# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000155
**Filing Date:** 2023-3
**Character Count:** 270490
**Document Hash:** 96660d86f028830ca0774f1d94f5c7b4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000155.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000155

**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:** 23688694

**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 CommodityRealReturn Strategy Portfolio (Series ID: S000009667)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026493 | Administrative | VPVCRDV         |
| C000030986 | Advisor        | VPVCRVV         |
| C000030994 | Institutional  | PCOMRSI         |
| C000148731 | M              | PCOMRSM         |

## 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 CommodityRealReturn Strategy Portfolio

- **b. EDGAR series identifier (if any):** S000009667

- **c. LEI of Series:** SNMNUKOII1T2R8BSNF79

**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:** $871550620.42

**Total Liabilities:** $339372380.41

**Net Assets:** $532178240.01

**Amount of Assets Invested in Other Investment Companies:** $134885711.81

**Cash Not Reported:** $9635255.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 19099.140900 | **1-Year:** -696.040500 | **5-Year:** 12442.292700 | **10-Year:** 6914.647500 | **30-Year:** -7056.196500

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

- **3-Month:** 116.104200 | **1-Year:** 732.000100 | **5-Year:** 2492.991800 | **10-Year:** 670.676200 | **30-Year:** 4.525100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030994 | 3.24%                | 2.57%                | -2.71%               |
| Class ID C000030986 | 3.17%                | 2.66%                | -2.73%               |
| Class ID C000148731 | 3.26%                | 2.59%                | -2.72%               |
| Class ID C000026493 | 3.23%                | 2.70%                | -2.74%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2323065.87             | $7128741.56                                |
| Month 2  | $-369371.88              | $7574512.84                                |
| Month 3  | $540258.48               | $-3782168.42                               |

