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-4243.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2230.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-315.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1141.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-151.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1180.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-143.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-121.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1309.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-5683.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2806.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-214.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-4268.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09MA7 PIMCO SWAPTION 3.0875 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-152.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09NA6 PIMCO SWAPTION 3.0875 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1192.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0ATA7 PIMCO SWAPTION 3.02 PUT USD 20231106          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2485.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0AUA5 PIMCO SWAPTION 3.02 CALL USD 2023110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-285.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-6366.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0D9A3 PIMCO SWAPTION 2.1 PUT EUR 20230515           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-3185.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DAA1 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-0.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-251.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2729.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E3A7 PIMCO SWAPTION 3.75 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1429.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E4A6 PIMCO SWAPTION 2.25 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-138.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1549.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-125.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-2270.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-213.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1381.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2017-1A                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2017 1A A1R 144A     | CUSIP: 05682QAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     295202 | PA      | $291992.42    | 0.30%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-167.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U164I5 PIMCO FPPSWAPTION 0.82 CALL GBP               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-1191.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U173X1 IRO EUR 25Y P0.451 MAY25 0.451 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |    -200000 | NC      | $-76637.91    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1PGA7 PIMCO SWAPTION 3.65 PUT USD 20230109          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1204.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1PHA6 PIMCO SWAPTION 3.15 CALL USD 2023010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2.60        | -0.00%            |  |  |  | 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        |    -300000 | NC      | $-769.37      | -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