**Designated Index Information**

- **Index Name:** Bloomberg Commodity Total Return Index

- **Index Identifier:** BCOMTR

### 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        |  -1200000 | NC      | $-39373.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U657Z1 PIMCO SWAPTION 2.3 PUT USD 20231113           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -14000000 | NC      | $-930687.80   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U658Z0 PIMCO SWAPTION 2.285 PUT USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2900000 | NC      | $622824.88    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U681I9 PIMCO SWAPTION 1.4275 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  10100000 | NC      | $1.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U682I8 PIMCO SWAPTION 1.579 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2200000 | NC      | $-0.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U714I0 PIMCO SWAPTION 1.41 CALL USD 2023020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  10100000 | NC      | $1.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U719I5 PIMCO SWAPTION 1.5575 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2200000 | NC      | $-0.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U876Z6 PIMCO SWAPTION 2.34 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -6900000 | NC      | $-447264.90   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U877Z5 PIMCO SWAPTION 2.2365 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $311287.06    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U940I6 PIMCO SWAPTION 1.71 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  22000000 | NC      | $2.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U941I5 PIMCO SWAPTION 1.785 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4900000 | NC      | $-0.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U970I9 PIMCO SWAPTION 1.72 CALL USD 2023022          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  20700000 | NC      | $16.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U971I8 PIMCO SWAPTION 1.736 CALL USD 202302          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4600000 | NC      | $-49.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD BAPA CAL23 0.95375 12/31/23 MEI                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-82457.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD BAPA CAL23 0.9595 12/31/23 JPM                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-313542.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD COCAL23 83.76 12/31/23 MEI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $3837.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD COCAL23 85.36 12/31/23 MEI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $20677.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD EURMARG3 1Q23 15.28 03/31/23 JPM                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-2032.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD EURMARG3 1Q23 16.2 03/31/23 BPS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-742.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD EURMARG3 CAL23 7.94 12/31/23 GST                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $8226.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD EURMARG3 CAL23 8 12/31/23 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $8156.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD EURMARG3 CAL23 8.03 12/31/23 JPM                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $8121.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD FSNGYCAL F24 5.625 01/31/24 GST                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $5695.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD FSNGYCAL23 6.162 12/31/23 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $233613.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD GOLDLNPM 1712 10/19/23 JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $69417.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSCO CAL22 -2.1 12/31/22 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-205.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSCO CAL22 -2.1 12/31/22 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-205.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSCO CAL22 -2.5 12/31/22 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-165.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSCO CAL22 -2.8 12/31/22 MAC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-135.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSCO K2-Z2 0.07 12/31/22 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $633.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSMEH 2H22 1 12/31/22 GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-5.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD LLSMEH CAL22 1 12/31/22 GST                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-5.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD MEHCO CAL22 -2.3 12/31/22 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-580.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD MEHCO CAL22 -2.3 12/31/22 MAC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-290.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD MEHCO CAL22 -2.82 12/31/22 JPM                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-714.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD MEHCO K2-Z2 -0.75 12/31/22 JPM                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $445.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD MEHCO K2-Z2 -1.517625 12/22 MYC                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1104.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COM FWD QSCOCAL 4Q22 21.9 12/31/22 GST                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $5624.20      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | COM FWD QSCOCAL 4Q22 30 12/31/22 MYC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1157.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP BCOM UAG                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $41863.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP BCOMF1NTC BPS                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-48.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP CMDSKEWLS GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $104309.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP JMABFNJ2 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-33934.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP PIMCODB CIB                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $122798.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMF1TC BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-81204.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMF1TC CBK                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-469.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMF1TC GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-372231.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMF1TC JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-2679.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-636574.17   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR CBK                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-73827.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR CIB                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-12619.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR FBF                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-278313.37   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR GST                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-373523.98   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR MAC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-18075.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-890513.04   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR SOG                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-126561.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR1 MAC                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-145828.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR1 MYC                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-524164.73   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/BCOMTR2 MEI                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-611997.24   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/CB CIXBSTR3 CBK                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-423520.26   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP TBL/RBCAEC0T RBC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-37351.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-702909.82   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 1.71 03/15/18-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $67894.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 1.945 11/15/18-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-25593.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.359 08/15/22-8Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $33086.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-26968.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.47 07/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $23015.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-92378.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16031.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.57 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $78290.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16790.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-56391.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7920.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.6 05/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $49683.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.72 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $17594.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $37601.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $16365.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP FR NI 1.03 03/15/19-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $78154.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP FR NI 1.6175 07/15/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $-64103.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP FR NI 1.91 01/15/18-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $-80674.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.33 01/15/20-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-2324352.20  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.346 05/15/20-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-68339.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.4 01/15/20-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-587199.02   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.4 06/15/15-15Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-418446.90   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.475 08/15/20-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-45828.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.48 01/15/20-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-20504.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.566 03/15/21-15Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-61192.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.58 03/15/21-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-161110.09   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.624 02/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-282076.99   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.75 04/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-390536.48   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.066 09/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-13617.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.125 09/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $7312.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.13 09/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $30753.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.14 10/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-138604.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.1425 10/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $16766.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.3 01/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $15788.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.48 09/15/21-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $79125.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 4.735 12/15/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $302585.31    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 5.2 06/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $61154.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 5.33 06/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $138761.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 6.29 03/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $291355.39    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 6.44 05/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $57925.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 6.6 05/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $189174.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.79375 08/24/20-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $86082.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.7975 08/25/20-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $42926.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.89 08/27/20-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $41022.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-52014.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-346798.64   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.08 07/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-153186.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.1015 07/20/17-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-207531.71   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.122 08/01/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-216363.94   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.15 09/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-68040.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.155 10/17/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-157617.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-122639.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.18 09/20/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-71536.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.21 02/05/18-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $358813.73    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.2625 05/09/18-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52501.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.26325 04/27/18-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $176038.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.281 05/10/18-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $79097.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $868101.89    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.335 02/05/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-178285.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.3525 05/09/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-53938.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.36 05/09/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-80613.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.364 05/10/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-81142.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-153546.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.56 05/08/13-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32350.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $66288.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $26370.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9522.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR -0.52600 11/21/22-1Y (WHT) LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-377529.12   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.00000 11/04/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1657412.92  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.00000 11/08/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1572191.99  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $456621.47    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $480955.18    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $910806.25    | 0.17%             |  |  |  | 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      | $-173457.02   | -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      | $-99213.31    | -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      | $-73944.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.83000 12/09/42-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $86744.27     | 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      | $-148268.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-64882.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS NZD 3.25000 03/21/18-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $41763.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.75000 12/21/16-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52852.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.84000 11/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $288836.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.84000 11/21/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $156255.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.88750 11/21/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-109587.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.97500 11/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-181007.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/0.50000 03/16/22-20Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $1402982.90   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $21653.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | LME LEAD FUTURE   MAR23 XLME 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -4 | NC      | $-13675.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LME ZINC FUTURE   MAR23 XLME 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -3 | NC      | $-4081.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       -23 | NC      | $181549.69    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | TRS R 4.19/9128284H0 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-240128.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/9128286N5 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-97715.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/912828B25 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-82331.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/912828H45 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-65197.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/912828S50 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-23620.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/912828YL8 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-187072.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R 4.19/912828ZJ2 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-124253.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+12/912828N71 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-41586.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+12/912828VM9 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-10452.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+12/912828ZJ2 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-36372.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+7/912828YL8 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-39341.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+7/91282CCM1 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-319694.35   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       162 | NC      | $-214070.84   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -16 | NC      | $8853.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       103 | NC      | $11537.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       159 | NC      | $-147851.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -423 | NC      | $352880.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       105 | NC      | $-229021.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KC HRW WHEAT FUT  JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-6056.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | KC HRW WHEAT FUT  MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -12 | NC      | $20162.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WHEAT FUTURE(CBT) JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $-16652.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WHEAT FUTURE(CBT) MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        36 | NC      | $-17241.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14885 | PA      | $12463.37     | 0.00%             | 2035-06-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4         | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6801 | PA      | $5960.58      | 0.00%             | 2035-11-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                          | BAXTER INTERNATIONAL                                    | CUSIP: 0718A3NP0<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    750000 | PA      | $747666.00    | 0.14%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BDS 2019-FL4 LTD                                                  | BDS LTD BDS 2019 FL4 A 144A                             | CUSIP: 05492KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5621 | PA      | $5568.27      | 0.00%             | 2036-08-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19754 | PA      | $17310.69     | 0.00%             | 2036-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38518 | PA      | $38309.57     | 0.01%             | 2035-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27602 | PA      | $25598.49     | 0.00%             | 2035-03-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                         | BIRCH GROVE CLO LTD. BGCLO 19A AR 144A                  | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295190.56    | 0.06%             | 2031-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A             | BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A            | CUSIP: ACI0ZL547<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10006 | PA      | $10657.62     | 0.00%             | 2029-10-03      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                 | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $518975.22    | 0.10%             | 2031-10-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| BPCRE HOLDER LLC 2022-FL2                                         | BPCRE HOLDER LLC BPCRE 2022 FL2 A 144A                  | CUSIP: 05602FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    500000 | PA      | $493403.75    | 0.09%             | 2037-01-16      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                       | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1050762 | PA      | $856363.94    | 0.16%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2017-2 DAC 17-2A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 2A A1R 144A   | CUSIP: ACI1VWGV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1394982 | PA      | $1457526.91   | 0.27%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                   | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    699681 | PA      | $730852.99    | 0.14%             | 2031-01-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A        | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $933640.26    | 0.18%             | 2031-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-1A                                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A    | CUSIP: 14314BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $688839.31    | 0.13%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CBAM LTD 2017-1A                                                  | CBAM CLO MANAGEMENT LLC CBAM 2017 1A A1 144A            | CUSIP: 12480VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    697721 | PA      | $690776.38    | 0.13%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-III LTD 2017-3A                                 | CIFC FUNDING LTD CIFC 2017 3A A1 144A                   | CUSIP: 12548JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    398156 | PA      | $394540.10    | 0.07%             | 2030-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                        | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A             | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95189 | PA      | $94740.30     | 0.02%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                        | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $571350.06    | 0.11%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3        | CUSIP: 17309QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $381002.96    | 0.07%             | 2036-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D        | CUSIP: 17310VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36479 | PA      | $24027.34     | 0.00%             | 2036-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110280 | PA      | $94877.96     | 0.02%             | 2037-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                       | CONSOLIDATED ED CO N                                    | CUSIP: 20911MNK9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249355.00    | 0.05%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                          | CONSTELLATION BRANDS INC                                | CUSIP: 21037DNA8<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798804.91    | 0.15%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576891 | PA      | $464499.56    | 0.09%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4       | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44880 | PA      | $27364.94     | 0.01%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349258 | PA      | $312984.39    | 0.06%             | 2036-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124065 | PA      | $56680.30     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4            | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12709 | PA      | $12422.25     | 0.00%             | 2035-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104092 | PA      | $100330.92    | 0.02%             | 2047-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190513 | PA      | $177638.62    | 0.03%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489400 | PA      | $447123.43    | 0.08%             | 2037-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                    | COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1                | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1169 | PA      | $1160.07      | 0.00%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    843753 | PA      | $776430.44    | 0.15%             | 2035-10-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                            | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A   | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8694 | PA      | $5808.23      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                            | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37302 | PA      | $24920.77     | 0.00%             | 2037-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29035 | PA      | $24845.81     | 0.00%             | 2036-10-26      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-3R               | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 3R 5A2 144A      | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223445 | PA      | $215244.27    | 0.04%             | 2036-09-29      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XIV LTD 2016-1A                              | CRESTLINE DENALI CLO XIV, LTD DEN14 2016 1A AR2 144A    | CUSIP: 22615MAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294394.25    | 0.06%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823QN98<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    990000 | PA      | $988658.55    | 0.19%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                 | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $416690.27    | 0.08%             | 2031-09-15      | Floating      | 2.68%                 | 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        |    800000 | PA      | $831638.80    | 0.16%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| DENALI CAPITAL CLO XII LTD 2016-1A                                | DENALI CAPITAL CLO XII LTD DEN12 2016 1A A1R 144A       | CUSIP: 24824TAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    499349 | PA      | $490573.06    | 0.09%             | 2031-04-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | DOMINION RESOURCES                                      | CUSIP: 2574P1NX6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248965.33    | 0.05%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                    | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $416141.60    | 0.08%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| DRYDEN 80 CLO LTD 2019-80A                                        | DRYDEN SENIOR LOAN FUND DRSLF 2019 80A AR 144A          | CUSIP: 26245JAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $392225.88    | 0.07%             | 2033-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                             | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A          | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270234 | PA      | $267877.19    | 0.05%             | 2029-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                    | ELECTRICITE DE FRANCE SA                                | CUSIP: 28504HNL4<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $249324.79    | 0.05%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20947 | PA      | $20127.08     | 0.00%             | 2037-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                          | ENEL FINANCE AMERICA                                    | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249575.33    | 0.05%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER PARTNERS                                | CUSIP: 29277FN56<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249797.67    | 0.05%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                      | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $519125.47    | 0.10%             | 2034-04-24      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                              | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    149824 | PA      | $179071.49    | 0.03%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8243 | PA      | $8191.45      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                     | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2000 | PA      | $1968.25      | 0.00%             | 2042-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53989 | PA      | $55148.50     | 0.01%             | 2036-07-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19318 | PA      | $19507.92     | 0.00%             | 2036-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR          | CUSIP: 3128JRN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24108 | PA      | $23875.35     | 0.00%             | 2036-10-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       937 | PA      | $940.51       | 0.00%             | 2034-01-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23235 | PA      | $23343.92     | 0.00%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $464.47       | 0.00%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38681 | PA      | $16698.73     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3963 | PA      | $3690.23      | 0.00%             | 2034-06-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC                                              | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249680.70    | 0.05%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC                                              | CUSIP: 33774LNH7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249420.88    | 0.05%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1691 | PA      | $1611.73      | 0.00%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826128 FN 07/35 FLOATING VAR                  | CUSIP: 31407BYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5305 | PA      | $5233.66      | 0.00%             | 2035-07-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6161 | PA      | $6314.66      | 0.00%             | 2034-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 846937 FN 01/36 FLOATING VAR                  | CUSIP: 31408B4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10037 | PA      | $9850.79      | 0.00%             | 2036-01-01      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847996 FN 11/35 FLOATING VAR                  | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2970 | PA      | $2908.81      | 0.00%             | 2035-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     27108 | PA      | $263383.53    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2642539 | PA      | $2799891.80   | 0.53%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/23 2.1              | CUSIP: B2PP4HII3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2734996 | PA      | $2999283.41   | 0.56%             | 2023-07-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2991846 | PA      | $3066780.58   | 0.58%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/38 0.1              | CUSIP: ACI25Z7H4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2259680 | PA      | $2168487.01   | 0.41%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS REGS 07/24 0.25                  | CUSIP: ACI04Z888<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    857248 | PA      | $924331.76    | 0.17%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                           | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189682 | PA      | $187135.64    | 0.04%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 278                                            | FREDDIEMAC STRIP FHS 278 F1                             | CUSIP: 3132HTBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    279769 | PA      | $274993.96    | 0.05%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                    | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92192 | PA      | $81382.25     | 0.02%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GALAXY XV CLO LTD 2013-15A                                        | GALAXY CLO LTD GALXY 2013 15A ARR 144A                  | CUSIP: 36318WAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $391215.64    | 0.07%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GALLATIN CLO IX LTD 2018-1A                                       | GALLATIN FUNDING LTD GALL 2018 1A A 144A                | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    351297 | PA      | $348450.95    | 0.07%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A                   | GOLDENTREE LOAN MANAGEMENT US GLM 2017 2A AR 144A       | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $889000.47    | 0.17%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260167 | PA      | $257617.14    | 0.05%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    342773 | PA      | $333348.68    | 0.06%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4878 | PA      | $4410.60      | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A        | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74949 | PA      | $65526.79     | 0.01%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                     | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41318 | PA      | $24856.77     | 0.00%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                              | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73415 | PA      | $66601.38     | 0.01%             | 2035-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44967 | PA      | $22497.98     | 0.00%             | 2036-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7541 | PA      | $6866.64      | 0.00%             | 2035-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18967 | PA      | $16505.99     | 0.00%             | 2036-03-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XI DAC 11A                                            | HARVEST CLO HARVT 11A ARR 144A                          | CUSIP: ACI1XMR09<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    868533 | PA      | $909122.00    | 0.17%             | 2030-06-26      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XX DAC 20A                                            | HARVEST CLO HARVT 20A AR 144A                           | CUSIP: ACI1WC7B0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $519807.80    | 0.10%             | 2031-10-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    230000 | NS      | $203959.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HITACHI AMERICA CAPITAL LTD                                       | HITACHI AMERICA CP L                                    | CUSIP: 4335P3N40<br>LEI: 549300FT5PAYBG3RQJ06 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249840.70    | 0.05%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294367 | PA      | $283202.08    | 0.05%             | 2036-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5600 | PA      | $5311.15      | 0.00%             | 2035-11-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                              | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227648 | PA      | $71146.46     | 0.01%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/25 1 | CUSIP: ACI1MHM64<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   9919200 | PA      | $10482631.99  | 1.97%             | 2025-05-26      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   1166740 | PA      | $1093498.59   | 0.21%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 354294980 | PA      | $2792732.07   | 0.52%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 789055260 | PA      | $6240775.37   | 1.17%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/31 0.005                 | CUSIP: ACI1XV2Q9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  83524800 | PA      | $659657.54    | 0.12%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                     | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1178885.95   | 0.22%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5415 | PA      | $5124.98      | 0.00%             | 2035-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14567 | PA      | $13360.35     | 0.00%             | 2035-02-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12923 | PA      | $11919.39     | 0.00%             | 2035-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27956 | PA      | $27480.65     | 0.01%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2014-XII BV 14-12A                                    | JUBILEE CDO BV JUBIL 2014 12A ARRR 144A                 | CUSIP: ACI1W2W65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $314222.67    | 0.06%             | 2030-04-15      | Floating      | 1.98%                 | 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        |   1214551 | PA      | $1275741.33   | 0.24%             | 2029-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 18                                                    | KKR FINANCIAL CLO LTD KKR 18 AR 144A                    | CUSIP: 48251JAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    848819 | PA      | $840940.67    | 0.16%             | 2030-07-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCM 29 LTD                                                        | LCM LTD PARTNERSHIP LCM 29A AR 144A                     | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $589796.46    | 0.11%             | 2031-04-15      | Floating      | 5.15%                 | 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    | 0.04%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM LTD 26A                                                       | LCM LTD PARTNERSHIP LCM 26A A1 144A                     | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493291.66    | 0.09%             | 2031-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| LCM XIV LP 14A                                                    | LCM LTD PARTNERSHIP LCM 14A AR 144A                     | CUSIP: 50184VAR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1281135.31   | 0.24%             | 2031-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LCM XVII LP 17A                                                   | LCM LTD PARTNERSHIP LCM 17A A1AR 144A                   | CUSIP: 50190AAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $587676.72    | 0.11%             | 2031-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| LCM XXV LTD 25A                                                   | LCM LTD PARTNERSHIP LCM 25A AR 144A                     | CUSIP: 50189PAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1582864 | PA      | $1564903.73   | 0.29%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                            | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74134 | PA      | $62625.05     | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                            | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111955 | PA      | $110378.06    | 0.02%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                                   | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393589 | PA      | $386752.77    | 0.07%             | 2037-12-25      | Floating      | 6.69%                 | 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        |    600000 | PA      | $581935.20    | 0.11%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497234 | PA      | $212184.55    | 0.04%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING XIII DAC 13A                            | MADISON PARK EURO FUNDING CADOG 13A AR 144A             | CUSIP: ACI268DG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $725477.48    | 0.14%             | 2032-01-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                           | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A          | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988669.50    | 0.19%             | 2031-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD 2018-30A                             | MADISON PARK FUNDING LTD MDPK 2018 30A A 144A           | CUSIP: 55821TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    765576 | PA      | $757644.31    | 0.14%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXIV LTD 2019-34A                           | MADISON PARK FUNDING LTD MDPK 2019 34A AR 144A          | CUSIP: 55819GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $787436.88    | 0.15%             | 2032-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MAGNETITE VIII CLO LTD 2014-8A                                    | MAGNETITE CLO LTD MAGNE 2014 8A AR2 144A                | CUSIP: 55952YAP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    693045 | PA      | $681535.91    | 0.13%             | 2031-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO II DAC 2A                                        | MAN GLG EURO CLO GLGE 2A A1R 144A                       | CUSIP: ACI1DJHC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    142909 | PA      | $149578.05    | 0.03%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO V LTD 2013-5A                                        | MARATHON CLO LTD MCLO 2013 5A A1R 144A                  | CUSIP: 56576QAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31873 | PA      | $31907.73     | 0.01%             | 2027-11-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6070 | PA      | $5474.49      | 0.00%             | 2034-11-21      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                             | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5         | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169396 | PA      | $55580.93     | 0.01%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                            | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A         | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39719 | PA      | $39034.55     | 0.01%             | 2030-09-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7972000 | PA      | $377921.85    | 0.07%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $690102.77    | 0.13%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO II 2013-2A                                    | MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A               | CUSIP: 59863KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    240516 | PA      | $237739.45    | 0.04%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-15XS                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 15XS A6A        | CUSIP: 61750YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688075 | PA      | $160832.98    | 0.03%             | 2036-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1         | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47510 | PA      | $29575.62     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-1A                                     | MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A                  | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    747345 | PA      | $739381.28    | 0.14%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MP CLO VII LTD 2015-1A                                            | MP CLO VII, LTD MP7 2015 1A AR3 144A                    | CUSIP: 55320RAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    277162 | PA      | $273697.90    | 0.05%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) | NATIONAL GRID HOLDINGS                                  | CUSIP: 63627BNP7<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249222.00    | 0.05%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $400154.09    | 0.08%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $297269.07    | 0.06%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                         | NEUBERGER BERMAN CLO LTD NEUB 2017 25A AR 144A          | CUSIP: 64131JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $787806.24    | 0.15%             | 2029-10-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77785 | PA      | $74428.47     | 0.01%             | 2035-02-25      | Floating      | 5.15%                 | 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        |    659319 | PA      | $615685.68    | 0.12%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                  | NEW ZEALAND GVT ILB BONDS REGS 09/25 2                  | CUSIP: ACI02MK69<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   2380416 | PA      | $1504053.34   | 0.28%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VI DAC 2017-6A                  | OAK HILL EUROPEAN CREDIT PARTN OHECP 2017 6A A1 144A    | CUSIP: ACI0YYC34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    490638 | PA      | $513692.42    | 0.10%             | 2032-01-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A                   | OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A    | CUSIP: ACI1WXMN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $311589.38    | 0.06%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO DAC 2017-2A                                          | OCP EURO CLO OCPE 2017 2A A 144A                        | CUSIP: ACI0YSL94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1580798 | PA      | $1661009.35   | 0.31%             | 2032-01-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A                       | OCTAGON INVESTMENT PARTNERS XX OCT21 2014 1A AAR3 144A  | CUSIP: 67590QBK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $688583.92    | 0.13%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENTS PARTNERS LTD 2018-18A                         | OCTAGON INVESTMENT PARTNERS LT OCT18 2018 18A A1A 144A  | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1676628.11   | 0.32%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| OCTAGON LOAN FUNDING LTD 2014-1A                                  | OCTAGON LOAN FUNDING LTD OCTLF 2014 1A ARR 144A         | CUSIP: 67590RAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $394522.76    | 0.07%             | 2031-11-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORPORATION                                      | CUSIP: 6840C3NS8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249136.56    | 0.05%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORPORATION                                      | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249103.22    | 0.05%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OZLM XI LTD 2015-11A                                              | OZLM LTD OZLM 2015 11A A1R 144A                         | CUSIP: 67109UAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    692431 | PA      | $682568.53    | 0.13%             | 2030-10-30      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 1A A 144A     | CUSIP: ACI23GLP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    586745 | PA      | $609063.06    | 0.11%             | 2031-10-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-2 LTD                             | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 2A A1 144A    | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1011232 | PA      | $998916.60    | 0.19%             | 2029-05-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                                 | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A    | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    843130 | PA      | $830873.62    | 0.16%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO IX LTD 2018-3A                                        | ALLEGRO CLO LTD ALLEG 2018 3A A 144A                    | CUSIP: 01750NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $686779.79    | 0.13%             | 2031-10-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                                   | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129165 | PA      | $106297.76    | 0.02%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $48358.73     | 0.01%             | 2029-02-12      | Fixed         | 5.94%                 | 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        |    980000 | PA      | $3203.57      | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                        | STATE OF QATAR SR UNSECURED REGS 04/23 3.875            | CUSIP: ACI122SK2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    400000 | PA      | $398361.60    | 0.07%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                            | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    919453 | PA      | $436738.27    | 0.08%             | 2037-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                             | REPUBLIC SVCS INC                                       | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249585.54    | 0.05%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22028 | PA      | $19185.64     | 0.00%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51724 | PA      | $45195.01     | 0.01%             | 2045-09-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                              | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172255 | PA      | $164247.57    | 0.03%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                               | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52499 | PA      | $35892.46     | 0.01%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS3                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M1         | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83923 | PA      | $82406.16     | 0.02%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC                               | AMERICAN ELEC PWR INC                                   | CUSIP: 0255E3N46<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249842.08    | 0.05%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                 | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4      | CUSIP: M6320UAH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    260000 | PA      | $256849.58    | 0.05%             | 2025-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                               | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107317 | PA      | $100941.59    | 0.02%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465780 | PA      | $253579.71    | 0.05%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                             | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136130 | PA      | $48543.43     | 0.01%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C        | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289494 | PA      | $121330.57    | 0.02%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                 | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A3         | CUSIP: 81377EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3951002 | PA      | $1407471.27   | 0.26%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69168 | PA      | $59206.73     | 0.01%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-3A                                    | SLM STUDENT LOAN TRUST SLMA 2004 3A A6B 144A            | CUSIP: 78442GLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338026 | PA      | $324812.12    | 0.06%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                                     | SLM STUDENT LOAN TRUST SLMA 2008 9 A                    | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505998 | PA      | $501451.63    | 0.09%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1           | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38460 | PA      | $38126.44     | 0.01%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD 2016-3A                                   | SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A              | CUSIP: 83609NAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    467771 | PA      | $465376.99    | 0.09%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                                    | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A              | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    224016 | PA      | $221234.75    | 0.04%             | 2029-01-23      | Floating      | 5.22%                 | 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        |   1000000 | PA      | $985000.00    | 0.19%             | 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        |   1300000 | PA      | $1282389.55   | 0.24%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $587153.62    | 0.11%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584491 | PA      | $422175.42    | 0.08%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5972 | PA      | $4958.18      | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3867 | PA      | $3636.86      | 0.00%             | 2034-02-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4813 | PA      | $4500.62      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4155 | PA      | $3570.71      | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                                | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A       | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67674 | PA      | $65915.59     | 0.01%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 16 LTD 2015-16A                                          | AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A   | CUSIP: 00176JAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    385116 | PA      | $382804.36    | 0.07%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                     | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                  | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9450 | PA      | $9455.82      | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO 2021-1A                                       | SYMPHONY STATIC CLO LTD SSTAT 2021 1A A 144A            | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    444375 | PA      | $437635.71    | 0.08%             | 2029-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC COMPANY                                            | TAMPA ELECTRIC CO                                       | CUSIP: 87513MNC8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249583.73    | 0.05%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XII LTD 2013-12A                                         | AMERICAN MONEY MANAGEMENT CORP AMMC 2013 12A AR2 144A   | CUSIP: 00176CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295663.38    | 0.06%             | 2030-11-10      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| TCW CLO LTD 2018-1A                                               | TCW CLO TCW 2018 1A A1R 144A                            | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492384.20    | 0.09%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORPORATION                                       | THOMSON REUTERS CORP                                    | CUSIP: 88513BNR7<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $498381.14    | 0.09%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TIAA CLO I LTD 2016-1A                                            | TEACHERS INSURANCE AND ANNUITY TIA 2016 1A AR 144A      | CUSIP: 87271LAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491799.25    | 0.09%             | 2031-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 4 DAC 1A                                        | TORO EUROPEAN CLO TCLO 1A ARE 144A                      | CUSIP: 89109MAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    562363 | PA      | $591611.98    | 0.11%             | 2030-07-15      | Floating      | 2.30%                 | 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        |    587347 | PA      | $705896.15    | 0.13%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                       | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $390740.80    | 0.07%             | 2039-02-15      | Floating      | 5.46%                 | 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        |    300000 | PA      | $254094.92    | 0.05%             | 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        |   6400000 | PA      | $5623163.26   | 1.06%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11028000 | PA      | $10346544.81  | 1.94%             | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1636566.17   | 0.31%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                     | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1650000 | PA      | $1667463.24   | 0.31%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM I/L GILT BONDS REGS 03/24 0.125          | CUSIP: B85SFQII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1763556 | PA      | $2167451.32   | 0.41%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM I/L GILT BONDS REGS 08/28 0.125          | CUSIP: BZ1NTBII7<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2539001 | PA      | $3077964.81   | 0.58%             | 2028-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM I/L GILT BONDS REGS 08/41 0.125          | CUSIP: BGDYHFII6<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1526568 | PA      | $1739380.80   | 0.33%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM I/L GILT BONDS REGS 11/27 1.25           | CUSIP: B128DHII8<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3194292 | PA      | $4087928.09   | 0.77%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/23 0.00000                             | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    375000 | PA      | $374924.37    | 0.07%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/23 0.00000                             | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2025000 | PA      | $2018583.56   | 0.38%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/23 0.00000                             | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3419000 | PA      | $3402018.48   | 0.64%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18559000 | PA      | $18432404.60  | 3.46%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/24 0.625                             | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8204540 | PA      | $8031050.98   | 1.51%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/25 0.25                              | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12078432 | PA      | $11588171.59  | 2.18%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/25 2.375                             | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8189269 | PA      | $8197460.35   | 1.54%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/26 0.625                             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13331721 | PA      | $12800680.37  | 2.41%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4021732 | PA      | $3793877.58   | 0.71%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10422451 | PA      | $9805403.36   | 1.84%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1953051 | PA      | $1952636.05   | 0.37%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10940454 | PA      | $10428553.33  | 1.96%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2276320 | PA      | $2374597.98   | 0.45%             | 2029-01-15      | Fixed         | 2.50%                 | 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        |   2902581 | PA      | $2544557.91   | 0.48%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    317112 | PA      | $335948.42    | 0.06%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-27A                                               | APIDOS CLO APID 2017 27A A1R 144A                       | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $593576.44    | 0.11%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    194424 | PA      | $157033.66    | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    127866 | PA      | $118868.91    | 0.02%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2024800 | PA      | $1639378.75   | 0.31%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    754614 | PA      | $641622.39    | 0.12%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/23 0.625                             | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8790422 | PA      | $8700870.17   | 1.63%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                          | APIDOS CLO APID 2016 24A A1AL 144A                      | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492375.00    | 0.09%             | 2030-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/24 0.5                               | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9405297 | PA      | $9147177.00   | 1.72%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/25 0.125                             | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5307020 | PA      | $5058697.53   | 0.95%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/26 0.125                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24556091 | PA      | $23092995.18  | 4.34%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4960615 | PA      | $4624758.74   | 0.87%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    819358 | PA      | $921125.11    | 0.17%             | 2029-04-15      | Fixed         | 3.88%                 | 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        |    600000 | PA      | $592933.69    | 0.11%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/23 0.375                             | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -3841470 | PA      | $-3796052.11  | -0.71%            | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/24 0.125                             | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32128768 | PA      | $31096827.31  | 5.84%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/25 0.375                             | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14672412 | PA      | $14094590.44  | 2.65%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14446216 | PA      | $13617046.77  | 2.56%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    341104 | PA      | $321609.12    | 0.06%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16478080 | PA      | $15704496.97  | 2.95%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1223260 | PA      | $1120551.96   | 0.21%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1139054 | PA      | $1020597.40   | 0.19%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4923120 | PA      | $4513311.86   | 0.85%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/24 0.125                             | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16261140 | PA      | $15662217.82  | 2.94%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26415500 | PA      | $25110559.24  | 4.72%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 133516036 | PA      | $125192911.15 | 23.52%            | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3118569 | PA      | $3116340.07   | 0.59%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/45 3                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $65984.38     | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | 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        |   1200000 | PA      | $1169403.60   | 0.22%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $682479.39    | 0.13%             | 2032-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE 38 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 38A A1R 144A                 | CUSIP: 92332NAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $290787.33    | 0.05%             | 2032-07-30      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                          | VENTURE CDO LTD VENTR 2016 25A ARR 144A                 | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    369600 | PA      | $365955.49    | 0.07%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                                      | VENTURE XXI CLO VENTR 2015 21A AR 144A                  | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21177 | PA      | $21221.70     | 0.00%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                     | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $392711.97    | 0.07%             | 2030-09-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                       | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                 | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $389452.02    | 0.07%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2022-FL5 LLC                                          | VMC FINANCE LLC VMC 2022 FL5 A 144A                     | CUSIP: 91835BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1400000 | PA      | $1367959.60   | 0.26%             | 2039-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                                | VODAFONE GROUP PLC                                      | CUSIP: 92857MN57<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249807.67    | 0.05%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-2A                                                  | VOYA CLO LTD VOYA 2017 2A A1R 144A                      | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    672637 | PA      | $660866.06    | 0.12%             | 2030-06-07      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                     | VW CR INC                                               | CUSIP: 91842KNS1<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249121.19    | 0.05%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                      | WALGREENS BOOTS                                         | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249612.42    | 0.05%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                      | WALGREENS BOOTS                                         | CUSIP: 93142XNJ6<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249378.81    | 0.05%             | 2023-01-18      | None          | 0.00%                 | 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        |    300000 | PA      | $293494.88    | 0.06%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 3A1       | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2342 | PA      | $2052.54      | 0.00%             | 2035-08-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47083 | PA      | $42632.61     | 0.01%             | 2035-12-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                          | ARES CLO LTD ARES 2016 40A A1RR 144A                    | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323157 | PA      | $318984.96    | 0.06%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96827 | PA      | $76776.77     | 0.01%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                     | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62828 | PA      | $56258.69     | 0.01%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO X LTD 2019-XA                                       | WELLFLEET CLO LTD WELF 2019 XA A1R 144A                 | CUSIP: 94949WAM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $770889.12    | 0.14%             | 2032-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                     | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249534 | PA      | $215831.70    | 0.04%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                  | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB         | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10303 | PA      | $8116.02      | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | 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    | 0.03%             | 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        |    531000 | PA      | $531000.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    218000 | PA      | $50957.50     | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | STATE STREET REPO                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   1474000 | PA      | $1474000.00   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    150000 | PA      | $35062.50     | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  48800000 | PA      | $48800000.00  | 9.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | PARIBAS REPO                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  55000000 | PA      | $55000000.00  | 10.33%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     10000 | PA      | $2730.00      | 0.00%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -8 | NC      | $35720.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -22 | NC      | $20186.71     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $3284.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-26147.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-238.37      | -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      | $3644.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175ES803 OTC ECAL BCOM 109 JAN23 119.9 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |     -5046 | NC      | $-1904.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175JK9U8 OTC EPUT BCOM MAR23 105 PUT                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |    -10600 | NC      | $-16511.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175ST145 OTC ECAL BCOM FEB23 130.56 CALL               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |     -5520 | NC      | $-471.39      | -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      | $1473.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARMADA EURO CLO III DAC 3A                                        | ARMADA EURO CLO ARMDA 3A A1R 144A                       | CUSIP: ACI1WGZB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $727922.04    | 0.14%             | 2031-07-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-7776.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  DEC23 IFEU 20231031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        12 | NC      | $37201.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  DEC24 IFEU 20241031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -14 | NC      | $-17371.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  DEC25 IFEU 20251031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -4 | NC      | $-9170.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  JUN23 IFEU 20230428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        12 | NC      | $32590.51     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  MAR23 IFEU 20230131                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        39 | NC      | $185124.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  SEP23 IFEU 20230731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -7 | NC      | $-22260.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  DEC22 IFEU 20221230                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -8 | NC      | $-7249.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  DEC23 IFEU 20231229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4011.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  FEB23 IFEU 20230228                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $641.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  JAN23 IFEU 20230131                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $5482.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  JUL23 IFEU 20230731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4121.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  JUN23 IFEU 20230630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4161.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  MAY23 IFEU 20230531                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4181.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  NOV23 IFEU 20231130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $3991.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  OCT23 IFEU 20231031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4001.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN  SEP23 IFEU 20230929                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4051.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN APR23 IFEU 20230428                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4201.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BRT/DUBAI 1ST LN AUG23 IFEU 20230831                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $4111.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COH3C 90 MAR23 90 CALL FSO                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -26 | NC      | $-14484.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COH3C 95 MAR23 95 CALL FSO                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $166.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COH3P65 MAR23 65 PUT FSO                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        24 | NC      | $-20024.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW APR23 XNYM 20230428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $287.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW AUG23 XNYM 20230831                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $787.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW DEC23 XNYM 20231229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $587.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW FEB23 XNYM 20230228                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-512.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW JAN23 XNYM 20230131                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-922.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW JUL23 XNYM 20230731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $757.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW JUN23 XNYM 20230630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $687.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW MAR23 XNYM 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-102.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW MAY23 XNYM 20230531                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $567.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW NOV23 XNYM 20231130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $617.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW OCT23 XNYM 20231031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $667.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI-BRENT ICE  SW SEP23 XNYM 20230929                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $717.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $4285.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $305.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2        | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782335 | PA      | $709233.09    | 0.13%             | 2036-10-25      | Floating      | 4.53%                 | 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      | $-5492.78     | -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      | $-24669.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-311.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-13805.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3183.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CMBX.NA.AAA.8 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $714.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $255.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ICE NEWC COAL FUT FEB23 IFEU 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-56259.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | ICE NEWC COAL FUT JAN23 IFEU 20230127                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-82859.37    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | ICE NEWC COAL FUT MAR23 IFEU 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-32809.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COCOA FUTURE      MAR23 IFUS 20230316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        13 | NC      | $33415.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COFFEE 'C' FUTURE JUL23 IFUS 20230719                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -7 | NC      | $2352.97      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COFFEE 'C' FUTURE MAR23 IFUS 20230321                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $11982.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COPPER FUTURE     MAR23 XCEC 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         5 | NC      | $34490.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CORN FUTURE       DEC23 XCBT 20231214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $1058.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CORN FUTURE       JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1229.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CORN FUTURE       MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -94 | NC      | $18702.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COTTON NO.2 FUTR  JUL23 IFUS 20230707                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-27.90       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CRUDE OIL FUT OPT DEC23P 65 EXP 11/15/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-6790.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CRUDE OIL FUT OPT FEB23C 88 EXP 01/17/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-490.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CRUDE OIL FUT OPT FEB23C 90 EXP 01/17/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-300.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CRUDE OIL FUT OPT FEB23P 70 EXP 01/17/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-1280.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CRUDE OIL FUT OPT JUN23P 75 EXP 05/17/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-25720.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M APR23 XNYM 20230324                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-552.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M AUG23 XNYM 20230725                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M DEC23 XNYM 20231124                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M FEB23 XNYM 20230125                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-862.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M JUL23 XNYM 20230623                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M JUN23 XNYM 20230525                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-152.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M MAR23 XNYM 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-852.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M MAY23 XNYM 20230425                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-352.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M NOV23 XNYM 20231025                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M OCT23 XNYM 20230925                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HSTN V. WTI TRD M SEP23 XNYM 20230825                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  DEC23 IFEU 20231117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -16 | NC      | $-47652.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  DEC23 XNYM 20231120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        18 | NC      | $55728.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  DEC24 XNYM 20241120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -17 | NC      | $-37440.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  DEC25 XNYM 20251120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         7 | NC      | $94.42        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  JUN23 IFEU 20230519                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -18 | NC      | $-10229.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  JUN23 XNYM 20230522                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -26 | NC      | $-77180.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  JUN24 XNYM 20240521                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        11 | NC      | $10668.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  MAR23 IFEU 20230217                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -40 | NC      | $-58093.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  MAR23 XNYM 20230221                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        49 | NC      | $120570.98    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  SEP23 XNYM 20230822                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        11 | NC      | $30244.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-633.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CALCARBALLOWV2023 DEC23 IFED 20231222                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       229 | NC      | $277981.67    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | ECX EMISSION      MAR23 NDEX 20230327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         5 | NC      | $-3640.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  MAR23 IFLL 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       163 | NC      | $-1432009.47  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -59 | NC      | $561332.22    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S APR 23 IFEU 20230428                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $82.23        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S AUG 23 IFEU 20230831                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $3176.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S DEC 23 IFEU 20231229                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $5032.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S JUL 23 IFEU 20230731                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $2784.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S JUN 23 IFEU 20230630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $2241.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S MAY 23 IFEU 20230531                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $1613.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S NOV 23 IFEU 20231130                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $4636.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S OCT 23 IFEU 20231031                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $4006.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | JETCIFNWE VS BNT1S SEP 23 IFEU 20230923                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $3580.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   APR23 IFEU 20230412                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-7648.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   DEC23 IFEU 20231212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         5 | NC      | $2716.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   FEB23 IFEU 20230210                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -13 | NC      | $27445.23     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   JAN23 IFEU 20230112                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         7 | NC      | $-16677.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   JUN23 IFEU 20230612                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         4 | NC      | $8228.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   MAR23 IFEU 20230310                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         5 | NC      | $-12935.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   SEP23 IFEU 20230912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -10 | NC      | $-8710.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S APR23 IFEU 20230428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-544.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S AUG23 IFEU 20230831                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-3660.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S DEC23 IFEU 20231229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-5653.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S JUL23 IFEU 20230731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-3352.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S JUN23 IFEU 20230630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-3052.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S MAY23 IFEU 20230531                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-2258.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S NOV23 IFEU 20231130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-5174.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S OCT23 IFEU 20231031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-4451.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LOSULGO1 VS BNT1S SEP23 IFEU 20230929                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-3944.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GASOLINE RBOB FUT DEC23 XNYM 20231130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $7852.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GASOLINE RBOB FUT JUN23 XNYM 20230531                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $881.66       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GASOLINE RBOB FUT MAR23 XNYM 20230228                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $12684.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1151.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -38 | NC      | $149984.45    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        89 | NC      | $-817294.01   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -17 | NC      | $465114.24    | 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        |      -551 | NC      | $795428.69    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -5 | NC      | $4009.58      | 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        |        -5 | NC      | $-25641.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GOLD 100 OZ FUTR  APR23 XCEC 20230426                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-1120.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GOLD 100 OZ FUTR  AUG23 XCEC 20230829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         6 | NC      | $69226.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GOLD 100 OZ FUTR  FEB23 XCEC 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -14 | NC      | $-70773.83    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | GOLD FUT OPT(CMX) AUG23C 1830 EXP 07/26/2023            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -15 | NC      | $-171450.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XIII                                       | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 13A A1NR 144A     | CUSIP: 04942VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $486953.60    | 0.09%             | 2031-04-22      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | NY HARB ULSD FUT  DEC23 XNYM 20231130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-6935.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NY HARB ULSD FUT  JUN23 XNYM 20230531                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-2272.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NY HARB ULSD FUT  MAR23 XNYM 20230228                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-8179.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3385.09      | 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      | $-718.82      | -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      | $7954.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM XII 12A                                                    | ATRIUM CDO CORP ATRM 12A AR 144A                        | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    334595 | PA      | $331216.27    | 0.06%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-812013.24   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-161969.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317526H53 INF CAP USD MAY24 4.0 CALL                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-5.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |  -1200000 | NC      | $-45200.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SGX IRON ORE 62   MAR23 XSIM 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |        81 | NC      | $192829.16    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -108 | NC      | $928784.41    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -78 | NC      | $137646.02    | 0.03%             |  |  |  | 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        |   -700000 | NC      | $-133.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |       -24 | NC      | $489756.78    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230310                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9269.56      | 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      | $-16935.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                    | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/25 3         | CUSIP: B4RNSXII1<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   2315040 | PA      | $1663498.63   | 0.31%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LEAN HOGS FUTURE  APR23 XCME 20230417                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -26 | NC      | $-17078.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LIVE CATTLE FUTR  APR23 XCME 20230428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        19 | NC      | $13693.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 3175JSRR8 OTC ECAL GOLDLNPM MAR23 2500 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |      -300 | NC      | $-74.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175JSRV9 OTC ECAL GOLDLN OCT23 2000 CALL               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |     -2000 | NC      | $-147641.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | VARS GOLDLNPM 0.06325225 04/10/26 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $54486.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | VARS GOLDLNPM 0.069696 08/02/24 JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1582.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | MILL WHEAT EURO   MAR23 XPAR 20230310                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | FR        |        13 | NC      | $-21567.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-20175.41    | -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      | $-186420.93   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GLOBEX NATURL GAS FEB23 XNYM 20230126                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        16 | NC      | $-119966.67   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      APR24 IFED 20240326                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-2671.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      APR25 IFED 20250327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $1181.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      AUG24 IFED 20240729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-1876.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      AUG25 IFED 20250729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $301.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      DEC24 IFED 20241126                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $2433.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      FEB24 IFED 20240129                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $2813.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      FEB25 IFED 20250129                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-3868.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JAN24 IFED 20231227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $3738.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JAN25 IFED 20241227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-4803.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JUL24 IFED 20240626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-2001.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JUL25 IFED 20250626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $501.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JUN24 IFED 20240529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-2461.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      JUN25 IFED 20250528                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $926.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      MAR24 IFED 20240227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $88.77        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      MAR25 IFED 20250226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-1768.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      MAY24 IFED 20240426                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-2881.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      MAY25 IFED 20250428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $1376.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      NOV24 IFED 20241029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-1.23        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      OCT24 IFED 20240926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-1631.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      OCT25 IFED 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-143.31      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      SEP24 IFED 20240828                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-2071.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1      SEP25 IFED 20250827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $351.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1 DEC25 IFED 20251125                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-3933.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | HENRY HB LD1 NOV25 IFED 20251029                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-1758.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NAT GAS EURO OPT  FEB23P 4.5 EXP 01/26/2023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $-13131.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NAT GAS EURO OPT  MAR23P 4 EXP 02/23/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $-27492.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NAT GAS EURO OPT  MAR23P 4.5 EXP 02/23/2023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -12 | NC      | $-91908.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  APR23 XNYM 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -15 | NC      | $165106.41    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  AUG23 XNYM 20230727                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $4202.34      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  DEC23 XNYM 20231128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-19478.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  FEB23 XNYM 20230127                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        23 | NC      | $-231080.87   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  JAN24 XNYM 20231227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -27 | NC      | $222423.17    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  JAN25 XNYM 20241227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -8 | NC      | $6970.97      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  JUL23 XNYM 20230628                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $19654.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  MAR23 XNYM 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        23 | NC      | $-172307.93   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  MAR24 XNYM 20240227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        19 | NC      | $-120977.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  MAY23 XNYM 20230426                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        15 | NC      | $-157014.18   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  OCT23 XNYM 20230927                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         8 | NC      | $-78768.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  OCT24 XNYM 20240926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         8 | NC      | $-26517.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  SEP23 XNYM 20230829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-4066.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | TTF NAT GAS F     MAR23 NDEX 20230227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |        -5 | NC      | $27278.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | PALLADIUM FUTURE  MAR23 XNYM 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $13110.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | PLATINUM FUTURE   APR23 XNYM 20230426                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-14035.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LME PRI ALUM FUTR MAR23 XLME 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -21 | NC      | $6113.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RED WHEAT FUT MGE MAR23 XMGE 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1203.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-257.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SILVER FUTURE     MAR23 XCEC 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-45194.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN FUTURE    JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-3197.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN FUTURE    MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        20 | NC      | $70904.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN FUTURE    NOV23 XCBT 20231114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-872.69      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN MEAL FUTR JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         6 | NC      | $8549.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN MEAL FUTR MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        61 | NC      | $400468.22    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN OIL FUTR  JUL23 XCBT 20230714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-4657.05     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOYBEAN OIL FUTR  MAR23 XCBT 20230314                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $20563.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $321.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230109                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $412.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $313.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $275.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $345.24       | 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      | $-1047.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-28105.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SUGAR  11 (WORLD) JUL23 IFUS 20230630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        25 | NC      | $-1996.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 3175JR974 OTC NCAL SWOP QSCOCA DEC22 30 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         0 | NC      | $2389.66      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | 3175SR974 OTC NCAL SWOP DEC22 30 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-5582.18     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BABSON CLO LTD 2015-IA                                            | BABSON CLO LTD BABSN 2015 IA AR 144A                    | CUSIP: 056162AN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $689028.35    | 0.13%             | 2031-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U0BEA1 PIMCO SWAPTION 2.2 CALL USD 20230531          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  18800000 | NC      | $22482.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U0BGA9 PIMCO SWAPTION 2.35 CALL USD 2023053          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10400000 | NC      | $-30723.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U0DXA6 PIMCO SWAPTION 2.2 CALL USD 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6700000 | NC      | $4089.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U0DYA5 PIMCO SWAPTION 2.35 CALL USD 2023042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3700000 | NC      | $-6259.29     | -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        |    492003 | PA      | $486654.02    | 0.09%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-2254.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-63161.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-3077.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP JMABNIC5 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $517183.57    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COMM SWAP PIMCODB MAC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $904726.51    | 0.17%             |  |  |  | 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